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EMPIRICAL IRREGULARITIES IN THE ESTIMATION OF BETA: THE IMPACT OF ALTERNATIVE ESTIMATION ASSUMPTIONS AND PROCEDURES
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EMPIRICAL IRREGULARITIES IN THE ESTIMATION OF BETA: THE IMPACT OF ALTERNATIVE ESTIMATION ASSUMPTIONS AND PROCEDURES (1995)EMPIRICAL IRREGULARITIES IN THE ESTIMATIO…The variation of certain speculative prices (1997)The variation of certain spec…Measuring security price performance using daily NASDAQ returns (1993)Measuring security price perf…MODELLING ABNORMAL RETURNS: A REVIEW ARTICLE (1992)MODELLING ABNORMAL RETURNS: A…The relation between the return interval and betas (1989)The relation between the retu…Nonstationary expected returns (1989)Nonstationary expected returnsUsing daily stock returns (1985)Using daily stock returnsThe Stability of UK Risk Measures and The Problem of Thin Trading (1983)The Stability of UK Risk Meas…Risk measurement when shares are subject to infrequent trading (1983)Risk measurement when shares …Measuring security price performance (1980)Measuring security price perf…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…ON THE ASSESSMENT OF RISK (1971)ON THE ASSESSMENT OF RISKThe Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Public announcement induced market reactions on Baltic stock exchanges (2008)Public announcement induced m…Robust vs. OLS estimation of the market model: implications for event studies (2000)Robust vs. OLS estimation of …A multivariate GARCH model of risk premia in foreign exchange markets (1997)A multivariate GARCH model of…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)The capital asset pricing model: Some empirical tests (1972)Studies in the Theory of Capital Markets. (1973)Co-Skewness and Capital Asset Pricing (1980)An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model (1984)Optimization Methods in Finance (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Prediction of Systematic and Specific Risk in Common Stocks (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)Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension (1982)Friction in the trading process and the estimation of systematic risk (1983)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Adjustment of Stock Prices to New Information (1969)Event Studies in Economics and Finance (1997)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)The option pricing model and the risk factor of stock (1976)Foundations of Portfolio Theory (1991)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1985Using daily stock returns6,497 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1980Measuring security price performance3,330 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1971ON THE ASSESSMENT OF RISK721 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 1989Nonstationary expected returns475 cited
  • 1992MODELLING ABNORMAL RETURNS: A REVIEW ARTICLE349 cited
  • 1993Measuring security price performance using daily NASDAQ returns247 cited
  • 1983Risk measurement when shares are subject to infrequent trading240 cited
  • 1989The relation between the return interval and betas234 cited
  • 1983The Stability of UK Risk Measures and The Problem of Thin Trading192 cited

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Cited by

  • 1997A multivariate GARCH model of risk premia in foreign exchange markets27 cited
  • 2008Public announcement induced market reactions on Baltic stock exchanges21 cited
  • 2000Robust vs. OLS estimation of the market model: implications for event studies19 cited