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The book-to-market equity ratio as a proxy for risk: evidence from Australian markets
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The book-to-market equity ratio as a proxy for risk: evidence from Australian markets (2010)The book-to-market equity ratio as a prox…Fundamental Indexation (2005)Fundamental IndexationDefault Risk in Equity Returns (2004)Default Risk in Equity ReturnsValue versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Industry costs of equity (1997)Industry costs of equityMultifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Structural and Return Characteristics of Small and Large Firms (1991)Structural and Return Charact…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION (1963)CORPORATE INCOME TAXES AND TH…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)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)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)Financial Intermediation and Delegated Monitoring (1984)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Pricing of Options and Corporate Liabilities (1973)Law and Finance (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)The theory and practice of corporate finance: evidence from the field (2001)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1963CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION5,951 cited
  • 1997Industry costs of equity5,793 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1991Structural and Return Characteristics of Small and Large Firms826 cited
  • 2005Fundamental Indexation

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