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The Capital Asset Pricing Model: Theory and Empiricism
5 references·7 citing·45 second hop
The Capital Asset Pricing Model: Theory and Empiricism (1983)The Capital Asset Pricing Model: Theory a…Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Equilibrium in an Imperfect M…NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL (1978)NEW EVIDENCE ON THE CAPITAL A…THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES (1977)THE CAPITAL ASSET PRICING MOD…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…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…The benefits of differential variance-based constraints in portfolio optimization (2013)The benefits of differential …International portfolio choice and political instability risk: A multi-objective approach (2013)International portfolio choic…A New Asset Pricing Model Based on the Zero-Beta CAPM: Theory and Evidence (2012)A New Asset Pricing Model Bas…The Importance of Accounting Information in Portfolio Optimization (2011)The Importance of Accounting …Portfolio selection subject to experts' judgments (2008)Portfolio selection subject t…Conditions for a CAPM equilibrium with positive prices (2007)Conditions for a CAPM equilib…On commodity market risk premiums: Additional evidence (1985)On commodity market risk prem…Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bank funding modes (1987)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Social Performance and Firm Risk: Impact of the Financial Crisis (2016)PORTFOLIO SELECTION* (1952)Naive versus optimal diversification: Tail risk and performance (2017)Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection (2019)Copula-based Black–Litterman portfolio optimization (2021)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Fuzzy sets (1965)Fuzzy sets (1996)Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns (2014)Cross-entropy based multi-objective uncertain portfolio selection problem (2017)The arbitrage theory of capital asset pricing (1976)Short Interest: Explanations and Tests (1990)The Risk Exposure of Emerging Equity Markets (1995)Exponent of Cross‐Sectional Dependence: Estimation and Inference (2015)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Deriving value or risk? Determinants and the impact of emerging market banks’ derivative usage (2021)Robust international portfolio optimization with worst‐case mean‐CVaR (2022)Impact of money supply and macroeconomic indicators on foreign portfolio investment: Evidence from Vietnam (2023)An Empirical Evaluation of Accounting Income Numbers (1968)The relationship between return and market value of common stocks (1981)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Accounting for the Anomaly Zoo: A Trading Cost Perspective (2017)Fundamental Analysis and Mean-Variance Optimal Portfolios (2021)The role of users’ engagement in shaping financial reporting: should activists target accounting more? (2021)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)The pricing of commodity contracts (1976)Efficient Asset Portfolios and the Theory of Normal Backwardation (1983)Risk Premiums and Efficiency in the Market for Crude Oil Futures (1992)Optimal Storage and Marketing Over Space and Time (1995)Time-varying risk premium: further evidence in agricultural futures markets (2008)Factors Affecting Seasoned Corporate Bond Prices (1981)Property-Liability Insurance Rate Regulation: Estimation of Underwriting Betas Using Quarterly Profit Data (1985)Portfolio Risk and Returns from Timber Asset Investments (1988)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)
this work references cited by second hop

References

  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio542 cited
  • 1977THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES225 cited
  • 1978NEW EVIDENCE ON THE CAPITAL ASSET PRICING MODEL119 cited

Cited by

  • 2013The benefits of differential variance-based constraints in portfolio optimization64 cited
  • 1985On commodity market risk premiums: Additional evidence50 cited
  • 2008Portfolio selection subject to experts' judgments41 cited
  • 2013International portfolio choice and political instability risk: A multi-objective approach37 cited
  • 2011The Importance of Accounting Information in Portfolio Optimization32 cited
  • 2012A New Asset Pricing Model Based on the Zero-Beta CAPM: Theory and Evidence25 cited
  • 2007Conditions for a CAPM equilibrium with positive prices23 cited

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