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A unified beta pricing theory
8 references·16 citing·34 second hop
A unified beta pricing theory (1984)A unified beta pricing theoryArbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Mutual fund separation in financial theory—The separating distributions (1978)Mutual fund separation in fin…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Computation of Economic Equilibria. (1974)The Computation of Economic E…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016)Time-Varying Risk Premium in …Market Expectations in the Cross Section of Present Values (2011)Market Expectations in the Cr…CAPM for estimating the cost of equity capital: Interpreting the empirical evidence (2011)CAPM for estimating the cost …Theory-Based Illiquidity and Asset Pricing (2008)Theory-Based Illiquidity and …Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns (2007)Lazy Investors, Discretionary…DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2005)DEFAULT RISK AND DIVERSIFICAT…A Measure of Stock Market Integration for Developed and Emerging Markets (1996)A Measure of Stock Market Int…A contingent claim approach to performance evaluation (1994)A contingent claim approach t…No Arbitrage and Arbitrage Pricing: A New Approach (1993)No Arbitrage and Arbitrage Pr…A New Approach to International Arbitrage Pricing (1993)A New Approach to Internation…Asset Pricing Explorations for Macroeconomics (1992)Asset Pricing Explorations fo…An Empirical Investigation of International Asset Pricing (1989)An Empirical Investigation of…Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas (1987)Tests of Asset Pricing with T…Multivariate proxies and asset pricing relations (1987)Multivariate proxies and asse…Mimicking Portfolios and Exact Arbitrage Pricing (1987)Mimicking Portfolios and Exac…Some Results in the Theory of Arbitrage Pricing (1984)Some Results in the Theory of…Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Dissecting Characteristics Nonparametrically (2017)The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation (2021)What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures (2021)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Financial Intermediation and Delegated Monitoring (1984)Risk, Uncertainty and Profit (1921)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)Mean-Variance Theory in Complete Markets (1982)Modern portfolio theory, 1950 to date (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)The Cross-Section of Expected Stock Returns (1992)Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology (2013)Macro-Finance (2017)A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction (2024)Equity, envy, and efficiency (1974)Trade Using One Commodity as a Means of Payment (1977)The Socialist System (1992)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The specification of conditional expectations (2001)Optimal Portfolio Allocation under Higher Moments (2006)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Panels with Nonstationary Multifactor Error Structures (2006)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1974The Computation of Economic Equilibria.846 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1978Mutual fund separation in financial theory—The separating distributions345 cited

Cited by

  • 2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns311 cited
  • 2016Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets280 cited
  • 1993No Arbitrage and Arbitrage Pricing: A New Approach264 cited
  • 1992Asset Pricing Explorations for Macroeconomics262 cited
  • 1994A contingent claim approach to performance evaluation255 cited
  • 1987Multivariate proxies and asset pricing relations221 cited
  • 1987Mimicking Portfolios and Exact Arbitrage Pricing

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215 cited
  • 1989An Empirical Investigation of International Asset Pricing212 cited
  • 2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS201 cited
  • 1984Some Results in the Theory of Arbitrage Pricing200 cited
  • 2011Market Expectations in the Cross Section of Present Values198 cited
  • 1987Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas188 cited
  • 1993A New Approach to International Arbitrage Pricing182 cited
  • 2011CAPM for estimating the cost of equity capital: Interpreting the empirical evidence179 cited
  • 2008Theory-Based Illiquidity and Asset Pricing161 cited
  • 1996A Measure of Stock Market Integration for Developed and Emerging Markets160 cited