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Does faith move stock markets? Evidence from Saudi Arabia
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Does faith move stock markets? Evidence from Saudi Arabia (2014)Does faith move stock markets? Evidence f…Does religion matter in corporate decision making in America? (2009)Does religion matter in corpo…Individual Investor Trading and Stock Returns (2008)Individual Investor Trading a…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…An examination of herd behavior in equity markets: An international perspective (2000)An examination of herd behavi…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Risk and Religion: An Explanation of Gender Differences in Religiosity (1995)Risk and Religion: An Explana…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Noise (1986)NoiseGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Religion and Interfaith Dialogue: The Forgotten Pedagogical DEI Initiative in Business Education and Strategic Planning (2022)Religion and Interfaith Dialo…Factors influencing investor behavior: an empirical study of Saudi Stock Market (2021)Factors influencing investor …Volatility of Malaysian conventional and Islamic indices: does financial crisis matter? (2020)Volatility of Malaysian conve…Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey (2020)Do Sukuk provide diversificat…A review of Islamic stock market, growth and real-estate finance literature (2020)A review of Islamic stock mar…Faith-based norms and portfolio performance: Evidence from India (2019)Faith-based norms and portfol…The impact of religious certification on market segmentation and investor recognition (2018)The impact of religious certi…The impact of religious practice on stock returns and volatility (2017)The impact of religious pract…The case for herding is stronger than you think (2017)The case for herding is stron…Social norms and market outcomes: The effects of religious beliefs on stock markets (2017)Social norms and market outco…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)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 (1965)Efficient Capital Markets: II (1991)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Do Demand Curves for Stocks Slope Down? (1986)The Noise Trader Approach to Finance (1990)Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)Econometric Analysis of Cross Section and Panel Data (2001)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (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)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1986Noise1,783 cited
  • 2009Does religion matter in corporate decision making in America?1,534 cited
  • 2000An examination of herd behavior in equity markets: An international perspective1,288 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 2008Individual Investor Trading and Stock Returns1,014 cited

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  • 1995Risk and Religion: An Explanation of Gender Differences in Religiosity844 cited
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    • 2020A review of Islamic stock market, growth and real-estate finance literature56 cited
    • 2019Faith-based norms and portfolio performance: Evidence from India42 cited
    • 2017The impact of religious practice on stock returns and volatility42 cited
    • 2017The case for herding is stronger than you think41 cited
    • 2017Social norms and market outcomes: The effects of religious beliefs on stock markets36 cited
    • 2020Volatility of Malaysian conventional and Islamic indices: does financial crisis matter?36 cited
    • 2021Factors influencing investor behavior: an empirical study of Saudi Stock Market36 cited
    • 2018The impact of religious certification on market segmentation and investor recognition32 cited
    • 2020Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey31 cited
    • 2022Religion and Interfaith Dialogue: The Forgotten Pedagogical DEI Initiative in Business Education and Strategic Planning10 cited