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The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications
16 references·8 citing·42 second hop
The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications (1990)The Heterogeneous Investment Horizon and …Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Equilibrium in an Imperfect M…Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case (2013)Stochastic Dominance, Efficie…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Firm Size and the Information Content of Financial Statements (1984)Firm Size and the Information…Optimum Distribution-Free Tests and Further Evidence of Heteroscedasticity in the Market Model (1982)Optimum Distribution-Free Tes…Global Properties of Flexible Functional Forms (1980)Global Properties of Flexible…The effect of limited information and estimation risk on optimal portfolio diversification (1977)The effect of limited informa…The Capital Asset Pricing Model and the Investment Horizon (1977)The Capital Asset Pricing Mod…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Transcendental Logarithmic Production Frontiers (1973)Transcendental Logarithmic Pr…Portfolio Performance and the Investment Horizon (1972)Portfolio Performance and the…MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE* (1971)MULTI‐PERIOD MEAN‐VARIANCE AN…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…The Subjective Risk and Return Expectations of Institutional Investors (2023)The Subjective Risk and Retur…The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market (2021)The importance of extreme sho…Financial econometrics, mathematics, statistics, and financial technology: an overall view (2020)Financial econometrics, mathe…Investment horizon heterogeneity and wavelet: Overview and further research directions (2015)Investment horizon heterogene…The evolution of capital asset pricing models (2013)The evolution of capital asse…Investment horizon effect on asset allocation between value and growth strategies (2011)Investment horizon effect on …Incomplete-information capital market equilibrium with heterogeneous expectations and short sale restrictions (1996)Incomplete-information capita…Data frequency and the number of factors in stock returns (1995)Data frequency and the number…Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bank funding modes (1987)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Social Performance and Firm Risk: Impact of the Financial Crisis (2016)An Application of the Shephard Duality Theorem: A Generalized Leontief Production Function (1971)Parametric Productivity Measurement and Choice Among Flexible Functional Forms (1979)A Globally Flexible, Almost Ideal Demand System (1987)Duality principles in the theory of cost and production (1989)Exploring hospital production relationships with flexible functional forms (1990)Uncertain demand, the structure of hospital costs, and the cost of empty hospital beds (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The Behavior of Stock-Market Prices (1965)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The relation between the return interval and betas (1989)A data envelopment analysis approach to measure the mutual fund performance (2001)A closing call's impact on market quality at Euronext Paris (2003)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)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)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Multilateral Comparisons of Output, Input, and Productivity Using Superlative Index Numbers (1982)Rationalizability, Learning, and Equilibrium in Games with Strategic Complementarities (1990)Identification Properties of Recent Production Function Estimators (2015)THE DEMAND FOR RISKY ASSETS (1977)A Benchmark Approach to Quantitative Finance (2006)
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References

  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1973Transcendental Logarithmic Production Frontiers2,593 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio542 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 1980Global Properties of Flexible Functional Forms318 cited
  • 1977The Capital Asset Pricing Model and the Investment Horizon255 cited
  • 1971MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE*211 cited
  • 1977The effect of limited information and estimation risk on optimal portfolio diversification174 cited
  • 1972Portfolio Performance and the Investment Horizon127 cited
  • 2013Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case74 cited
  • 1984Firm Size and the Information Content of Financial Statements

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69 cited
  • 1982Optimum Distribution-Free Tests and Further Evidence of Heteroscedasticity in the Market Model47 cited
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    • 2011Investment horizon effect on asset allocation between value and growth strategies40 cited
    • 2013The evolution of capital asset pricing models23 cited
    • 1996Incomplete-information capital market equilibrium with heterogeneous expectations and short sale restrictions20 cited
    • 2023The Subjective Risk and Return Expectations of Institutional Investors19 cited
    • 2020Financial econometrics, mathematics, statistics, and financial technology: an overall view18 cited
    • 1995Data frequency and the number of factors in stock returns18 cited