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Market Models and Heteroscedasticity of Residual Security Returns
15 references·0 citing·30 second hop
Market Models and Heteroscedasticity of Residual Security Returns (1983)Market Models and Heteroscedasticity of R…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Multivariate tests of financial models (1982)Multivariate tests of financi…Asymmetric Stable Distributed Security Returns (1980)Asymmetric Stable Distributed…Additional Evidence of Heteroscedasticity in the Market Model (1980)Additional Evidence of Hetero…Heteroscedasticity in the Market Model: A Comment (1977)Heteroscedasticity in the Mar…CANADIAN EVIDENCE OF HETEROSCEDASTICITY IN THE MARKET MODEL (1977)CANADIAN EVIDENCE OF HETEROSC…A SIMPLE MODEL OF NON‐STATIONARITY OF SYSTEMATIC RISK (1977)A SIMPLE MODEL OF NON‐STATION…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Evidence of Heteroscedasticity in the Market Model (1975)Evidence of Heteroscedasticit…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…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…Rank Correlation Methods. (1957)Rank Correlation Methods.Rank Correlation Methods. (1951)Rank Correlation Methods.Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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 Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange (2001)Volume and skewness in international equity markets (2007)Modeling and Forecasting Volatility of the Malaysian Stock Markets (2009)Dividend Policy, Growth, and the Valuation of Shares (1961)Efficient Capital Markets: II (1991)Mean-Variance Spanning (1987)On Persistence in Mutual Fund Performance (1997)On the Failure to Eliminate Hypotheses in a Conceptual Task (1960)Personal Religious Orientation and Prejudice. (1967)Increasing Returns and Long-Run Growth (1986)Introductory Econometrics for Finance (2008)Comparison of Values of Pearson's and Spearman's Correlation Coefficients on the Same Sets of Data (2011)Comparing the Pearson and Spearman correlation coefficients across distributions and sample sizes: A tutorial using simulations and empirical data. (2016)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1957Rank Correlation Methods.6,385 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1951Rank Correlation Methods.2,615 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1982Multivariate tests of financial models614 cited
  • 1980Asymmetric Stable Distributed Security Returns101 cited
  • 1977A SIMPLE MODEL OF NON‐STATIONARITY OF SYSTEMATIC RISK66 cited
  • 1980Additional Evidence of Heteroscedasticity in the Market Model43 cited
  • 1975Evidence of Heteroscedasticity in the Market Model31 cited
  • 1977Heteroscedasticity in the Market Model: A Comment30 cited
  • 1977CANADIAN EVIDENCE OF HETEROSCEDASTICITY IN THE MARKET MODEL29 cited

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