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Empirical evidence of conditional asset pricing in the Indian stock market
16 references·0 citing·26 second hop
Empirical evidence of conditional asset pricing in the Indian stock market (2015)Empirical evidence of conditional asset p…Emerging Market Business Cycles: The Cycle Is the Trend (2007)Emerging Market Business Cycl…Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…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…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Debt/Equity Ratio and Expecte…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The relationship between return and market value of common stocks (1981)The relationship between retu…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Portfolio Selection: Efficient Diversification of Investments (1959)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**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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)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)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 2007Emerging Market Business Cycles: The Cycle Is the Trend1,476 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

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1,445 cited
  • 1988Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence1,336 cited
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