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A multifactor model of gold industry stock returns: evidence from the Australian equity market
15 references·8 citing·32 second hop
A multifactor model of gold industry stock returns: evidence from the Australian equity market (1998)A multifactor model of gold industry stoc…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …The impact of gold price on the value of gold mining stock (1995)The impact of gold price on t…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Estimation of foreign exchange exposure: an application to mining companies in Australia (1994)Estimation of foreign exchang…THE FOREIGN EXCHANGE OPERATING EXPOSURE OF AUSTRALIAN STOCKS (1993)THE FOREIGN EXCHANGE OPERATIN…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Beta and Return (1993)Beta and ReturnAre the Reports of Beta's Death Premature? (1993)Are the Reports of Beta's Dea…The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)The sensitivity of bank stock…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Diversifying with Gold Stocks (1990)Diversifying with Gold StocksGold and Gold Stocks as Investments for Institutional Portfolios (1989)Gold and Gold Stocks as Inves…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The economic importance of rare earth elements volatility forecasts (2019)The economic importance of ra…Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context (2015)Does the carbon market help o…Correlations between oil and stock markets: A wavelet-based approach (2015)Correlations between oil and …Should gold be included in institutional investment portfolios? (2013)Should gold be included in in…Risk factors in oil and gas industry returns: International evidence (2010)Risk factors in oil and gas i…Do economic factors influence stock returns? A firm and industry level analysis (2010)Do economic factors influence…A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980‐2006 (2008)A comparative analysis of oil…Multifactor risk and the stock returns of Canadian paper and forest products companies (2001)Multifactor risk and the stoc…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)The exchange rate exposure of U.S. and Japanese banking institutions (1997)Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets (2006)The effects of dividend yield and dividend policy on common stock prices and returns (1974)Characteristics, Covariances, and Average Returns: 1929-1997 (1998)Overreaction and Insider Trading: Evidence from Growth and Value Portfolios (1998)The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect (1999)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)Problems and Solutions in Conducting Event Studies (1990)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Is the Risk of Bankruptcy a Systematic Risk? (1998)What Drives Firm‐Level Stock Returns? (2002)Predicting returns with financial ratios (2004)Do Precious Metals Shine? An Investment Perspective (2006)Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1993Beta and Return588 cited
  • 1989Gold and Gold Stocks as Investments for Institutional Portfolios335 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1992The sensitivity of bank stock returns to market, interest and exchange rate risks251 cited
  • 1993Are the Reports of Beta's Death Premature?196 cited
  • 1990Diversifying with Gold Stocks185 cited
  • 1994Estimation of foreign exchange exposure: an application to mining companies in Australia143 cited
  • 1995The impact of gold price on the value of gold mining stock119 cited
  • 1993THE FOREIGN EXCHANGE OPERATING EXPOSURE OF AUSTRALIAN STOCKS61 cited

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  • 2010Risk factors in oil and gas industry returns: International evidence153 cited
  • 2015Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context139 cited
  • 2015Correlations between oil and stock markets: A wavelet-based approach83 cited
  • 2008A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980‐200659 cited
  • 2013Should gold be included in institutional investment portfolios?58 cited
  • 2001Multifactor risk and the stock returns of Canadian paper and forest products companies43 cited
  • 2010Do economic factors influence stock returns? A firm and industry level analysis41 cited
  • 2019The economic importance of rare earth elements volatility forecasts39 cited