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Factors or Characteristics? That is the Question
16 references·2 citing·14 second hop
Factors or Characteristics? That is the Question (2006)Factors or Characteristics? That is the Q…Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)Characteristics, Covariances,…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Industry concentration, excess returns and innovation in A ustralia (2014)Industry concentration, exces…Value versus growth: Australian evidence (2012)Value versus growth: Australi…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 Behavior of Stock-Market Prices (1965)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited

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  • 2000Characteristics, Covariances, and Average Returns: 1929 to 19971,100 cited
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    • 2012Value versus growth: Australian evidence30 cited
    • 2014Industry concentration, excess returns and innovation in A ustralia28 cited