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General Tests of Latent Variable Models and Mean-Variance Spanning
16 references·16 citing·29 second hopsampled
General Tests of Latent Variable Models and Mean-Variance Spanning (1993)General Tests of Latent Variable Models a…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset returns and inflation (1977)Asset returns and inflationA 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…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect (2018)Cryptocurrencies from the per…Diversification benefits of commodities: A stochastic dominance efficiency approach (2017)Diversification benefits of c…Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach (2012)Spanning tests in return and …On the diversification benefits of commodities from the perspective of euro investors (2012)On the diversification benefi…Time Variation in Diversification Benefits of Commodity, REITs, and TIPS (2011)Time Variation in Diversifica…Specification tests of asset pricing models using excess returns (2008)Specification tests of asset …Are Euro Area Small Cap Stocks an Asset Class? Evidence from Mean‐Variance Spanning Tests (2005)Are Euro Area Small Cap Stock…Valuation of financial versus non-financial firms: a global perspective (2004)Valuation of financial versus…Are TIPS the “real” deal?: A conditional assessment of their role in a nominal portfolio (2004)Are TIPS the “real” deal?: A …Currency hedging for international stock portfolios: The usefulness of mean–variance analysis (2003)Currency hedging for internat…The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National Markets (2002)The Book-to-Market and Size E…Tests of Mean-Variance Spanning (2000)Tests of Mean-Variance Spanni…SEGMENTATION OF THE A‐ AND B‐SHARE CHINESE EQUITY MARKETS (2000)SEGMENTATION OF THE A‐ AND B‐…1 Econometric evaluation of asset pricing models (1996)1 Econometric evaluation of a…Chapter 5 Theory and empirical testing of asset pricing models (1995)Chapter 5 Theory and empirica…Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums (1994)Analytical GMM Tests: Asset P…ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (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)On Persistence in Mutual Fund Performance (1997)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Econometric Analysis of Cross Section and Panel Data (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1977Asset returns and inflation2,701 cited

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  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • Cited by

    • 2012On the diversification benefits of commodities from the perspective of euro investors185 cited
    • 2011Time Variation in Diversification Benefits of Commodity, REITs, and TIPS84 cited
    • 2008Specification tests of asset pricing models using excess returns82 cited
    • 2000SEGMENTATION OF THE A‐ AND B‐SHARE CHINESE EQUITY MARKETS74 cited
    • 2017Diversification benefits of commodities: A stochastic dominance efficiency approach64 cited
    • 1995Chapter 5 Theory and empirical testing of asset pricing models59 cited
    • 1994Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums59 cited
    • 2003Currency hedging for international stock portfolios: The usefulness of mean–variance analysis58 cited
    • 2004Valuation of financial versus non-financial firms: a global perspective54 cited
    • 2000Tests of Mean-Variance Spanning50 cited
    • 2018Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect49 cited
    • 19961 Econometric evaluation of asset pricing models46 cited
    • 2002The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National Markets40 cited
    • 2012Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach34 cited
    • 2005Are Euro Area Small Cap Stocks an Asset Class? Evidence from Mean‐Variance Spanning Tests34 cited
    • 2004Are TIPS the “real” deal?: A conditional assessment of their role in a nominal portfolio32 cited