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The effect of additions to or deletions from the TSE 300 Index on Canadian share prices
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The effect of additions to or deletions from the TSE 300 Index on Canadian share prices (2000)The effect of additions to or deletions f…Econometric Analysis of Panel Data (2021)Econometric Analysis of Panel…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The econometrics of financial markets (1996)The econometrics of financial…New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index (1996)New Evidence on Stock Price E…An Anatomy of the "S & P Game": The Effects of Changing the Rules (1996)An Anatomy of the "S & P Game…The Long-Run Negative Drift of Post-Listing Stock Returns (1995)The Long-Run Negative Drift o…Conducting event studies with thinly traded stocks (1993)Conducting event studies with…ARCH modeling in finance (1992)ARCH modeling in financeChanges in the Standard and Poor's 500 List (1991)Changes in the Standard and P…Institutional Ownership and Changes in the S&P 500 (1989)Institutional Ownership and C…The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500 (1987)The Effect on Stock Price of …Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…On the Use of the Multivariate Regression Model in Event Studies (1985)On the Use of the Multivariat…Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods (1985)Conditioning the Return-Gener…A Comparison of Alternative Testing Methodologies Used in Capital Market Research (1984)A Comparison of Alternative T…Econometric Models for Count Data with an Application to the Patents-R&D Relationship (1984)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Statistical analysis of cointegration vectors (1988)Scaling of the distribution of fluctuations of financial market indices (1999)Statistical properties of the volatility of price fluctuations (1999)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)The Adjustment of Stock Prices to New Information (1969)Principles of Corporate Finance. (1981)Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)The Adjustment of Stock Prices to New Information (2003)Comovement (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Institutional Investors and Equity Prices (1998)The liquidity effects of revisions to the S&P 500 index: an empirical analysis (2003)Equilibrium prices in the presence of delegated portfolio management (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)Risk and return: The case of merging firms (1974)Special Information and Insider Trading (1974)Foundations of Finance. (1977)An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal Returns As Dependent Variable (1986)MODELLING ABNORMAL RETURNS: A REVIEW ARTICLE (1992)Fast profits: Investor sentiment and stock returns during Ramadan (2011)The "Dartboard" Column: Second-Hand Information and Price Pressure (1993)Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage (2004)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study (2010)
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References

  • 2021Econometric Analysis of Panel Data15,089 cited
  • 2012The Econometrics of Financial Markets5,875 cited
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  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
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  • 1993Conducting event studies with thinly traded stocks204 cited
  • 1985Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods179 cited
  • 1989Institutional Ownership and Changes in the S&P 500151 cited

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  • 1996New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index147 cited
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