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Theory of Financial Markets.
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Theory of Financial Markets. (1973)Theory of Financial Markets.On the History of the Growth-Optimal Portfolio (2012)On the History of the Growth-…Machine Learning for Financial Engineering (2011)Machine Learning for Financia…The Limits of Investor Behavior (2006)The Limits of Investor Behavi…A market utility approach to investment valuation (1994)A market utility approach to …A unified method for pricing options on diffusion processes (1991)A unified method for pricing …International risk sharing and capital mobility (1989)International risk sharing an…Moderne Entwicklung der Finanzierungstheorie (1988)Moderne Entwicklung der Finan…The Effect of Changing Expectations Upon Stock Returns (1982)The Effect of Changing Expect…Investment Policy, Optimality, and the Mean-Variance Model (1979)Investment Policy, Optimality…Intermediarios financieros y mercados imperfectos de capital (1979)Intermediarios financieros y …The technology of risk and return (1978)The technology of risk and re…On the optimum financial environment for worker cooperatives (1977)On the optimum financial envi…Transactions Costs and the Theory of Portfolio Selection (1976)Transactions Costs and the Th…Risk Management and the Theory of the Firm (1976)Risk Management and the Theor…Company Takeovers and the Australian Equity Market (1976)Company Takeovers and the Aus…FIRM VALUATION, CORPORATE TAXES, AND DEFAULT RISK (1975)FIRM VALUATION, CORPORATE TAX…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)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**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)Optimal Regulation Under Uncertainty (1981)Incentives for Diversification and the Structure of the Conglomerate Firm (1984)Incentives for Diversification and the Structure of the Conglomerate Firm (1984)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Corporate takeovers, method of payment, and bidding firms' shareholder returns: Australian evidence (1992)Information Leakage Prior to Takeover Announcements: The Effect of Media Reports (1992)Does the organisational form of the target influence market reaction to acquisition announcements? Australian evidence (2013)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Rational asset pricing bubbles and portfolio constraints (2010)Market Selection and Welfare in a Multi-asset Economy (2012)Differences of Opinion and International Equity Markets (2016)Codetermination, wage bargaining and the horizon problem (1984)The Firm as Association Versus the Firm as Commodity (1988)Production, Information Costs and Economic Organization (1996)UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices (1995)Theory of rational option pricing (2005)Systematic equity-based credit risk: A CEV model with jump to default (2008)New solvable stochastic volatility models for pricing volatility derivatives (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Transaction Costs and the Pricing of Assets (1981)Market Liquidity -- Theory and Empirical Evidence (2012)Performance Bounds and Suboptimal Policies for Multi-Period Investment (2013)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Measuring security price performance (1980)The nature of individual investors' heterogeneous expectations (1984)Consensus, Dispersion and Security prices* (1996)Financial decisions in the household (2008)Risk, Uncertainty and Profit (1921)Capital Asset Prices and the Temporal Resolution of Uncertainty (1980)Pareto Optimality and Competition (1981)Corporate Financial Policy and the Theory of Financial Intermediation (1990)Risk Aversion in the Small and in the Large (1976)THE DEMAND FOR RISKY ASSETS (1977)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)Optimum consumption and portfolio rules in a continuous-time model (1971)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Geometric Mean Maximization: An Overlooked Portfolio Approach? (2010)Rebalancing versus buy and hold: theory, simulation and empirical analysis (2017)
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  • 1979Investment Policy, Optimality, and the Mean-Variance Model80 cited
  • 2006The Limits of Investor Behavior72 cited
  • 1976Risk Management and the Theory of the Firm61 cited
  • 1976Transactions Costs and the Theory of Portfolio Selection57 cited
  • 1977On the optimum financial environment for worker cooperatives56 cited
  • 1976Company Takeovers and the Australian Equity Market55 cited
  • 1991A unified method for pricing options on diffusion processes51 cited
  • 1978The technology of risk and return49 cited
  • 1982The Effect of Changing Expectations Upon Stock Returns40 cited
  • 2012On the History of the Growth-Optimal Portfolio35 cited
  • 1994A market utility approach to investment valuation35 cited
  • 2011Machine Learning for Financial Engineering34 cited
  • 1979Intermediarios financieros y mercados imperfectos de capital33 cited
  • 1989International risk sharing and capital mobility33 cited
  • 1988Moderne Entwicklung der Finanzierungstheorie31 cited
  • 1975

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FIRM VALUATION, CORPORATE TAXES, AND DEFAULT RISK
31 cited