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Time-Series Processes of Utility Betas: Implications for Forecasting Systematic Risk
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Time-Series Processes of Utility Betas: Implications for Forecasting Systematic Risk (1990)Time-Series Processes of Utility Betas: I…Some Further Evidence on the Stochastic Properties of Systematic Risk (1987)Some Further Evidence on the …An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)An Empirical Investigation of…Market Model Stationarity of Individual Public Utilities (1983)Market Model Stationarity of …Time-Series Analysis of Beta Stationarity and Its Determinants: A Case of Public Utilities (1982)Time-Series Analysis of Beta …Testing the Hypothesis of Beta Stationarity (1981)Testing the Hypothesis of Bet…On the Use of Beta in Regulatory Proceedings: An Empirical Examination (1978)On the Use of Beta in Regulat…Beta as a Random Coefficient (1978)Beta as a Random CoefficientOn the Use of the CAPM in Public Utility Rate Cases (1977)On the Use of the CAPM in Pub…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…The Application of Finance Theory to Public Utility Rate Cases (1972)The Application of Finance Th…On the Use of Beta in Regulatory Proceedings: A Comment (1972)On the Use of Beta in Regulat…ON THE ASSESSMENT OF RISK (1971)ON THE ASSESSMENT OF RISKA Simplified Model for Portfolio Analysis (1963)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)The Effects of Regulatory Policies on the Cost of Debt for Electric Utilities: An Empirical Investigation (1989)Managing uncertainty in a general insurance company (1990)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Consistent Regulatory Policy under Uncertainty (1982)An Engine, Not a Camera (2006)Regulating Infrastructure: The Impact on Risk and Investment (2006)Equilibrium in a Capital Asset Market (1966)The Behavior of Stock Returns: Is it Stationary of Evolutionary? (1984)THE RISK BEHAVIOR OF EQUITY OF FIRMS APPROACHING BANKRUPTCY (1989)THE IMPACT OF SEGMENTAL REPORTING DISCLOSURE ON A FIRM'S PERCEIVED RISK (2003)The option pricing model and the risk factor of stock (1976)The relationship between return and market value of common stocks (1981)Size-related anomalies and stock return seasonality (1983)A contribution to event study methodology with an application to the Dutch stock market (1992)TIME STATIONARITY OF SYSTEMATIC RISK: SOME AUSTRALIAN EVIDENCE (1992)Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques (2008)BETAS AND THEIR REGRESSION TENDENCIES (1975)Book Review: Time Series Analysis: Forecasting and Control (1977)Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques (1998)Conditional coskewness and asset pricing (2006)Option-Implied Measures of Equity Risk (2011)Introduction to Stochastic Control Theory (1970)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk measurement when shares are subject to infrequent trading (1979)Bayes-Stein Estimation for Portfolio Analysis (1986)Betting against beta (2013)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The determinants of CDS spreads (2013)Asset Characteristics and Systematic Risk (1978)Regulation and Systematic Risk in the Electric Utility Industry: A Test of the Buffering Hypothesis (1997)Foundations of Portfolio Theory (1991)
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References

  • 1971ON THE ASSESSMENT OF RISK721 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS488 cited
  • 1978Beta as a Random Coefficient388 cited
  • 1984An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model280 cited
  • 1987Some Further Evidence on the Stochastic Properties of Systematic Risk133 cited
  • 1972The Application of Finance Theory to Public Utility Rate Cases126 cited
  • 1977On the Use of the CAPM in Public Utility Rate Cases44 cited
  • 1978On the Use of Beta in Regulatory Proceedings: An Empirical Examination36 cited
  • 1983Market Model Stationarity of Individual Public Utilities31 cited
  • 1981Testing the Hypothesis of Beta Stationarity29 cited
  • 1972On the Use of Beta in Regulatory Proceedings: A Comment18 cited
  • 1982Time-Series Analysis of Beta Stationarity and Its Determinants: A Case of Public Utilities17 cited

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