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The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes
16 references·7 citing·38 second hop
The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes (1996)The arbitrage pricing theory, macroeconom…A Test for the Number of Factors in an Approximate Factor Model (1993)A Test for the Number of Fact…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Risk and return in an equilibrium APT (1988)Risk and return in an equilib…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An exploratory investigation of the firm size effect (1985)An exploratory investigation …Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Multivariate tests of financial models (1982)Multivariate tests of financi…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Econometric policy evaluation: A critique (1976)Econometric policy evaluation…"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)"Rational" Expectations, the …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL (1973)A NEW LOOK AT THE CAPITAL ASS…Rational Expectations and the Theory of Price Movements (1961)Rational Expectations and the…Mind the gap! Machine Learning, ESG Metrics and Sustainable Investment (2020)Mind the gap! Machine Learnin…Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market (2005)Macroeconomic factors and the…The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence (2003)The Interest Rate Risk Exposu…The determinants of stock returns in a small open economy (2003)The determinants of stock ret…Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95 (2000)Stock market integration and …Risk factors in the Malaysian stock market (1998)Risk factors in the Malaysian…ECONOMIC FORCES IN THE LONDON STOCK MARKET (1988)ECONOMIC FORCES IN THE LONDON…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)A Theory of the Consumption Function (1960)Some International Evidence on Output-Inflation Tradeoffs. (1973)The Role of Monetary Policy (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Does Culture Affect Economic Outcomes? (2006)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Theory of rational option pricing (2005)The Analysis of Economic Time-Series-Part I: Prices (1953)Optimal Properties of Exponentially Weighted Forecasts (1960)The Economic Implications of Learning by Doing (1971)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Asset Prices in an Exchange Economy (1978)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Panels with Nonstationary Multifactor Error Structures (2006)Macroeconomics and Reality (1980)Staggered prices in a utility-maximizing framework (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1961Rational Expectations and the Theory of Price Movements5,639 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1975"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule2,172 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1982Multivariate tests of financial models614 cited
  • 1973A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL563 cited
  • 1988Risk and return in an equilibrium APT535 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1993A Test for the Number of Factors in an Approximate Factor Model475 cited

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1983
Some Empirical Tests of the Theory of Arbitrage Pricing
376 cited

Cited by

  • 2000Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-9594 cited
  • 1988ECONOMIC FORCES IN THE LONDON STOCK MARKET74 cited
  • 2003The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence64 cited
  • 2005Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market60 cited
  • 1998Risk factors in the Malaysian stock market39 cited
  • 2020Mind the gap! Machine Learning, ESG Metrics and Sustainable Investment38 cited
  • 2003The determinants of stock returns in a small open economy36 cited