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Stock Price Fragility
16 references·1 citing·37 second hopsampled
Stock Price Fragility (2011)Stock Price FragilitySimple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility (2000)Corporate Disclosure Practice…Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Volume, Volatility, Price, an…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…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A Dynamic Equilibrium Model of ETFs (2015)A Dynamic Equilibrium Model o…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Common Errors: How to (and Not to) Control for Unobserved Heterogeneity (2012)Corporate Immunity to the COVID-19 Pandemic (2020)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Prospect theory: An analysis of decision under risk (1988)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)
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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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2,559 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average1,980 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 2000Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility1,539 cited

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1986
Do Demand Curves for Stocks Slope Down?
1,524 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
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    • 2015A Dynamic Equilibrium Model of ETFs24 cited