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Ex post: The investment performance of collectible stamps☆
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Ex post: The investment performance of collectible stamps☆ (2010)Ex post: The investment performance of co…How Did Japanese Investments Influence International Art Prices? (2009)How Did Japanese Investments …Just How Much Do Individual Investors Lose By Trading? (2005)Just How Much Do Individual I…ADVERSE SELECTION IN ELECTRONIC MARKETS: EVIDENCE FROM ONLINE STAMP AUCTIONS (2004)ADVERSE SELECTION IN ELECTRON…Luxury Goods and the Equity Premium (2003)Luxury Goods and the Equity P…Triumph of the Optimists (2002)Triumph of the OptimistsArt as an Investment and the Underperformance of Masterpieces (2002)Art as an Investment and the …A Century of Stock Market Liquidity and Trading Costs (2002)A Century of Stock Market Liq…The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors (2001)The Statistical Properties of…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Measuring Returns on Investments in Collectibles (1999)Measuring Returns on Investme…Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks. (1995)Macro Markets: Creating Insti…Smoothing in appraisal-based returns (1991)Smoothing in appraisal-based …The Relation Between Stock Prices and Inflationary Expectations: The International Evidence (1983)The Relation Between Stock Pr…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Asset returns and inflation (1977)Asset returns and inflationThe Economics of Exhaustible Resources (1931)The Economics of Exhaustible …The Role of the Media in Speculative Markets: Evidence from Non-Fungible Tokens (NFTs) (2022)The Role of the Media in Spec…Art in Times of Crisis (2021)Art in Times of CrisisLEGO - The Toy of Smart Investors (2018)LEGO - The Toy of Smart Inves…Financial Market History: Reflections on the Past for Investors Today (2016)Financial Market History: Ref…Risk Measures for Autocorrelated Hedge Fund Returns (2012)Risk Measures for Autocorrela…Is Wine a Premier CRU Investment? (2011)Is Wine a Premier CRU Investm…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Research in emerging markets finance: looking to the future (2002)Flight to Quality, Flight to Liquidity, and the Pricing of Risk (2004)Recent trends in trading activity and market quality (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Value indices of commercial real estate: A comparison of index construction methods (1994)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Legal Determinants of External Finance (1997)On Persistence in Mutual Fund Performance (1997)Do Limit Orders Alter Inferences about Investor Performance and Behavior? (2010)Social Networks, Information Acquisition, and Asset Prices (2011)Pollution and Performance: Do Investors Make Worse Trades on Hazy Days? (2016)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Household Risk Management and Optimal Mortgage Choice (2002)Reciprocity, Self-interest, and the Welfare State (2004)Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions (2005)Balanced-budget redistribution as the outcome of political competition (1987)Understanding Crude Oil Prices (2008)RCP4.5: a pathway for stabilization of radiative forcing by 2100 (2011)Predictive regressions with time-varying coefficients (2012)Crises and Recoveries in an Empirical Model of Consumption Disasters (2013)Household Finance: An Emerging Field (2013)Entertainment industry economics: a guide for financial analysis (2007)Anchoring Effects: Evidence from Art Auctions (2009)Buying Beauty: On Prices and Returns in the Art Market (2012)
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References

  • 1931The Economics of Exhaustible Resources4,535 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1977Asset returns and inflation2,701 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 2002Triumph of the Optimists659 cited
  • 2002Art as an Investment and the Underperformance of Masterpieces539 cited
  • 2002A Century of Stock Market Liquidity and Trading Costs484 cited
  • 1991Smoothing in appraisal-based returns425 cited
  • 1995Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks.347 cited
  • 2005Just How Much Do Individual Investors Lose By Trading?248 cited
  • 2004ADVERSE SELECTION IN ELECTRONIC MARKETS: EVIDENCE FROM ONLINE STAMP AUCTIONS242 cited
  • 1983The Relation Between Stock Prices and Inflationary Expectations: The International Evidence207 cited
  • 2001The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors188 cited
  • 1999Measuring Returns on Investments in Collectibles161 cited
  • 2009How Did Japanese Investments Influence International Art Prices?88 cited

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  • 2003Luxury Goods and the Equity Premium51 cited
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    • 2016Financial Market History: Reflections on the Past for Investors Today26 cited
    • 2018LEGO - The Toy of Smart Investors25 cited
    • 2012Risk Measures for Autocorrelated Hedge Fund Returns20 cited
    • 2022The Role of the Media in Speculative Markets: Evidence from Non-Fungible Tokens (NFTs)19 cited
    • 2011Is Wine a Premier CRU Investment?6 cited
    • 2021Art in Times of Crisis4 cited