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Portfolio Performance Measurement: a No Arbitrage Bounds Approach
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Portfolio Performance Measurement: a No Arbitrage Bounds Approach (2009)Portfolio Performance Measurement: a No A…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Mutual Fund Performance (1966)Mutual Fund PerformanceCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Financial Intermediation and Delegated Monitoring (1984)Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)A Smooth Model of Decision Making under Ambiguity (2005)Trusting the Stock Market (2005)The relationship between return and market value of common stocks (1981)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Theory of the Term Structure of Interest Rates (1985)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19645,527 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1966Mutual Fund Performance4,089 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,717 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993Dynamic Asset Pricing Theory.2,926 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,780 cited

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1996
Another Puzzle: The Growth in Actively Managed Mutual Funds
2,143 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
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