SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Prediction of Systematic and Specific Risk in Common Stocks
7 references·16 citing·40 second hop
The Prediction of Systematic and Specific Risk in Common Stocks (1973)The Prediction of Systematic and Specific…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…Efficient Inference in a Random Coefficient Regression Model (1970)Efficient Inference in a Rand…A Compound Events Model for Security Prices (1967)A Compound Events Model for S…The Determination of Long-Term Credit Standing with Financial Ratios (1966)The Determination of Long-Ter…Financial Ratios As Predictors of Failure (1966)Financial Ratios As Predictor…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…The effect of Enterprise Risk Management on the risk and the performance of Spanish listed companies (2020)The effect of Enterprise Risk…Arbitrage Portfolios (2020)Arbitrage PortfoliosStock Returns on Customer Satisfaction Do Beat the Market: Gauging the Effect of a Marketing Intangible (2016)Stock Returns on Customer Sat…Modeling renewable energy company risk (2010)Modeling renewable energy com…Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM (2010)Combined DEMATEL technique wi…The Poor Predictive Performance of Asset Pricing Models (2008)The Poor Predictive Performan…Do a firm's equity returns reflect the risk of its pension plan?☆ (2006)Do a firm's equity returns re…Modern Investment Management: An Equilibrium Approach (2003)Modern Investment Management:…RISK‐TAKING BEHAVIOR AND MANAGEMENT OWNERSHIP IN DEPOSITORY INSTITUTIONS (1998)RISK‐TAKING BEHAVIOR AND MANA…On the Relationship between Systematic Risk and the Degrees of Operating and Financial Leverage (1982)On the Relationship between S…Towards Indices of Real Estate Value and Return (1980)Towards Indices of Real Estat…The Importance of a Market-Value Measurement of Debt in Assessing Leverage (1980)The Importance of a Market-Va…Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks (1980)Stationarity of Market Risk: …Accounting Betas, Systematic Operating Risk, and Financial Leverage: A Risk-Composition Approach to the Determinants of Systematic Risk (1980)Accounting Betas, Systematic …The Association Between Market-Determined and Accounting-Determined Measures of Systematic Risk: Some Further Evidence (1975)The Association Between Marke…SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK (1975)SIZE, LEVERAGE, AND DIVIDEND …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)What To Do (and Not to Do) with Time-Series Cross-Section Data (1995)The theory and practice of corporate finance: evidence from the field (2001)Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019)Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19 (2020)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)Co-Skewness and Capital Asset Pricing (1980)Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension (1982)Friction in the trading process and the estimation of systematic risk (1983)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)THE ROLE OF RISK IN EXPLAINING DIFFERENCES IN PROFITABILITY. (1987)Strategic orientations, competitive advantage, and business performance (1995)Théorie de la spéculation (1900)The Behavior of Stock-Market Prices (1965)Option Pricing With V. G. Martingale Components1 (1991)The variation of certain speculative prices (1997)How Are Derivatives Used? Evidence from the Mutual Fund Industry (1999)Judgment under Uncertainty: Heuristics and Biases (1975)Generalized autoregressive conditional heteroskedasticity (1986)Common risk factors in the returns on stocks and bonds (1993)A step-by-step guide to the Black-Litterman model (2007)Bayesian Portfolio Analysis (2010)Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification (2011)Multivariate regression models for panel data (1982)Random group effects and the precision of regression estimates (1986)Panel Data Econometrics in R : The plm Package (2008)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)In Search of Distress Risk (2008)Long-term dependence in common stock returns (1977)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)The Distribution of Stock Return Volatility (2000)Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of Sovereign Credit Ratings (2007)Does Corporate Social Responsibility (CSR) Improve Credit Ratings? Evidence from Geographic Identification (2013)
this work references cited by second hop

References

  • 1966Financial Ratios As Predictors of Failure4,753 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1970Efficient Inference in a Random Coefficient Regression Model2,282 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 1966The Determination of Long-Term Credit Standing with Financial Ratios407 cited

Cited by

  • 1975The Association Between Market-Determined and Accounting-Determined Measures of Systematic Risk: Some Further Evidence214 cited
  • 2003Modern Investment Management: An Equilibrium Approach212 cited
  • 2010Modeling renewable energy company risk211 cited
  • 1980The Importance of a Market-Value Measurement of Debt in Assessing Leverage196 cited
  • 1980Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks191 cited
  • 2006Do a firm's equity returns reflect the risk of its pension plan?☆187 cited
  • 2010Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM173 cited
  • 2016Stock Returns on Customer Satisfaction Do Beat the Market: Gauging the Effect of a Marketing Intangible

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

170 cited
  • 1980Accounting Betas, Systematic Operating Risk, and Financial Leverage: A Risk-Composition Approach to the Determinants of Systematic Risk168 cited
  • 1975SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK142 cited
  • 1982On the Relationship between Systematic Risk and the Degrees of Operating and Financial Leverage137 cited
  • 1980Towards Indices of Real Estate Value and Return135 cited
  • 1998RISK‐TAKING BEHAVIOR AND MANAGEMENT OWNERSHIP IN DEPOSITORY INSTITUTIONS126 cited
  • 2020The effect of Enterprise Risk Management on the risk and the performance of Spanish listed companies119 cited
  • 2020Arbitrage Portfolios111 cited
  • 2008The Poor Predictive Performance of Asset Pricing Models110 cited