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Time-Series Analysis of Beta Stationarity and Its Determinants: A Case of Public Utilities
11 references·1 citing·39 second hop
Time-Series Analysis of Beta Stationarity and Its Determinants: A Case of Public Utilities (1982)Time-Series Analysis of Beta Stationarity…The theory and practice of econometrics (1986)The theory and practice of ec…Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks (1980)Stationarity of Market Risk: …The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables (1979)The Theoretical Relationship …The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model (1979)The Effects of Changing Macro…SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK (1975)SIZE, LEVERAGE, AND DIVIDEND …Session Topic: Risk, Information and Capital Budgeting (1974)Session Topic: Risk, Informat…Financial Factors which Influence Beta Variations within an Homogeneous Industry Environment (1974)Financial Factors which Influ…CORPORATE FINANCIAL STRATEGIES AND MARKET MEASURES OF RISK AND RETURN (1973)CORPORATE FINANCIAL STRATEGIE…THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS (1972)THE EFFECT OF THE FIRM'S CAPI…On the Short-Term Stationarity of Beta Coefficients (1971)On the Short-Term Stationarit…CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION (1963)CORPORATE INCOME TAXES AND TH…Time-Series Processes of Utility Betas: Implications for Forecasting Systematic Risk (1990)Time-Series Processes of Util…LEVERAGE, RISK OF RUIN AND THE COST OF CAPITAL* (1967)The Association Between Market Determined and Accounting Determined Risk Measures. (1970)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Risk and rationality in entrepreneurial processes (2007)When Ignorance Is Not Bliss: An Empirical Analysis of Subtier Supply Network Structure on Firm Risk (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Shareholder Benefits from Corporate International Diversification (1984)Operating Lease Accounting and the Market's Assessment of Equity Risk (1995)Does Community and Environmental Responsibility Affect Firm Risk? Evidence from UK Panel Data 1994-2006 (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)MARKET RISK, ACCOUNTING DATA AND COMPANIES’POLLUTION CONTROL RECORDS (1978)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)The cost of capital, corporation finance and the theory of investment (2008)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)Evidence on a Simplified Model of Systematic Risk (1982)The Impact of Operating and Financial Leverages and Intrinsic Business Risk on Firm Value (2006)Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks (2015)Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)The Prediction of Systematic and Specific Risk in Common Stocks (1973)Estimating and Adjusting for the Intervalling-Effect Bias in Beta (1983)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques (1998)Applied factor analysis (1970)Portfolio Theory and Capital Markets. (1972)Bond Yields, Ratings, and Financial Information: Evidence from Public Utility Issues (1991)Equity Systematic Risk (Beta) and Its Determinants* (2007)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)The theory and practice of corporate finance: evidence from the field (2001)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Risk measurement when shares are subject to infrequent trading (1979)
this work references cited by second hop

References

  • 1963CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION5,951 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1972THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS1,130 cited
  • 1979The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables313 cited
  • 1971On the Short-Term Stationarity of Beta Coefficients227 cited
  • 1980Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks191 cited
  • 1975SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK142 cited
  • 1973CORPORATE FINANCIAL STRATEGIES AND MARKET MEASURES OF RISK AND RETURN104 cited
  • 1974Financial Factors which Influence Beta Variations within an Homogeneous Industry Environment73 cited
  • 1974Session Topic: Risk, Information and Capital Budgeting28 cited
  • 1979The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model21 cited

Cited by

  • 1990Time-Series Processes of Utility Betas: Implications for Forecasting Systematic Risk16 cited

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