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A Cross-Sectional Test of an Investment-Based Asset Pricing Model
6 references·16 citing·40 second hop
A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)A Cross-Sectional Test of an Investment-B…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Inflation, real returns and capital investment (1982)Inflation, real returns and c…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesAttracting Investor Attention through Advertising (2014)Attracting Investor Attention…Organization Capital and the Cross‐Section of Expected Returns (2013)Organization Capital and the …Innovative efficiency and stock returns (2012)Innovative efficiency and sto…Cultural Biases in Economic Exchange? * (2009)Cultural Biases in Economic E…Housing, consumption and asset pricing (2006)Housing, consumption and asse…Labor Income and Predictable Stock Returns (2005)Labor Income and Predictable …Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective (2005)Housing Collateral, Consumpti…Financial Markets and the Real Economy (2005)Financial Markets and the Rea…Consumption Risk and the Cross Section of Expected Returns (2005)Consumption Risk and the Cros…Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns (2004)Corporate Investment and Asse…News related to future GDP growth as a risk factor in equity returns (2003)News related to future GDP gr…Equilibrium Cross Section of Returns (2003)Equilibrium Cross Section of …Stock return predictability and model uncertainty (2002)Stock return predictability a…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Asset Pricing at the Millennium (2000)Asset Pricing at the Millenni…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)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. 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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 1982Inflation, real returns and capital investment477 cited

Cited by

  • 2009Cultural Biases in Economic Exchange? *2,007 cited
  • 2013Organization Capital and the Cross‐Section of Expected Returns1,005 cited
  • 2012Innovative efficiency and stock returns976 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 2014Tail Risk and Asset Prices788 cited
  • 2003Equilibrium Cross Section of Returns785 cited
  • 2004Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns778 cited
  • 2000Asset Pricing at the Millennium734 cited
  • 2006Housing, consumption and asset pricing720 cited
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Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
637 cited
  • 2002Stock return predictability and model uncertainty636 cited
  • 2005Consumption Risk and the Cross Section of Expected Returns581 cited
  • 2005Financial Markets and the Real Economy572 cited
  • 2003News related to future GDP growth as a risk factor in equity returns562 cited
  • 2005Labor Income and Predictable Stock Returns543 cited
  • 2014Attracting Investor Attention through Advertising491 cited