SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Preferred habitat for liquidity in international short-term interest rates
16 references·1 citing·50 second hop
Preferred habitat for liquidity in international short-term interest rates (2007)Preferred habitat for liquidity in intern…INNOVATIONS IN INTEREST RATE POLICY (2016)INNOVATIONS IN INTEREST RATE …A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…The Daily Market for Federal Funds (1996)The Daily Market for Federal …Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Window Dressing by Pension Fund Managers (1991)Window Dressing by Pension Fu…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)The Buying and Selling Behavi…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …A monthly effect in stock returns (1987)A monthly effect in stock ret…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…A Possible Explanation of the Small Firm Effect (1981)A Possible Explanation of the…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The increasing default risk of US Treasury securities due to the financial crisis (2010)The increasing default risk o…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Capital market seasonality: The case of stock returns (1976)Stock returns and the weekend effect (1980)Efficient Capital Markets and Martingales (1989)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Measuring security price performance (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresInstitutional trades and intraday stock price behavior (1993)Favoritism in Mutual Fund Families? Evidence on Strategic Cross‐Fund Subsidization (2006)
this work references cited by second hop

References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1987A monthly effect in stock returns720 cited
  • 1991Window Dressing by Pension Fund Managers689 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1988The Buying and Selling Behavior of Individual Investors at the Turn of the Year482 cited
  • 2016INNOVATIONS IN INTEREST RATE POLICY442 cited
  • 1981A Possible Explanation of the Small Firm Effect432 cited
  • 1996The Daily Market for Federal Funds426 cited
  • 2008

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

A Cointegration Analysis of Treasury Bill Yields
320 cited

Cited by

  • 2010The increasing default risk of US Treasury securities due to the financial crisis32 cited