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The nature of individual investors' heterogeneous expectations
16 references·0 citing·38 second hop
The nature of individual investors' heterogeneous expectations (1984)The nature of individual investors' heter…The Effect of Changing Expectations Upon Stock Returns (1982)The Effect of Changing Expect…Individual investors and risk-taking (1982)Individual investors and risk…Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices (1980)Heterogeneous Expectations, R…The Changing Role of the Individual Investor (1979)The Changing Role of the Indi…PERCEIVED RISK AND CAPITAL ASSET PRICING (1978)PERCEIVED RISK AND CAPITAL AS…NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL (1978)NEW EVIDENCE ON THE CAPITAL A…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Foundations of Finance. (1977)Foundations of Finance.Capital asset prices with heterogeneous beliefs (1977)Capital asset prices with het…A MULTIDIMENSIONAL ANALYSIS OF INSTITUTIONAL INVESTOR PERCEPTION OF RISK* (1977)A MULTIDIMENSIONAL ANALYSIS O…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…QUANTIFICATION OF INVESTORS' PERCEPTIONS OF COMMON STOCKS: RISK AND RETURN DIMENSIONS (1975)QUANTIFICATION OF INVESTORS' …TOWARD THE DEVELOPMENT OF CLIENT‐SPECIFIED VALUATION MODELS (1974)TOWARD THE DEVELOPMENT OF CLI…The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets (1969)The Aggregation of Investor's…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)Social learning and clinical psychology. (1954)Generalized expectancies for internal versus external control of reinforcement. (1966)Some problems and misconceptions related to the construct of internal versus external control of reinforcement. (1975)Individual financial risk tolerance and the global financial crisis (2013)Do investors put their money where their mouth is? Stock market expectations and investing behavior (2014)The debt-equity financing decisions of U.S. startup firms (2014)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)Divergence of Opinion in Complete Markets: A Note (1985)Model Uncertainty, Limited Market Participation, and Asset Prices (2005)The heterogeneous expectations hypothesis: Some evidence from the lab (2010)An aggregation theorem for securities markets (1974)Risk Aversion in the Small and in the Large (1976)The Common Prior Assumption in Economic Theory (1995)Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)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)Theory of Rational Option Pricing (1973)Differences of Opinion in Financial Markets (1989)Short-Sale Restrictions and Market Reaction to Short-Interest Announcements (1993)Theory of rational option pricing (2005)Factors Affecting Seasoned Corporate Bond Prices (1981)Property-Liability Insurance Rate Regulation: Estimation of Underwriting Betas Using Quarterly Profit Data (1985)Portfolio Risk and Returns from Timber Asset Investments (1988)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1977Foundations of Finance.1,128 cited
  • 1969The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets501 cited
  • 1980Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices324 cited
  • 1977Capital asset prices with heterogeneous beliefs302 cited
  • 1982Individual investors and risk-taking127 cited
  • 1978NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL119 cited
  • 1979The Changing Role of the Individual Investor106 cited
  • 1974TOWARD THE DEVELOPMENT OF CLIENT‐SPECIFIED VALUATION MODELS85 cited
  • 1977A MULTIDIMENSIONAL ANALYSIS OF INSTITUTIONAL INVESTOR PERCEPTION OF RISK*81 cited
  • 1982The Effect of Changing Expectations Upon Stock Returns40 cited
  • 1975QUANTIFICATION OF INVESTORS' PERCEPTIONS OF COMMON STOCKS: RISK AND RETURN DIMENSIONS36 cited

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  • 1978PERCEIVED RISK AND CAPITAL ASSET PRICING25 cited
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