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Modeling Covariance Risk in Merton's ICAPM
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Modeling Covariance Risk in Merton's ICAPM (2015)Modeling Covariance Risk in Merton's ICAPMMeasuring Uncertainty (2015)Measuring UncertaintyPredicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No news is good news (1992)No news is good newsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Consumption, Income, and Inte…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Expected stock returns and volatility (1987)Expected stock returns and vo…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Growing the efficient frontier on panel trees (2025)Growing the efficient frontie…Financial Machine Learning (2023)Financial Machine LearningThe conditional impact of investor sentiment in global stock markets: A two-channel examination (2022)The conditional impact of inv…Machine learning methods in finance: Recent applications and prospects (2022)Machine learning methods in f…Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal (2021)Realized Semi(co)variation: S…Institutional investor sentiment and the mean-variance relationship: Global evidence (2021)Institutional investor sentim…Time-varying state variable risk premia in the ICAPM (2020)Time-varying state variable r…The mean–variance relation and the role of institutional investor sentiment (2018)The mean–variance relation an…Investor sentiment and the mean-variance relationship: European evidence (2018)Investor sentiment and the me…Forecasting Methods in Finance (2018)Forecasting Methods in FinanceMacroeconomic determinants of stock market betas (2017)Macroeconomic determinants of…Expected Business Conditions and Bond Risk Premia (2017)Expected Business Conditions …Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles (2017)Asset Pricing with Disagreeme…Forecasting in Economics and Finance (2016)Forecasting in Economics and …Downside Variance Risk Premium (2015)Downside Variance Risk PremiumLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2015Measuring Uncertainty2,908 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1992No news is good news1,929 cited

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  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
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