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Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns
16 references·4 citing·37 second hop
Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns (2011)Calendar Cycles, Infrequent Decisions, an…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…A Consumption‐Based Explanation of Expected Stock Returns (2006)A Consumption‐Based Explanati…Consumption, Dividends, and the Cross Section of Equity Returns (2005)Consumption, Dividends, and t…Consumption Risk and the Cross Section of Expected Returns (2005)Consumption Risk and the Cros…Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)A Cross-Sectional Test of an …Understanding Risk and Return (1993)Understanding Risk and ReturnCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods (1990)Asset Pricing and Optimal Por…Empirical Tests of the Consumption‐Oriented CAPM (1989)Empirical Tests of the Consum…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…World output gap and global stock returns (2018)World output gap and global s…Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect (2016)Global Economic Growth and Ex…CHRISTMAS ECONOMICS—A SLEIGH RIDE (2016)CHRISTMAS ECONOMICS—A SLEIGH …Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion (2008)Expected Returns and the Busi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Economic Forces and the Stock Market (1986)A Test of the Efficiency of a Given Portfolio (1989)Cultural Biases in Economic Exchange? * (2009)Innovative efficiency and stock returns (2012)Organization Capital and the Cross‐Section of Expected Returns (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Intertemporal Capital Asset Pricing Model (1973)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)The Behavior of Stock-Market Prices (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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)Implied Binomial Trees (1994)The Adaptive Markets Hypothesis (2004)Investor Sentiment and the Cross-Section of Stock Returns (2003)The Value Premium (2005)A skeptical appraisal of asset pricing tests☆ (2009)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1996A Cross-Sectional Test of an Investment-Based Asset Pricing Model1,023 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 1989Empirical Tests of the Consumption‐Oriented CAPM705 cited
  • 2006A Consumption‐Based Explanation of Expected Stock Returns653 cited
  • 2005Consumption Risk and the Cross Section of Expected Returns581 cited
  • 2005Consumption, Dividends, and the Cross Section of Equity Returns570 cited

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  • 1990Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods518 cited
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    • 2008Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion25 cited
    • 2018World output gap and global stock returns23 cited
    • 2016Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect19 cited
    • 2016CHRISTMAS ECONOMICS—A SLEIGH RIDE9 cited