SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios
0 references·16 citing·43 second hopsampled
Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios (1969)Risk, the Pricing of Capital Assets, and …Detecting Repeatable Performance (2018)Detecting Repeatable Performa…Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach (2010)Market Efficiency of Oil Spot…Emerging Market Mutual Fund Performance: Evidence for Poland (2010)Emerging Market Mutual Fund P…REIT Momentum and the Performance of Real Estate Mutual Funds (2009)REIT Momentum and the Perform…Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management (2009)Global Equity Fund Performanc…The Financial Performance of a Socially Responsible Investment Over Time and a Possible Link with Corporate Social Responsibility (2005)The Financial Performance of …Sharpe Ratios and Alphas in Continuous Time (2004)Sharpe Ratios and Alphas in C…Mutual fund performance and seemingly unrelated assets (2002)Mutual fund performance and s…European Mutual Fund Performance (2002)European Mutual Fund Performa…Monthly Measurement of Daily Timers (1998)Monthly Measurement of Daily …Emerging stock markets (1993)Emerging stock marketsA CROSS‐SECTIONAL ANALYSIS OF MUTUAL FUNDS’MARKET TIMING AND SECURITY SELECTION SKILL (1992)A CROSS‐SECTIONAL ANALYSIS OF…Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Mutual Fund Performance Evalu…Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1985)Mutual Fund Performance Evalu…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Does it Pay to Be Good...And Does it Matter? A Meta-Analysis of the Relationship between Corporate Social and Financial Performance (2011)Financial performance of socially responsible investing ( SRI ): what have we learned? A meta‐analysis (2014)Corporate social responsibility and its effect on innovation and firm performance: An empirical research in SMEs (2016)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)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 critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market (2013)Smart money or dumb money? A study on the selection ability of mutual fund investors in China (2014)The impact of country-level and fund-level factors on mutual fund performance in Vietnam (2019)The arbitrage theory of capital asset pricing (1976)Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)The Cross-Section of Expected Stock Returns (1992)Performance of international and global equity mutual funds: Do country momentum and sector momentum matter? (2014)Country and industry concentration and the performance of international mutual funds (2015)On the robustness of persistence in mutual fund performance (2016)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Portfolio Selection (1952)Liquidity Preference as Behavior Towards Risk (1958)Efficiency of crude oil markets: Evidences from informational entropy analysis (2011)The relationship between spot and futures oil prices: Do structural breaks matter? (2014)Modelling Economic Growth, Carbon Emissions, and Fossil Fuel Consumption in China: Cointegration and Multivariate Causality (2019)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Who Gambles in the Stock Market? (2009)Global Capital and National Governments (2001)International evidence on ethical mutual fund performance and investment style (2004)The Determinants of Mutual Fund Performance: A Cross-Country Study (2011)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19645,313 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons628 cited
  • 2002European Mutual Fund Performance445 cited
  • 2002Mutual fund performance and seemingly unrelated assets436 cited
  • 2005The Financial Performance of a Socially Responsible Investment Over Time and a Possible Link with Corporate Social Responsibility165 cited
  • 1985Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons135 cited
  • 2010Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach121 cited
  • 2010Emerging Market Mutual Fund Performance: Evidence for Poland97 cited
  • 2009Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management80 cited
  • 1992A CROSS‐SECTIONAL ANALYSIS OF MUTUAL FUNDS’MARKET TIMING AND SECURITY SELECTION SKILL74 cited
  • 2018Detecting Repeatable Performance74 cited
  • 1993Emerging stock markets66 cited
  • 2009REIT Momentum and the Performance of Real Estate Mutual Funds

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

59 cited
  • 1998Monthly Measurement of Daily Timers54 cited
  • 2004Sharpe Ratios and Alphas in Continuous Time48 cited