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Perspectives on the Equity Risk Premium
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Perspectives on the Equity Risk Premium (2005)Perspectives on the Equity Risk PremiumRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Myopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Efficient Capital Markets: II (1991)Efficient Capital Markets: IIHabit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…The equity premium: A puzzle (1985)The equity premium: A puzzleDo Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…What is the riskfree rate? A Search for the Basic Building Block (2020)What is the riskfree rate? A …The Equity Premium in 150 Textbooks (2020)The Equity Premium in 150 Tex…Maximum likelihood estimation of the equity premium (2017)Maximum likelihood estimation…Life cycle asset allocation in the presence of housing and tax-deferred investing (2013)Life cycle asset allocation i…Research and Reality - A Literature Review on Drawing Down Retirement Financial Savings (2012)Research and Reality - A Lite…A Literature Review of the Size Effect (2011)A Literature Review of the Si…Valuing the future: the social discount rate in cost benefit analysis (2010)Valuing the future: the socia…Booms and Busts in China’s Stock Market: Estimates Based on Fundamentals (2010)Booms and Busts in China’s St…The Equity Premium in 100 Textbooks (2009)The Equity Premium in 100 Tex…Rational Decumulation (2006)Rational DecumulationEquity Premium: Historical, Expected, Required and Implied (2006)Equity Premium: Historical, E…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Prospect theory: An analysis of decision under risk (1988)Status quo bias in decision making (1988)Do Investors Trade Too Much? (1999)Familiarity Breeds Investment (2001)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)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)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)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)Time to Build and Aggregate Fluctuations (1982)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications

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1,875 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited
  • Cited by

    • 2010Valuing the future: the social discount rate in cost benefit analysis157 cited
    • 2006Equity Premium: Historical, Expected, Required and Implied89 cited
    • 2020What is the riskfree rate? A Search for the Basic Building Block81 cited
    • 2017Maximum likelihood estimation of the equity premium63 cited
    • 2020The Equity Premium in 150 Textbooks59 cited
    • 2010Booms and Busts in China’s Stock Market: Estimates Based on Fundamentals50 cited
    • 2012Research and Reality - A Literature Review on Drawing Down Retirement Financial Savings45 cited
    • 2006Rational Decumulation40 cited
    • 2009The Equity Premium in 100 Textbooks39 cited
    • 2011A Literature Review of the Size Effect34 cited
    • 2013Life cycle asset allocation in the presence of housing and tax-deferred investing24 cited