SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Closed-end fund premia and returns implications for financial market equilibrium
16 references·16 citing·26 second hopsampled
Closed-end fund premia and returns implications for financial market equilibrium (1995)Closed-end fund premia and returns implic…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Structural and Return Characteristics of Small and Large Firms (1991)Structural and Return Charact…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Efficient Capital Markets: II (1991)Efficient Capital Markets: IINoise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…The relationship between return and market value of common stocks (1981)The relationship between retu…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …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…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China (2019)A new investor sentiment indi…What explains the dynamics of 100 anomalies? (2015)What explains the dynamics of…On the determinants of pairs trading profitability (2015)On the determinants of pairs …Stock Prices and Earnings: A History of Research (2014)Stock Prices and Earnings: A …Who's the Fairest of Them All? Evidence from Closed-End Funds (2013)Who's the Fairest of Them All…Portfolio Pumping, Trading Activity and Fund Performance (2012)Portfolio Pumping, Trading Ac…Closed-End Funds: A Survey (2012)Closed-End Funds: A SurveyActivist arbitrage: A study of open-ending attempts of closed-end funds (2009)Activist arbitrage: A study o…Dividend policy, signaling, and discounts on closed-end funds (2006)Dividend policy, signaling, a…Performance comparison between exchange-traded funds and closed-end country funds (2005)Performance comparison betwee…The Reliability of Fair Value versus Historical Cost Information: Evidence from Closed-End Mutual Funds (2003)The Reliability of Fair Value…Inside Ownership, Risk Sharing and Tobin's q‐Ratios: Evidence from REITs (2003)Inside Ownership, Risk Sharin…Country funds and asymmetric information (2000)Country funds and asymmetric …Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts (2000)Arbitrage and Valuation in th…Liquidity, Investment Ability, and Mutual Fund Structure (1997)Liquidity, Investment Ability…What Moves the Discount on Country Equity Funds? (1993)What Moves the Discount on Co…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Multifactor Explanations of Asset Pricing Anomalies (1996)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Capital Market Equilibrium with Restricted Borrowing (1972)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 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
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1991

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Structural and Return Characteristics of Small and Large Firms
826 cited

Cited by

  • 2015What explains the dynamics of 100 anomalies?168 cited
  • 2009Activist arbitrage: A study of open-ending attempts of closed-end funds158 cited
  • 2003The Reliability of Fair Value versus Historical Cost Information: Evidence from Closed-End Mutual Funds135 cited
  • 2012Closed-End Funds: A Survey133 cited
  • 2000Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts121 cited
  • 2005Performance comparison between exchange-traded funds and closed-end country funds106 cited
  • 2003Inside Ownership, Risk Sharing and Tobin's q‐Ratios: Evidence from REITs99 cited
  • 2015On the determinants of pairs trading profitability88 cited
  • 1993What Moves the Discount on Country Equity Funds?84 cited
  • 2000Country funds and asymmetric information82 cited
  • 2013Who's the Fairest of Them All? Evidence from Closed-End Funds61 cited
  • 2012Portfolio Pumping, Trading Activity and Fund Performance58 cited
  • 2006Dividend policy, signaling, and discounts on closed-end funds57 cited
  • 2014Stock Prices and Earnings: A History of Research55 cited
  • 1997Liquidity, Investment Ability, and Mutual Fund Structure55 cited
  • 2019A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China43 cited