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Another Look at the Cross-Section of Expected Stock Returns

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References

1993Common risk factors in the returns on stocks and bonds26,615 cited
1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
1992The Cross-Section of Expected Stock Returns17,251 cited
1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
1985Does the Stock Market Overreact?7,569 cited
1975THE 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.]6,743 cited
1981The relationship between return and market value of common stocks5,928 cited
1972Capital Market Equilibrium with Restricted Borrowing

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3,097 cited

1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited

1979Risk measurement when shares are subject to infrequent trading2,767 cited

1977Estimating betas from nonsynchronous data2,751 cited

1972The capital asset pricing model: Some empirical tests2,705 cited

1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited

1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited

1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited

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