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Why the Low Returns to Beta and Other Forms of Risk
16 references·0 citing·31 second hop
Why the Low Returns to Beta and Other Forms of Risk (2001)Why the Low Returns to Beta and Other For…Underwriter Reputation, Initial Returns, and the Long‐Run Performance of IPO Stocks (1998)Underwriter Reputation, Initi…Earnings Management and the Long‐Run Market Performance of Initial Public Offerings (1998)Earnings Management and the L…Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)Myth or Reality? The Long-Run…Commonality in the determinants of expected stock returns (1996)Commonality in the determinan…The New Issues Puzzle (1995)The New Issues PuzzleInitial public offerings: International insights (1994)Initial public offerings: Int…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Long‐Run Performance of initial Public Offerings (1991)The Long‐Run Performance of i…The Long-Run Performance of Initial Public Offerings (1991)The Long-Run Performance of I…Investment Analysis and Portfolio Management. (1979)Investment Analysis and Portf…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…Price performance of common stock new issues (1975)Price performance of common s…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments (1959)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)Investment banking, reputation, and the underpricing of initial public offerings (1986)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Why Has IPO Underpricing Changed Over Time (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)Earnings Management During Import Relief Investigations (1991)Common risk factors in the returns on stocks and bonds (1993)Earnings Management through Real Activities Manipulation (2003)Performance matched discretionary accrual measures (2005)The economic implications of corporate financial reporting (2005)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Corporate financing and investment decisions when firms have information that investors do not have (1984)Managerial Decisions and Long‐Term Stock Price Performance (2000)Institutional Investors and Equity Prices (2001)Does the Stock Market Overreact? (1985)INITIAL PUBLIC OFFERINGS (1988)Event Studies in Economics and Finance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The relationship between return and market value of common stocks (1981)A five-factor asset pricing model (2014)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The arbitrage theory of capital asset pricing (1976)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1991The Long‐Run Performance of initial Public Offerings3,500 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1998Earnings Management and the Long‐Run Market Performance of Initial Public Offerings2,300 cited
  • 1998Underwriter Reputation, Initial Returns, and the Long‐Run Performance of IPO Stocks1,510 cited
  • 1997Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies1,456 cited
  • 1975Price performance of common stock new issues1,341 cited
  • 1994Initial public offerings: International insights1,256 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1996Commonality in the determinants of expected stock returns1,066 cited
  • 1979Investment Analysis and Portfolio Management.985 cited

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  • 1991The Long-Run Performance of Initial Public Offerings779 cited
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