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Capital Investments and Stock Returns
16 references·16 citing·24 second hopsampled
Capital Investments and Stock Returns (2001)Capital Investments and Stock ReturnsProfitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…The Operating Performance of Firms Conducting Seasoned Equity Offerings (1997)The Operating Performance of …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The New Issues Puzzle (1995)The New Issues PuzzleMarket underreaction to open market share repurchases (1995)Market underreaction to open …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Financing Constraints and Corporate Investment (1988)Financing Constraints and Cor…Financing Constraints and Corporate Investment (1987)Financing Constraints and Cor…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate financing and inves…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Empirical Asset Pricing: The Cross Section of Stock Returns (2016)Empirical Asset Pricing: The …Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics (2015)Cross-Sectional Asset Pricing…A Comparison of New Factor Models (2014)A Comparison of New Factor Mo…Digesting Anomalies: An Investment Approach (2012)Digesting Anomalies: An Inves…Biased Beliefs, Asset Prices, and Investment: A Structural Approach (2012)Biased Beliefs, Asset Prices,…Excess Cash and Stock Returns (2010)Excess Cash and Stock ReturnsDoes q-theory with investment frictions explain anomalies in the cross section of returns? (2010)Does q-theory with investment…The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research? (2009)The Cross‐Section of Expected…The Impact of Strategic Investment Choices on Post‐Issue Operating Performance and Survival of US IPO Firms (2008)The Impact of Strategic Inves…Investor recognition and stock returns (2008)Investor recognition and stoc…Corporate Political Contributions and Stock Returns (2008)Corporate Political Contribut…Accruals, cash flows, and aggregate stock returns☆ (2008)Accruals, cash flows, and agg…Agency Theory of Overvalued Equity as an Explanation for the Accrual Anomaly (2006)Agency Theory of Overvalued E…Surprise! Higher Dividends = Higher Earnings Growth (2003)Surprise! Higher Dividends = …External Financing and Future Stock Returns (2003)External Financing and Future…Modeling Sustainable Earnings and P/E Ratios with Financial Statement Analysis (2002)Modeling Sustainable Earnings…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Credit Rationing in Markets with Imperfect Information (1981)Agency costs of free cash flow, corporate finance, and takeovers (1996)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Determinants of corporate borrowing (1977)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1984Corporate financing and investment decisions when firms have information that investors do not have18,936 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1988Financing Constraints and Corporate Investment5,566 cited
  • 1987Financing Constraints and Corporate Investment4,354 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1995Market underreaction to open market share repurchases1,739 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited

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  • 1997The Operating Performance of Firms Conducting Seasoned Equity Offerings1,098 cited
  • Cited by

    • 2008Corporate Political Contributions and Stock Returns258 cited
    • 2008Accruals, cash flows, and aggregate stock returns☆240 cited
    • 2010Does q-theory with investment frictions explain anomalies in the cross section of returns?237 cited
    • 2008Investor recognition and stock returns224 cited
    • 2003Surprise! Higher Dividends = Higher Earnings Growth212 cited
    • 2016Empirical Asset Pricing: The Cross Section of Stock Returns210 cited
    • 2009The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research?191 cited
    • 2014A Comparison of New Factor Models168 cited
    • 2010Excess Cash and Stock Returns144 cited
    • 2012Biased Beliefs, Asset Prices, and Investment: A Structural Approach116 cited
    • 2012Digesting Anomalies: An Investment Approach109 cited
    • 2006Agency Theory of Overvalued Equity as an Explanation for the Accrual Anomaly95 cited
    • 2008The Impact of Strategic Investment Choices on Post‐Issue Operating Performance and Survival of US IPO Firms91 cited
    • 2002Modeling Sustainable Earnings and P/E Ratios with Financial Statement Analysis90 cited
    • 2015Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics89 cited
    • 2003External Financing and Future Stock Returns78 cited