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Is Beta Still Alive? Conclusive Evidence from the Swiss Stock Market
15 references·1 citing·24 second hop
Is Beta Still Alive? Conclusive Evidence from the Swiss Stock Market (2006)Is Beta Still Alive? Conclusive Evidence …The CAPM is Wanted, Dead or Alive (1996)The CAPM is Wanted, Dead or A…Reports of Beta's Death Have Been Greatly Exaggerated (1996)Reports of Beta's Death Have …The Conditional Relation between Beta and Returns (1995)The Conditional Relation betw…Beta and Return (1993)Beta and ReturnAre the Reports of Beta's Death Premature? (1993)Are the Reports of Beta's Dea…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Does Market Risk Really Explain the Size Effect? (1992)Does Market Risk Really Expla…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Downside Risk (2005)Downside RiskPortfolio Selection: Efficient Diversification of Investments (1959)An Intertemporal Capital Asset Pricing Model (1973)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)Common risk factors in the returns on stocks and bonds (1993)The effects of dividend yield and dividend policy on common stock prices and returns (1974)Characteristics, Covariances, and Average Returns: 1929-1997 (1998)Overreaction and Insider Trading: Evidence from Growth and Value Portfolios (1998)The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect (1999)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The arbitrage theory of capital asset pricing (1976)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1993Beta and Return588 cited
  • 1995The Conditional Relation between Beta and Returns528 cited
  • 1996The CAPM is Wanted, Dead or Alive488 cited
  • 1993Are the Reports of Beta's Death Premature?196 cited
  • 1992Does Market Risk Really Explain the Size Effect?124 cited
  • 1996Reports of Beta's Death Have Been Greatly Exaggerated67 cited

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  • 2005Downside Risk19 cited