SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Conditional Risk Premia in Currency Markets and Other Asset Classes
16 references·16 citing·33 second hopsampled
Conditional Risk Premia in Currency Markets and Other Asset Classes (2013)Conditional Risk Premia in Currency Marke…Value and Momentum Everywhere (2013)Value and Momentum EverywhereBetting against beta (2013)Betting against betaCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Downside Risk (2006)Downside RiskBond Risk Premia (2005)Bond Risk PremiaBad Beta, Good Beta (2004)Bad Beta, Good BetaThe market for borrowing stock (2002)The market for borrowing stockConditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…A Theory of Disappointment Aversion (1991)A Theory of Disappointment Av…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…International macroeconomics with imperfect financial markets (2022)International macroeconomics …The short duration premium (2021)The short duration premiumExchange Rates and Sovereign Risk (2021)Exchange Rates and Sovereign …Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence (2020)Salience Theory and the Cross…Macroeconomic Tail Risks and Asset Prices (2019)Macroeconomic Tail Risks and …Tail Risk Concerns Everywhere (2018)Tail Risk Concerns EverywhereMeasuring Skewness Premia (2018)Measuring Skewness PremiaGood Carry, Bad Carry (2018)Good Carry, Bad CarryAsymmetry in Stock Comovements: An Entropy Approach (2018)Asymmetry in Stock Comovement…Downside Risks and the Cross-Section of Asset Returns (2017)Downside Risks and the Cross-…Commodity Trade and the Carry Trade: A Tale of Two Countries (2017)Commodity Trade and the Carry…Common Risk Factors in the Cross-Section of Corporate Bond Returns (2016)Common Risk Factors in the Cr…Nominal Rigidities and Asset Pricing (2015)Nominal Rigidities and Asset …Downside Market Risk of Carry Trades (2014)Downside Market Risk of Carry…The Share of Systematic Variation in Bilateral Exchange Rates (2012)The Share of Systematic Varia…Tail Risk in Momentum Strategy Returns (2012)Tail Risk in Momentum Strateg…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Editor's Choice Digesting Anomalies: An Investment ApproachEfficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Common risk factors in the returns on stocks and bonds (1993)Expectations of Returns and Expected Returns (2014)… and the Cross-Section of Expected Returns (2015)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)How Sovereign Is Sovereign Credit Risk? (2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Multifactor Explanations of Asset Pricing Anomalies (1996)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Momentum (2011)Does Academic Research Destroy Stock Return Predictability? (2015)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2013Betting against beta2,027 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 2005Bond Risk Premia1,546 cited
  • 1991A Theory of Disappointment Aversion1,343 cited
  • 2004Bad Beta, Good Beta1,167 cited
  • 2002The market for borrowing stock1,161 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2006Downside Risk1,039 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited

Cited by

  • 2017

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Commodity Trade and the Carry Trade: A Tale of Two Countries
154 cited
  • 2014Downside Market Risk of Carry Trades119 cited
  • 2018Tail Risk Concerns Everywhere119 cited
  • 2012The Share of Systematic Variation in Bilateral Exchange Rates109 cited
  • 2021Exchange Rates and Sovereign Risk108 cited
  • 2016Common Risk Factors in the Cross-Section of Corporate Bond Returns107 cited
  • 2020Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence104 cited
  • 2017Downside Risks and the Cross-Section of Asset Returns100 cited
  • 2015Nominal Rigidities and Asset Pricing97 cited
  • 2018Measuring Skewness Premia89 cited
  • 2021The short duration premium82 cited
  • 2012Tail Risk in Momentum Strategy Returns71 cited
  • 2018Good Carry, Bad Carry67 cited
  • 2018Asymmetry in Stock Comovements: An Entropy Approach55 cited
  • 2022International macroeconomics with imperfect financial markets50 cited
  • 2019Macroeconomic Tail Risks and Asset Prices49 cited