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Optimal Asset Allocation Over the Business Cycle
16 references·0 citing·33 second hop
Optimal Asset Allocation Over the Business Cycle (1998)Optimal Asset Allocation Over the Busines…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Forecasting International Equity Correlations (1994)Forecasting International Equ…The Stock Market and Investment (1990)The Stock Market and Investme…Predicting Stock Returns in an Efficient Market (1990)Predicting Stock Returns in a…Indexes of U.S. Stock Prices from 1802 to 1987 (1990)Indexes of U.S. Stock Prices …International Investments. (1989)International Investments.Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification (1976)World, Country, and Industry …Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…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…Portfolio Selection: Efficient Diversification of Investments (1959)An equilibrium model of the international capital market (1974)International Transmission of Stock Market Movements (1989)Book Review: Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The relationship between return and market value of common stocks (1981)DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS* (1968)International Diversification of Investment Portfolios (1970)Is the correlation in international equity returns constant: 1960–1990? (1995)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)A Theory of the Term Structure of Interest Rates (1985)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)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 Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Understanding Risk and Return (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)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
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,579 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1973Studies in the Theory of Capital Markets.763 cited
  • 1990The Stock Market and Investment691 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 1990Indexes of U.S. Stock Prices from 1802 to 1987356 cited
  • 1990Predicting Stock Returns in an Efficient Market327 cited
  • 1976World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification

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294 cited
  • 1989International Investments.291 cited
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