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The effect of economic factors on the performance of the Australian stock market
16 references·0 citing·34 second hop
The effect of economic factors on the performance of the Australian stock market (2012)The effect of economic factors on the per…Structural analysis of vector error correction models with exogenous I(1) variables (2000)Structural analysis of vector…The Persistence of Risk-Adjusted Mutual Fund Performance (1996)The Persistence of Risk-Adjus…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…International Transmission of Stock Market Movements (1989)International Transmission of…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Information, trade and common knowledge (1982)Information, trade and common…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Agreeing to Disagree (1976)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Herd Behavior and Investment (1988)Noise Trader Risk in Financial Markets (1990)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)Financial Intermediation and Delegated Monitoring (1984)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)A test for independence based on the correlation dimension (1996)Are Investors Reluctant to Realize Their Losses? (1998)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Determinants of corporate borrowing (1977)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The Theory of Investment Value, by John Burr Williams (1939)Law and Finance (1998)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Users of the world, unite! The challenges and opportunities of Social Media (2009)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,575 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,311 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,271 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1996The Persistence of Risk-Adjusted Mutual Fund Performance838 cited

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  • 2000Structural analysis of vector error correction models with exogenous I(1) variables797 cited
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