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Conditional Predictions of Bond Prices and Returns
8 references·4 citing·38 second hop
Conditional Predictions of Bond Prices and Returns (1980)Conditional Predictions of Bond Prices an…A THEORY OF THE TERM STRUCTURE OF INTEREST RATES (2005)A THEORY OF THE TERM STRUCTUR…A continuous time approach to the pricing of bonds (1979)A continuous time approach to…On the term structure of interest rates (1978)On the term structure of inte…An arbitrage model of the term structure of interest rates (1978)An arbitrage model of the ter…Savings bonds, retractable bonds and callable bonds (1977)Savings bonds, retractable bo…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Credit risk in Islamic joint venture bond (2014)Credit risk in Islamic joint …A survey of stochastic continuous time models of the term structure of interest rates (1994)A survey of stochastic contin…Time-varying term premia on U.S. Treasury bills and bonds (1992)Time-varying term premia on U…The Structure of Spot Rates and Immunization (1990)The Structure of Spot Rates a…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)A Multivariate Model of the Term Structure (1980)The Pricing of Options on Debt Securities (1980)The valuation at origination of fixed-rate mortgages with default and prepayment (1995)The cost of capital, corporation finance and the theory of investment (2008)A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)A Theory of the Term Structure of Interest Rates (1985)Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy (1986)Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes (1991)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 (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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Theory of Rational Option Pricing (1973)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Waiting to Invest: Investment and Uncertainty (1992)Nonparametric Pricing of Interest Rate Derivative Securities (1995)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)A cyclical square-root model for the term structure of interest rates (2014)Futures markets and commodity options: Hedging and optimality in incomplete markets (1984)A Simple Econometric Approach for Utility-Based Asset Pricing Models (1985)Contingent Capital: The Case of COERCs (2014)When can you immunize a bond portfolio? (1998)A comparison of yield curve estimation techniques using UK data (2002)Immunization using a stochastic-process independent multi-factor model: The Portuguese experience (2005)The relation between forward prices and futures prices (1981)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1978On the term structure of interest rates659 cited
  • 1977Savings bonds, retractable bonds and callable bonds229 cited
  • 1978An arbitrage model of the term structure of interest rates181 cited
  • 2005A THEORY OF THE TERM STRUCTURE OF INTEREST RATES153 cited

Cited by

  • 1990The Structure of Spot Rates and Immunization60 cited
  • 1994A survey of stochastic continuous time models of the term structure of interest rates35 cited
  • 2014Credit risk in Islamic joint venture bond25 cited
  • 1992Time-varying term premia on U.S. Treasury bills and bonds19 cited

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