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Hotelling Confronts CAPM: A Test of the Theory of Exhaustible Resources
12 references·7 citing·37 second hop
Hotelling Confronts CAPM: A Test of the Theory of Exhaustible Resources (1997)Hotelling Confronts CAPM: A Test of the T…On tests of representative consumer asset pricing models (1990)On tests of representative co…The equity premium: A puzzle (1985)The equity premium: A puzzleOn Measuring Natural Resource Scarcity (1984)On Measuring Natural Resource…Mineral depletion with cost as the extraction limit: A model applied to the behavior of prices in the nickel industry (1983)Mineral depletion with cost a…Trends in natural-resource commodity prices: An analysis of the time domain (1982)Trends in natural-resource co…Uncertainty and Exhaustible Resource Markets (1980)Uncertainty and Exhaustible R…Natural Resource Scarcity: A Statistical Analysis (1979)Natural Resource Scarcity: A …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)TAXES, MARKET VALUATION AND C…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Economics of Exhaustible Resources (1931)The Economics of Exhaustible …Hotelling rule in non-renewable resources: A bibliometric and systematic literature review analysis (2024)Hotelling rule in non-renewab…Price Dynamics in Biological Production Processes Exposed to Environmental Shocks (2017)Price Dynamics in Biological …Profit sharing under the threat of nationalization (2013)Profit sharing under the thre…Exploration and development of U.S. oil and gas fields, 1955–2002 (2010)Exploration and development o…The Efficiency and Robustness of Allowance Banking in the U.S. Acid Rain Program (2007)The Efficiency and Robustness…Competing models of firm profitability (2004)Competing models of firm prof…Untested Hypotheses in Non-Renewable Resource Economics (1998)Untested Hypotheses in Non-Re…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Uncertainty in the Theory of Renewable Resource Markets (1984)Backwardation in Oil Futures Markets: Theory and Empirical Evidence (1995)When Are Real Options Exercised? An Empirical Study of Mine Closings (2002)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)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Asset Prices in an Exchange Economy (1978)Long-Run Risk through Consumption Smoothing (2010)Estimation of Dynamic Term Structure Models (2012)Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012)THE MEASUREMENT OF U.S. REAL CAPITAL INPUT, 1929–1967 (1969)The Structure of Economics: A Mathematical Analysis (1978)Whither Hotelling: Tests of the Theory of Exhaustible Resources (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does Academic Research Destroy Stock Return Predictability? (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments (2001)Economic Growth and the Environment: A Review of Theory and Empirics (2004)An overview of global gold market and gold price forecasting (2010)Balanced-budget redistribution as the outcome of political competition (1987)Understanding Crude Oil Prices (2008)RCP4.5: a pathway for stabilization of radiative forcing by 2100 (2011)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1931The Economics of Exhaustible Resources4,535 cited
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY796 cited
  • 1982Trends in natural-resource commodity prices: An analysis of the time domain394 cited
  • 1980Uncertainty and Exhaustible Resource Markets342 cited
  • 1990On tests of representative consumer asset pricing models205 cited
  • 1984On Measuring Natural Resource Scarcity101 cited
  • 1983Mineral depletion with cost as the extraction limit: A model applied to the behavior of prices in the nickel industry83 cited
  • 1979Natural Resource Scarcity: A Statistical Analysis77 cited

Cited by

  • 2004Competing models of firm profitability94 cited
  • 2007The Efficiency and Robustness of Allowance Banking in the U.S. Acid Rain Program80 cited
  • 2017Price Dynamics in Biological Production Processes Exposed to Environmental Shocks78 cited

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  • 2013Profit sharing under the threat of nationalization71 cited
  • 2010Exploration and development of U.S. oil and gas fields, 1955–200231 cited
  • 2024Hotelling rule in non-renewable resources: A bibliometric and systematic literature review analysis23 cited
  • 1998Untested Hypotheses in Non-Renewable Resource Economics20 cited