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A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market
16 references·3 citing·33 second hop
A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market (2011)A Higher Moment Downside Framework for Co…Systematic risk in emerging markets: the D-CAPM (2002)Systematic risk in emerging m…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Skewness in financial returns (1999)Skewness in financial returnsAutoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…Emerging equity market volatility (1997)Emerging equity market volati…The Conditional Relation between Beta and Returns (1995)The Conditional Relation betw…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …Nexus between foreign exchange rate and stock market: evidence from India (2023)Nexus between foreign exchang…Conventional and downside CAPM: The case of London stock exchange (2022)Conventional and downside CAP…Further evidence on the validity of CAPM: The Warsaw Stock Exchange application (2020)Further evidence on the valid…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)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)Gain, Loss, and Asset Pricing (2000)ESG shareholder engagement and downside risk (2023)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A consumption-based model of the term structure of interest rates☆ (2005)Ex Ante Skewness and Expected Stock Returns (2012)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Optimal Portfolio Allocation under Higher Moments (2006)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Equilibrium Underdiversification and the Preference for Skewness (2007)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1995The Conditional Relation between Beta and Returns528 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
  • 2002Systematic risk in emerging markets: the D-CAPM300 cited

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  • 1999Skewness in financial returns292 cited
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    • 2022Conventional and downside CAPM: The case of London stock exchange20 cited
    • 2020Further evidence on the validity of CAPM: The Warsaw Stock Exchange application17 cited
    • 2023Nexus between foreign exchange rate and stock market: evidence from India16 cited