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Computation of a monthly index for Swedish stock returns 1919–1989
7 references·4 citing·40 second hop
Computation of a monthly index for Swedish stock returns 1919–1989 (1992)Computation of a monthly index for Swedis…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesStocks, bonds, bills, and inflation : historical returns (1926-1987) (1989)Stocks, bonds, bills, and inf…Comovements in Stock Prices and Comovements in Dividends (1989)Comovements in Stock Prices a…The Stabilization of the U.S. Economy Evidence From the Stock Market (1988)The Stabilization of the U.S.…Mean reversion in stock prices (1988)Mean reversion in stock pricesDo Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Rates of Return on Investments in Common Stocks (1964)Rates of Return on Investment…Boom and Bust (2020)Boom and BustBloody foreigners! Overseas equity on the L ondon S tock E xchange, 1869–1929 (2014)Bloody foreigners! Overseas e…Common long-term and short-term price memory in two Scandinavian stock markets (1998)Common long-term and short-te…GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets (1996)GMM and present value tests o…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Are Output Fluctuations Transitory? (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Link between the Rate of Growth of Stock Prices and the Rate of Growth of GNP in the United States: A Granger Causality Test (1991)Is Disinflation Good for the Stock Market? (2002)Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed☆ (2010)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: II (1991)The Comovement of US and UK Stock Markets (2004)CONSUMPTION ASSET PRICING MODELS: EVIDENCE FROM THE UK* (2005)Habit Formation, Surplus Consumption and Return Predictability: International Evidence (2009)Permanent and Temporary Components of Stock Prices (1988)Are correlations of stock returns justified by subsequent changes in national outputs? (2003)Creative destruction and firm-specific performance heterogeneity☆ (2008)On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements (2009)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)Asset Prices in an Exchange Economy (1978)Does the Stock Market Overreact? (1985)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Investor Psychology and Asset Pricing (2001)The General Theory of Employment, Interest and Money. (1936)Capitalism, Socialism and Democracy (2010)Capital: A Critique of Political Economy (2020)Deconstruction of the Green Bubble during COVID-19 International Evidence (2022)Geometric Mean Approximations of Individual Security and Portfolio Performance (1969)The Returns and Risk of Alternative Call Option Portfolio Investment Strategies (1978)Ball and Brown (1968): A Retrospective (2013)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS* (1988)On the term structure of interest rates (1990)The sustainability of bond-financed deficits: An overlapping generations approach (2000)
this work references cited by second hop

References

  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1989Comovements in Stock Prices and Comovements in Dividends179 cited
  • 1964Rates of Return on Investments in Common Stocks150 cited
  • 1989Stocks, bonds, bills, and inflation : historical returns (1926-1987)93 cited
  • 1988The Stabilization of the U.S. Economy Evidence From the Stock Market49 cited

Cited by

  • 2020Boom and Bust95 cited
  • 1996GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets61 cited
  • 2014Bloody foreigners! Overseas equity on the L ondon S tock E xchange, 1869–192937 cited
  • 1998Common long-term and short-term price memory in two Scandinavian stock markets30 cited

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