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Making inefficient market indices efficient
16 references·2 citing·33 second hop
Making inefficient market indices efficient (2010)Making inefficient market indices efficie…Consistent Tests for Stochastic Dominance (2003)Consistent Tests for Stochast…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality (2000)Statistical Inference for Sto…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…On the Measurement of Poverty (1987)On the Measurement of PovertyRanking Income Distributions (1983)Ranking Income DistributionsOn a Class of Poverty Measures (1980)On a Class of Poverty MeasuresSKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…On the measurement of inequality (1970)On the measurement of inequal…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis (2014)Frontier-based vs. traditiona…An empirical analysis of marginal conditional stochastic dominance (2011)An empirical analysis of marg…A theory of anticipated utility (1982)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)Notes on the measurement of inequality (1973)On Economic Inequality (1973)Unequal inequalities. I (1976)On the measurement of inequalities in health (1991)On decomposing the causes of health sector inequalities with an application to malnutrition inequalities in Vietnam (2002)Risk Aversion in the Small and in the Large (1964)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)The Dimensions of Residential Segregation (1988)The Utility Analysis of Choices Involving Risk (1948)A Class of Decomposable Poverty Measures (1984)The Developing World is Poorer than We Thought, But No Less Successful in the Fight Against Poverty (2010)Measuring Acute Poverty in the Developing World: Robustness and Scope of the Multidimensional Poverty Index (2014)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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1970On the measurement of inequality6,456 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1987On the Measurement of Poverty1,176 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1983Ranking Income Distributions1,061 cited
  • 2000Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality870 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 1980On a Class of Poverty Measures761 cited
  • 2003Consistent Tests for Stochastic Dominance

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  • 2014Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis27 cited
  • 2011An empirical analysis of marginal conditional stochastic dominance17 cited