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The over-reaction effect—Some UK evidence
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The over-reaction effect—Some UK evidence (1991)The over-reaction effect—Some UK evidenceStock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)RATIONAL CHOICE AND THE FRAMI…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Stock return variances (1986)Stock return variancesRational Choice and the Framing of Decisions (1986)Rational Choice and the Frami…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The relationship between return and market value of common stocks (1981)The relationship between retu…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Asset returns and inflation (1977)Asset returns and inflationThe Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction (1997)Return reversals in the Tokyo…PICKING WINNERS? A SURVEY OF THE MEAN REVERSION AND OVERREACTION OF STOCK PRICES LITERATURE (1996)PICKING WINNERS? A SURVEY OF …An Evolutionary Theory of Economic Change. (1983)Advances in prospect theory: Cumulative representation of uncertainty (1992)The effects of feedback interventions on performance: A historical review, a meta-analysis, and a preliminary feedback intervention theory. (1996)A perspective on judgment and choice: Mapping bounded rationality. (2003)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)Toward a positive theory of consumer choice (1980)Are Investors Reluctant to Realize Their Losses? (1998)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Representativeness Revisited: Attribute Substitution in Intuitive Judgment (2002)
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References

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  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
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  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
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  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1986

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Stock return variances
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  • 1996PICKING WINNERS? A SURVEY OF THE MEAN REVERSION AND OVERREACTION OF STOCK PRICES LITERATURE30 cited
  • 1997Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction29 cited