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Limits-to-arbitrage, investment frictions, and the asset growth anomaly
16 references·16 citing·30 second hopsampled
Limits-to-arbitrage, investment frictions, and the asset growth anomaly (2011)Limits-to-arbitrage, investment frictions…New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)New Evidence on Measuring Fin…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Information Uncertainty and Stock Returns (2006)Information Uncertainty and S…The Cash Flow Sensitivity of Cash (2004)The Cash Flow Sensitivity of …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…The Limits of Arbitrage (1995)The Limits of ArbitrageMarket underreaction to open market share repurchases (1995)Market underreaction to open …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…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Financing Constraints and Corporate Investment (1988)Financing Constraints and Cor…Financing Constraints and Corporate Investment (1987)Financing Constraints and Cor…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…ESG, liquidity, and stock returns (2022)ESG, liquidity, and stock ret…Investor sentiment and stock returns: Global evidence (2021)Investor sentiment and stock …The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies (2020)The Causal Effect of Limits t…Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence (2020)Salience Theory and the Cross…A diagnostic Criterion for approximate factor structure (2019)A diagnostic Criterion for ap…The Investment CAPM (2017)The Investment CAPMQ-theory, mispricing, and profitability premium: Evidence from China (2017)Q-theory, mispricing, and pro…Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016)Time-Varying Risk Premium in …Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market (2016)Limits of arbitrage and idios…What explains the dynamics of 100 anomalies? (2015)What explains the dynamics of…Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock (2014)Post-Earnings-Announcement Dr…The investment manifesto (2013)The investment manifestoMarket Development and the Asset Growth Effect: International Evidence (2013)Market Development and the As…Why Does Financial Strength Forecast Stock Returns? Evidence from Subsequent Demand by Institutional Investors (2012)Why Does Financial Strength F…The asset growth effect: Insights from international equity markets (2012)The asset growth effect: Insi…Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2012)Arbitrage Asymmetry and the I…Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)The determinants and implications of corporate cash holdings (1999)Corporate social responsibility and access to finance (2013)The Economics of Disclosure and Financial Reporting Regulation: Evidence and Suggestions for Future Research (2016)Demand for green finance: Resolving financing constraints on green innovation in China (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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 ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Credit Rationing in Markets with Imperfect Information (1981)Agency costs of free cash flow, corporate finance, and takeovers (1996)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)A model of investor sentiment /Market Liquidity and Funding Liquidity (2008)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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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
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2010New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index5,574 cited
  • 1988Financing Constraints and Corporate Investment5,566 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1987Financing Constraints and Corporate Investment4,354 cited
  • 2004The Cash Flow Sensitivity of Cash3,523 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 2006Information Uncertainty and Stock Returns1,810 cited
  • 1995

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Market underreaction to open market share repurchases
1,739 cited

Cited by

  • 2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle286 cited
  • 2016Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets280 cited
  • 2012The asset growth effect: Insights from international equity markets224 cited
  • 2022ESG, liquidity, and stock returns186 cited
  • 2016Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market181 cited
  • 2021Investor sentiment and stock returns: Global evidence176 cited
  • 2015What explains the dynamics of 100 anomalies?168 cited
  • 2013Market Development and the Asset Growth Effect: International Evidence160 cited
  • 2020The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies141 cited
  • 2013The investment manifesto128 cited
  • 2014Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock127 cited
  • 2020Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence104 cited
  • 2012Why Does Financial Strength Forecast Stock Returns? Evidence from Subsequent Demand by Institutional Investors96 cited
  • 2017The Investment CAPM95 cited
  • 2019A diagnostic Criterion for approximate factor structure92 cited
  • 2017Q-theory, mispricing, and profitability premium: Evidence from China89 cited