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Semivariance decomposition of country-level returns
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Semivariance decomposition of country-level returns (2011)Semivariance decomposition of country-lev…Downside Risk (2006)Downside RiskThe Drivers of Expected Returns in International Markets (2005)The Drivers of Expected Retur…Mean-semivariance behavior: Downside risk and capital asset pricing (2005)Mean-semivariance behavior: D…Systematic risk in emerging markets: the D-CAPM (2002)Systematic risk in emerging m…The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii) (2001)The Cost of Equity in Emergin…Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…The Cost of Equity in Emerging Markets: A Downside Risk Approach (1999)The Cost of Equity in Emergin…A Brief History of Downside Risk Measures (1999)A Brief History of Downside R…AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS (1977)AN EMPIRICAL TEST OF THE ALTE…World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification (1976)World, Country, and Industry …Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Computation of the Efficient Boundary in the E-S Portfolio Selection Model (1972)Computation of the Efficient …Models of Capital Budgeting, E-V Vs E-S (1970)Models of Capital Budgeting, …Market and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Safety First and the Holding of Assets (1952)Safety First and the Holding …Expectation in Economics (1949)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)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? 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(1966)Risk Aversion in the Small and in the Large (1976)Consumer perceived risk: conceptualisations and models (1999)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Common risk factors in the returns on stocks and bonds (1993)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)… and the Cross-Section of Expected Returns (2015)Replicating Anomalies (2018)International Transmission of Stock Market Movements (1989)Does industrial structure explain the benefits of international diversification? (1994)How Sovereign Is Sovereign Credit Risk? (2011)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2006Downside Risk1,039 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1999A Brief History of Downside Risk Measures308 cited
  • 2002Systematic risk in emerging markets: the D-CAPM300 cited
  • 1976World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification294 cited
  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 1977AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS276 cited
  • 2005Mean-semivariance behavior: Downside risk and capital asset pricing229 cited
  • 2001The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii)208 cited
  • 1970Models of Capital Budgeting, E-V Vs E-S197 cited
  • 2005The Drivers of Expected Returns in International Markets162 cited
  • 1999The Cost of Equity in Emerging Markets: A Downside Risk Approach143 cited

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  • 1972Computation of the Efficient Boundary in the E-S Portfolio Selection Model136 cited
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