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Forecasting the correlation structure of share prices: A test of new models
16 references·2 citing·35 second hop
Forecasting the correlation structure of share prices: A test of new models (1992)Forecasting the correlation structure of …Stocks, bonds, bills, and inflation yearbook (1993)Stocks, bonds, bills, and inf…Intertemporal asset pricing (1990)Intertemporal asset pricingEconomic Forces and the Stock Market (1986)Economic Forces and the Stock…Estimating the Correlation Structure of International Share Prices (1984)Estimating the Correlation St…A comparison of inflation forecasts (1984)A comparison of inflation for…Stocks, bonds, bills, and inflation : the past and the future (1982)Stocks, bonds, bills, and inf…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…“ARE BETAS BEST?”† (1978)“ARE BETAS BEST?”†The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION (1973)ESTIMATING THE DEPENDENCE STR…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas (1973)A Note on Using Cross-Section…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Applied Economic Forecasting (1967)Applied Economic ForecastingMarket and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…4. CROSS-INDUSTRY COMPARISONS OF THE BEHAVIOUR OF STOCK RETURNS IN SHIPPING, TRANSPORTATION AND OTHER INDUSTRIES (2004)4. CROSS-INDUSTRY COMPARISONS…THE STOCK MARKET PERCEPTION OF INDUSTRY RISK THROUGH THE UTILISATION OF A GENERAL MULTIFACTOR MODEL (2000)THE STOCK MARKET PERCEPTION O…An Intertemporal Capital Asset Pricing Model (1973)Expected stock returns and volatility (1987)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Industry costs of equity (1997)Capital markets research in accounting (2001)Liquidity Risk and Expected Stock Returns (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Permanent and Temporary Components of Stock Prices (1988)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)Efficient Capital Markets: II (1991)The Pricing of Options and Corporate Liabilities (1973)The New Institutionalism: Organizational Factors in Political Life (1983)The resource‐based view within the conversation of strategic management (1992)Risk measurement when shares are subject to infrequent trading (1979)Bayes-Stein Estimation for Portfolio Analysis (1986)Betting against beta (2013)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)The Adjustment of Stock Prices to New Information (1969)Why Does Stock Market Volatility Change Over Time? (1989)Misery Loves Companies: Rethinking Social Initiatives by Business (2003)The price of innovation: new estimates of drug development costs (2003)Extreme Correlation of International Equity Markets (2001)Another look at measures of forecast accuracy (2006)Introductory Econometrics for Finance (2008)
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References

  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,036 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 1967Applied Economic Forecasting1,212 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1990Intertemporal asset pricing598 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS488 cited
  • 1993Stocks, bonds, bills, and inflation yearbook396 cited
  • 1984A comparison of inflation forecasts380 cited
  • 1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION280 cited
  • 1982Stocks, bonds, bills, and inflation : the past and the future170 cited
  • 1984Estimating the Correlation Structure of International Share Prices127 cited
  • 1973A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas118 cited
  • 1978“ARE BETAS BEST?”†

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  • 20044. CROSS-INDUSTRY COMPARISONS OF THE BEHAVIOUR OF STOCK RETURNS IN SHIPPING, TRANSPORTATION AND OTHER INDUSTRIES18 cited
  • 2000THE STOCK MARKET PERCEPTION OF INDUSTRY RISK THROUGH THE UTILISATION OF A GENERAL MULTIFACTOR MODEL17 cited