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Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-section of UK Companies
12 references·5 citing·32 second hop
Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-section of UK Companies (1996)Variation in Expected Stock Returns: Evid…Forecasting stock returns an examination of stock market trading in the presence of transaction costs (1994)Forecasting stock returns an …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Structural and Return Characteristics of Small and Large Firms (1991)Structural and Return Charact…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS (2015)A CLOSER LOOK AT VALUE PREMIU…Testing Capital Asset Pricing Model: Empirical Evidences from Indian Equity Market (2010)Testing Capital Asset Pricing…Fundamental Analysis and the Modelling of Normal Returns in the UK (2010)Fundamental Analysis and the …The Fama-French and Momentum Portfolios and Factors in the UK (2009)The Fama-French and Momentum …A review of capital asset pricing models (2007)A review of capital asset pri…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)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)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The relationship between return and market value of common stocks (1981)Noise (1986)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Chapter 18 A survey of behavioral finance (2003)The Behavior of Stock-Market Prices (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)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Efficient Capital Markets: II (1991)Momentum Strategies (1996)Accounting valuation, market expectation, and cross-sectional stock returns (1998)Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Stock Prices, Earnings, and Expected Dividends (1988)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1991Structural and Return Characteristics of Small and Large Firms826 cited
  • 1994Forecasting stock returns an examination of stock market trading in the presence of transaction costs132 cited

Cited by

  • 2009The Fama-French and Momentum Portfolios and Factors in the UK41 cited
  • 2010Testing Capital Asset Pricing Model: Empirical Evidences from Indian Equity Market37 cited
  • 2010Fundamental Analysis and the Modelling of Normal Returns in the UK

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37 cited
  • 2007A review of capital asset pricing models30 cited
  • 2015A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS24 cited