SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An empirical analysis of risk premia in futures markets
16 references·6 citing·25 second hop
An empirical analysis of risk premia in futures markets (1993)An empirical analysis of risk premia in f…Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Systematic Risk, Hedging Pres…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Multivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…Financial Theory and Corporate Policy. (1982)Financial Theory and Corporat…Financial Theory and Corporate Policy. (1980)Financial Theory and Corporat…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…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…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…A Treatise on Money (1971)A Treatise on MoneyCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020)Demystifying Time‐Series Mome…Determinants of Agricultural and Mineral Commodity Prices (2010)Determinants of Agricultural …Term Structure Models of Commodity Prices (2005)Term Structure Models of Comm…Bias and backwardation in natural gas futures prices (2005)Bias and backwardation in nat…Commodity futures markets: a survey (1999)Commodity futures markets: a …Optimal Storage and Marketing Over Space and Time (1995)Optimal Storage and Marketing…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)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Industry costs of equity (1997)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Organizational Culture: Can It Be a Source of Sustained Competitive Advantage? (1986)Diversification's effect on firm value (1995)Shareholder value, stakeholder management, and social issues: what's the bottom line? (2001)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)The use of technical analysis in the foreign exchange market (1992)Facts and Fantasies about Commodity Futures (2006)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 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
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1971A Treatise on Money1,728 cited
  • 1980Financial Theory and Corporate Policy.1,699 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 1982Financial Theory and Corporate Policy.956 cited
  • 1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets538 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited

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

1985
Multivariate tests of the zero-beta CAPM
436 cited

Cited by

  • 1995Optimal Storage and Marketing Over Space and Time112 cited
  • 1999Commodity futures markets: a survey112 cited
  • 2010Determinants of Agricultural and Mineral Commodity Prices97 cited
  • 2005Term Structure Models of Commodity Prices46 cited
  • 2020Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations42 cited
  • 2005Bias and backwardation in natural gas futures prices38 cited