SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A critique of latent variable tests of asset pricing models
16 references·5 citing·33 second hop
A critique of latent variable tests of asset pricing models (1989)A critique of latent variable tests of as…Empirical Tests of the Consumption‐Oriented CAPM (1989)Empirical Tests of the Consum…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Expected stock returns and volatility (1987)Expected stock returns and vo…Testing asset pricing models with changing expectations and an unobservable market portfolio (1985)Testing asset pricing models …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Multivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Exchange rates and international macroeconomics (1984)Exchange rates and internatio…An investigation of risk and return in forward foreign exchange (1984)An investigation of risk and …On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…Multivariate tests of financial models (1982)Multivariate tests of financi…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Futures Trading and the Excess Co-movement of Commodity Prices (2017)Futures Trading and the Exces…Degrees of integration in international portfolio diversification : effective systemic risk (2003)Degrees of integration in int…1 Econometric evaluation of asset pricing models (1996)1 Econometric evaluation of a…Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords (1995)Long-run relations among the …An empirical comparison of alternative models of capital asset pricing in Germany (1992)An empirical comparison of al…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Efficient Capital Markets: II (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Multifactor Explanations of Asset Pricing Anomalies (1996)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)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 arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)The real term structure and consumption growth (1988)Empirical pricing kernels (2002)A Consumption‐Based Explanation of Expected Stock Returns (2006)The Cross-Section of Expected Stock Returns (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)
this work references cited by second hop

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1989Empirical Tests of the Consumption‐Oriented CAPM705 cited
  • 1982Multivariate tests of financial models614 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1985Multivariate tests of the zero-beta CAPM436 cited
  • 1984Exchange rates and international macroeconomics370 cited
  • 1984An investigation of risk and return in forward foreign exchange322 cited

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

  • 1985Testing asset pricing models with changing expectations and an unobservable market portfolio293 cited
  • Cited by

    • 2017Futures Trading and the Excess Co-movement of Commodity Prices87 cited
    • 19961 Econometric evaluation of asset pricing models46 cited
    • 1995Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords36 cited
    • 1992An empirical comparison of alternative models of capital asset pricing in Germany35 cited
    • 2003Degrees of integration in international portfolio diversification : effective systemic risk29 cited