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"Market Timing and Portfolio Management"
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"Market Timing and Portfolio Management" (1978)"Market Timing and Portfolio Management"How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…PORTFOLIO PERFORMANCE AND THE “COST” OF TIMING DECISIONS (1977)PORTFOLIO PERFORMANCE AND THE…Likely Gains from Market Timing (1975)Likely Gains from Market Timi…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Components of Investment Performance (1972)Components of Investment Perf…Measurement of Portfolio Performance Under Uncertainty (1970)Measurement of Portfolio Perf…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Mutual Fund Performance (1966)Mutual Fund PerformanceCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments (1959)Differential Information and Performance Measurement Using a Security Market Line (1985)Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)An Intertemporal Capital Asset Pricing Model (1973)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)The Information Content of Aggregate Insider Trading (1988)Evaluating Mutual Fund Performance (2001)Do Market Timing Hedge Funds Time the Market? (2007)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)An Engine, Not a Camera (2006)The Profitability of Style Rotation Strategies in the United Kingdom (1999)Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes (2007)Seventy-Five Years of Investing for Future Generations (2020)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Empirical Tests of the Consumption‐Oriented CAPM (1989)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Taming the Factor Zoo: A Test of New Factors (2020)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1973Studies in the Theory of Capital Markets.737 cited
  • 1970Measurement of Portfolio Performance Under Uncertainty390 cited
  • 1972Components of Investment Performance365 cited
  • 1975Likely Gains from Market Timing134 cited
  • 1977PORTFOLIO PERFORMANCE AND THE “COST” OF TIMING DECISIONS105 cited

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