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Risk return and the three-moment capital asset pricing model: another look
16 references·0 citing·38 second hop
Risk return and the three-moment capital asset pricing model: another look (1991)Risk return and the three-moment capital …The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning (1995)The Arbitrage Pricing Theory …Skewness Persistence in Common Stock Returns (1986)Skewness Persistence in Commo…Asset Pricing, Higher Moments, and the Market Risk Premium: A Note (1985)Asset Pricing, Higher Moments…The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning (1984)The Arbitrage Pricing Theory …Skewness Preference and Portfolio Choice (1982)Skewness Preference and Portf…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Co-Skewness and Capital Asset Pricing (1980)Co-Skewness and Capital Asset…Diversification in a Three-Moment World (1978)Diversification in a Three-Mo…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Multidimensional Security Pricing (1975)Multidimensional Security Pri…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…Investment and Portfolio Analysis. (1972)Investment and Portfolio Anal…The Extension of Portfolio Analysis to Three or More Parameters (1971)The Extension of Portfolio An…Another Look at Mutual Fund Performance (1971)Another Look at Mutual Fund P…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Modelling emerging market risk premia using higher moments (1999)Mixed Normal Conditional Heteroskedasticity (2004)Dependence structure and extreme comovements in international equity and bond markets (2011)Optimum consumption and portfolio rules in a continuous-time model (1971)Portfolio performance evaluation in a mean–variance–skewness framework (2005)Time-Varying Conditional Skewness and the Market Risk Premium (2005)Canonical vine copulas in the context of modern portfolio management: Are they worth it? (2013)The Behavior of Stock-Market Prices (1965)Equilibrium in a Capital Asset Market (1966)Portfolio selection with skewness: A multiple-objective approach (1991)Stock Options as Lotteries (2014)Do Stocks Outperform Treasury Bills? (2017)The investment decision under uncertainty (1962)Composite Measures for the Evaluation of Investment Performance (1979)Fund of hedge funds portfolio selection: A multiple-objective approach (2009)Multivariate tests of financial models (1982)Mean-Variance Spanning (1987)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Theory of Financial Decision Making. (1988)Introductory Econometrics for Finance (2008)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index (1988)Copula-based multivariate GARCH model with uncorrelated dependent errors (2008)ESG Shareholder Engagement and Downside Risk (2016)
this work references cited by second hop

References

  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1978Diversification in a Three-Moment World284 cited
  • 1980Co-Skewness and Capital Asset Pricing271 cited
  • 1986Skewness Persistence in Common Stock Returns183 cited
  • 1971The Extension of Portfolio Analysis to Three or More Parameters182 cited
  • 1982Skewness Preference and Portfolio Choice177 cited
  • 1972Investment and Portfolio Analysis.169 cited
  • 1971Another Look at Mutual Fund Performance157 cited
  • 1995The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning149 cited
  • 1984The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning120 cited
  • 1975Multidimensional Security Pricing100 cited
  • 1985Asset Pricing, Higher Moments, and the Market Risk Premium: A Note

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