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IS THE BOOK‐TO‐MARKET RATIO A MEASURE OF RISK?
16 references·2 citing·29 second hop
IS THE BOOK‐TO‐MARKET RATIO A MEASURE OF RISK? (2005)IS THE BOOK‐TO‐MARKET RATIO A MEASURE OF …The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsWere the Good Old Days That Good? Changes in Managerial Stock Ownership Since the Great Depression (1999)Were the Good Old Days That G…Taxes, Financing Decisions, and Firm Value (1998)Taxes, Financing Decisions, a…Industry costs of equity (1997)Industry costs of equityMultifactor models do not explain deviations from the CAPM (1995)Multifactor models do not exp…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…On the Cross-Sectional Relation between Expected Returns and Betas (1994)On the Cross-Sectional Relati…Financial Distress and Corporate Performance (1994)Financial Distress and Corpor…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS (1972)THE EFFECT OF THE FIRM'S CAPI…CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION (1963)CORPORATE INCOME TAXES AND TH…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Investor-herding and risk-profiles: A State-Space model-based assessment (2020)Investor-herding and risk-pro…An empirical framework of financial characteristics and outperformance in troubled economic times (2013)An empirical framework of fin…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)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The determinants and implications of corporate cash holdings (1999)In Search of Distress Risk (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Pricing of Options and Corporate Liabilities (1973)Forecasting Default with the Merton Distance to Default Model (2008)Credit Spreads and Business Cycle Fluctuations (2012)… and the Cross-Section of Expected Returns (2015)Determinants of corporate borrowing (1977)The theory and practice of corporate finance: evidence from the field (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1963CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION5,951 cited
  • 1997Industry costs of equity5,793 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1994Financial Distress and Corporate Performance1,660 cited
  • 1972THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS1,130 cited
  • 1998Taxes, Financing Decisions, and Firm Value1,037 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1999Were the Good Old Days That Good? Changes in Managerial Stock Ownership Since the Great Depression644 cited
  • 1995Multifactor models do not explain deviations from the CAPM571 cited
  • 1994

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On the Cross-Sectional Relation between Expected Returns and Betas
408 cited

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  • 2020Investor-herding and risk-profiles: A State-Space model-based assessment25 cited
  • 2013An empirical framework of financial characteristics and outperformance in troubled economic times20 cited