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Book-to-Market Equity, Financial Leverage and the Cross-Section of Stock Returns
16 references·0 citing·38 second hop
Book-to-Market Equity, Financial Leverage and the Cross-Section of Stock Returns (2010)Book-to-Market Equity, Financial Leverage…The Econometrics of Financial Markets (2012)The Econometrics of Financial…In Search of Distress Risk (2008)In Search of Distress RiskDefault Risk in Equity Returns (2004)Default Risk in Equity ReturnsHow Big Are the Tax Benefits of Debt? (2000)How Big Are the Tax Benefits …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…What Do We Know about Capital Structure? Some Evidence from International Data (1995)What Do We Know about Capital…What Do We Know about Capital Structure? Some Evidence from International Data (1995)What Do We Know about Capital…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Dynamic Capital Structure Choice: Theory and Tests (1989)Dynamic Capital Structure Cho…Time to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Determinants of corporate borrowing (1977)Determinants of corporate bor…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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 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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)The equity premium: A puzzle (1985)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Industry costs of equity (1997)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Corporate financing and investment decisions when firms have information that investors do not have (1984)Law and Finance (1998)Corporate Ownership Around the World (1999)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1977Determinants of corporate borrowing13,160 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1995What Do We Know about Capital Structure? Some Evidence from International Data6,527 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1995What Do We Know about Capital Structure? Some Evidence from International Data2,443 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1989Dynamic Capital Structure Choice: Theory and Tests1,572 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 2000

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How Big Are the Tax Benefits of Debt?
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