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Risk Premia and Variance Bounds
16 references·7 citing·38 second hop
Risk Premia and Variance Bounds (1997)Risk Premia and Variance BoundsAssessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets (1996)Beyond Arbitrage: "Good-Deal"…Multifactor models do not explain deviations from the CAPM (1995)Multifactor models do not exp…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Explaining the Variance of Price–Dividend Ratios (1992)Explaining the Variance of Pr…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Habit Persistence and Durability in Aggregate Consumption: Empirical Tests (1991)Habit Persistence and Durabil…Habit persistence and durability in aggregate consumption (1991)Habit persistence and durabil…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The equity premium: A puzzle (1985)The equity premium: A puzzleThe Determinants of the Variability of Stock Market Prices (1980)The Determinants of the Varia…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Upper Bounds on Return Predictability (2017)Upper Bounds on Return Predic…Economic Risk Premia in the Fixed Income Markets: The Intra-Day Evidence (2012)Economic Risk Premia in the F…Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2011)Variance Bounds on the Perman…A New Variance Bound on the Stochastic Discount Factor* (2006)A New Variance Bound on the S…Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance (2003)Chapter 12 Tests of multifact…Stochastic Discount Factor Bounds with Conditioning Information (2002)Stochastic Discount Factor Bo…Conditioning Information and Variance Bounds on Pricing Kernels (2001)Conditioning Information and …The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Determinants of Capital Structure Choice (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Asset Pricing at the Millennium (2000)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Shrinking the cross-section (2019)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-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Theory of Syndicates (1968)Investor Psychology and Asset Pricing (2001)Prospect Theory and Asset Prices (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
  • 1995Multifactor models do not explain deviations from the CAPM571 cited
  • 1980The Determinants of the Variability of Stock Market Prices511 cited
  • 1992Explaining the Variance of Price–Dividend Ratios482 cited
  • 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets405 cited
  • 1991Habit Persistence and Durability in Aggregate Consumption: Empirical Tests379 cited

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  • 1991Habit persistence and durability in aggregate consumption345 cited
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    • 2017Upper Bounds on Return Predictability46 cited
    • 2012Economic Risk Premia in the Fixed Income Markets: The Intra-Day Evidence39 cited
    • 2001Conditioning Information and Variance Bounds on Pricing Kernels39 cited
    • 2002Stochastic Discount Factor Bounds with Conditioning Information31 cited
    • 2011Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors29 cited
    • 2003Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance25 cited
    • 2006A New Variance Bound on the Stochastic Discount Factor*22 cited