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Transaction Costs and the Pricing of Assets
16 references·4 citing·33 second hop
Transaction Costs and the Pricing of Assets (1981)Transaction Costs and the Pricing of Asse…Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Equilibrium in an Imperfect M…Capital Markets: Theory and Evidence (2003)Capital Markets: Theory and E…Transaction Costs in a Model of Capital Market Equilibrium (1979)Transaction Costs in a Model …Realized Returns on Common Stock Investments: The Experience of Individual Investors (1978)Realized Returns on Common St…The Capital Asset Pricing Model and the Investment Horizon (1977)The Capital Asset Pricing Mod…Market Imperfections, Capital Market Equilibrium and Corporation Finance (1977)Market Imperfections, Capital…MARKET IMPERFECTIONS, CAPITAL MARKET EQUILIBRIUM AND CORPORATION FINANCE (1977)MARKET IMPERFECTIONS, CAPITAL…Portfolio selection with transactions costs (1976)Portfolio selection with tran…Asset Markets and the Cost of Capital (1976)Asset Markets and the Cost of…The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results (1975)The Optimal Number of Securit…Capital Markets: Theory and Evidence (1972)Capital Markets: Theory and E…The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets (1969)The Aggregation of Investor's…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets (2017)Aggregation of heterogenous b……and the Cross-Section of Expected Returns (2013)…and the Cross-Section of Exp…Does Finance Theory Make the Case forCapitalization-Weighted Indexing? (2011)Does Finance Theory Make the …Information and Normal Backwardation as Determinants of Trading Performance: Evidence From the North Sea Oil Forward Market (1994)Information and Normal Backwa…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)Asset Pricing in a Production Economy with Incomplete Information (1986)Liquidity Preference as Behavior Towards Risk (1958)Bank funding modes (1987)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Social Performance and Firm Risk: Impact of the Financial Crisis (2016)The Behavior of Stock-Market Prices (1965)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The relation between the return interval and betas (1989)A data envelopment analysis approach to measure the mutual fund performance (2001)A closing call's impact on market quality at Euronext Paris (2003)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Periodic market closure and trading volume (1992)Participation Costs and the Sensitivity of Fund Flows to Past Performance (2007)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)An aggregation theorem for securities markets (1974)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)Risk Aversion in the Small and in the Large (1976)The Common Prior Assumption in Economic Theory (1995)Risk Sharing and Asset Prices: Evidence from a Natural Experiment (2004)Financialization: What It Is and Why It Matters (2013)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio542 cited
  • 1969The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets501 cited
  • 1976Portfolio selection with transactions costs431 cited
  • 1976Asset Markets and the Cost of Capital347 cited
  • 2003Capital Markets: Theory and Evidence275 cited
  • 1977The Capital Asset Pricing Model and the Investment Horizon255 cited
  • 1977MARKET IMPERFECTIONS, CAPITAL MARKET EQUILIBRIUM AND CORPORATION FINANCE239 cited
  • 1972Capital Markets: Theory and Evidence235 cited
  • 1977Market Imperfections, Capital Market Equilibrium and Corporation Finance199 cited
  • 1978Realized Returns on Common Stock Investments: The Experience of Individual Investors175 cited
  • 1975The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results

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156 cited
  • 1979Transaction Costs in a Model of Capital Market Equilibrium70 cited
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    • 2013…and the Cross-Section of Expected Returns36 cited
    • 2017Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets33 cited
    • 2011Does Finance Theory Make the Case forCapitalization-Weighted Indexing?29 cited
    • 1994Information and Normal Backwardation as Determinants of Trading Performance: Evidence From the North Sea Oil Forward Market26 cited