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Equity returns of financial institutions and the pricing of interest rate risk
16 references·1 citing·25 second hop
Equity returns of financial institutions and the pricing of interest rate risk (2005)Equity returns of financial institutions …MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET (1994)MACROECONOMIC FACTORS, THE AP…INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED (1990)INTEREST RATE CHANGES AND COM…Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates (1988)Arbitrage Pricing Theory as a…The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)The Pricing of Interest-Rate …On the Number of Factors in the Arbitrage Pricing Model (1986)On the Number of Factors in t…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An exploratory investigation of the firm size effect (1985)An exploratory investigation …On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…Multivariate tests of financial models (1982)Multivariate tests of financi…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Stock prices, inflation, and the term structure of interest rates (1974)Stock prices, inflation, and …Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Interest and Inflation Risk: Investor Behavior (2016)Interest and Inflation Risk: …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)Multivariate tests of the zero-beta CAPM (1985)Integration vs. Segmentation in the Canadian Stock Market (1986)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Portfolio Selection: Efficient Diversification of Investments (1959)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Rhetoric of Economics (1998)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Pricing of Exchange Rate Risk in the Stock Market (1991)Political Risk, Economic Risk, and Financial Risk (1996)Risk and return in an equilibrium APT (1988)New evidence on oil price and firm returns (2011)Does realized skewness predict the cross-section of equity returns? (2015)Mean-Variance Spanning (1987)Financial Intermediation and Delegated Monitoring (1984)Industry costs of equity (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1982Multivariate tests of financial models614 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market283 cited
  • 1974Stock prices, inflation, and the term structure of interest rates218 cited
  • 1986On the Number of Factors in the Arbitrage Pricing Model152 cited
  • 1988Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates144 cited
  • 1990INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED133 cited

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  • 1994MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET125 cited
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    • 2016Interest and Inflation Risk: Investor Behavior20 cited