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The Role of Investability Restrictions on Size, Value, and Momentum in International Stock Returns
16 references·4 citing·26 second hopsampled
The Role of Investability Restrictions on Size, Value, and Momentum in International Stock Returns (2012)The Role of Investability Restrictions on…Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…The Colors of Investors' Money: The Role of Institutional Investors Around the World (2007)The Colors of Investors' Mone…Why are foreign firms listed in the U.S. worth more? (2003)Why are foreign firms listed …The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States (1999)The Effects of Market Segment…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…International Momentum Strategies (1998)International Momentum Strate…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The World Price of Covariance Risk (1991)The World Price of Covariance…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…An equilibrium model of the international capital market (1974)An equilibrium model of the i…The Impact of Investability on Asset Valuation (2015)The Impact of Investability o…The International CAPM Redux (2014)The International CAPM ReduxAsset Allocation and Monetary Policy: Evidence from the Eurozone (2013)Asset Allocation and Monetary…The Role of Equity Funds in the Financial Crisis Propagation (2012)The Role of Equity Funds in t…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Does the Stock Market Overreact? (1985)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Value and Momentum Everywhere (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Law and Finance (1998)Corporate Governance and Equity Prices (2003)How does financial reporting quality relate to investment efficiency? (2009)Do institutional investors drive corporate social responsibility? International evidence (2018)The Importance of Climate Risks for Institutional Investors (2019)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Choosing factors (2018)Climate risks and market efficiency (2018)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2007The Colors of Investors' Money: The Role of Institutional Investors Around the World2,025 cited
  • 2012Size, value, and momentum in international stock returns1,822 cited
  • 1998International Momentum Strategies1,813 cited
  • 2003Why are foreign firms listed in the U.S. worth more?1,638 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1999

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The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States
1,051 cited

Cited by

  • 2014The International CAPM Redux28 cited
  • 2013Asset Allocation and Monetary Policy: Evidence from the Eurozone26 cited
  • 2015The Impact of Investability on Asset Valuation18 cited
  • 2012The Role of Equity Funds in the Financial Crisis Propagation17 cited