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Gain, Loss, and Asset Pricing
16 references·16 citing·34 second hopsampled
Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingTheory of rational option pricing (2005)Theory of rational option pri…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…The variation of certain speculative prices (1997)The variation of certain spec…Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the …Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The equity premium: A puzzle (1985)The equity premium: A puzzleMartingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study (2018)The Role of Bitcoin in Well D…The carry trade and fundamentals: Nothing to fear but FEER itself (2012)The carry trade and fundament…The Recovery Theorem (2011)The Recovery TheoremNo-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)MARKETS AS A COUNTERPARTY: AN…Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio Performance Evaluat…New Measures for Performance Evaluation (2008)New Measures for Performance …Does the choice of performance measure influence the evaluation of hedge funds? (2007)Does the choice of performanc…Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Risk and Return in Fixed-Inco…Price Manipulation and Quasi-Arbitrage (2004)Price Manipulation and Quasi-…Different Approaches to Risk Estimation in Portfolio Theory (2004)Different Approaches to Risk …Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2003)Losing Money on Arbitrage: Op…Sharpening Sharpe Ratios (2002)Sharpening Sharpe RatiosPricing and hedging in incomplete markets (2001)Pricing and hedging in incomp…Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Beyond Arbitrage: Good‐Deal A…Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Option-Implied Risk-Neutral D…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)Economic Forces and the Stock Market (1986)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
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References

  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices

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Cited by

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  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets419 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2011The Recovery Theorem354 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 2003Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities331 cited
  • 2008New Measures for Performance Evaluation318 cited
  • 2001Pricing and hedging in incomplete markets300 cited
  • 2006Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?283 cited
  • 2018The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study270 cited
  • 2004Different Approaches to Risk Estimation in Portfolio Theory253 cited
  • 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Trees246 cited
  • 2008Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance215 cited
  • 2002Sharpening Sharpe Ratios189 cited
  • 2012The carry trade and fundamentals: Nothing to fear but FEER itself174 cited
  • 2010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE168 cited