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The calendar structure of risk and expected returns on stocks and bonds · Study

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ArticleThe calendar structure of risk and expected returns on stocks and bonds

Joseph P. Ogden2003

Article2003

The calendar structure of risk and expected returns on stocks and bonds

Joseph P. Ogden

28 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE 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.]1973An Intertemporal Capital Asset Pricing Model 1998Investor Psychology and Security Market Under‐ and Overreactions 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1978Asset Prices in an Exchange Economy n.d.

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Year2003

Typearticle

Published2003-07-07

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0304-405x(03)00141-7

openalex_workW2017234030

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