SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Is Firm‐specific Return Variation a Measure of Information Efficiency?
16 references·2 citing·37 second hop
Is Firm‐specific Return Variation a Measure of Information Efficiency? (2013)Is Firm‐specific Return Variation a Measu…Opaque financial reports, R2, and crash risk☆ (2009)Opaque financial reports, R2,…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)More Than Words: Quantifying …Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Price Informativeness and Investment Sensitivity to Stock Price (2006)Price Informativeness and Inv…R2 around the world: New theory and new tests☆ (2005)R2 around the world: New theo…What Determines Corporate Transparency? (2004)What Determines Corporate Tra…The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Financial markets and the allocation of capital (2000)Financial markets and the all…Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Home Bias at Home: Local Equi…R D spillovers and the geography of innovation and production (1994)R D spillovers and the geogra…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Information environment and stock price synchronicity: Evidence from auditor characteristics (2021)Information environment and s…Mandatory IFRS Adoption and Earnings Quality: Evidence from the UK (2018)Mandatory IFRS Adoption and E…Earnings Management During Import Relief Investigations (1991)The economic implications of corporate financial reporting (2005)CFOs versus CEOs: Equity incentives and crashes (2011)Corporate tax avoidance and stock price crash risk: Firm-level analysis (2011)Corporate social responsibility and stock price crash risk (2014)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Law and Finance (1998)Does board gender diversity improve the informativeness of stock prices? (2011)Understanding commonality in liquidity around the world (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Increasing Returns and Economic Geography (1990)Investor Psychology and Asset Pricing (2001)Information and the Cost of Capital (2004)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2016)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law, Finance, and Economic Growth in China (2003)The Theory of Economic Development (2003)Finance and Growth: Theory and Evidence (2004)Chapter 12 Finance and Growth: Theory and Evidence (2005)Prospect theory: An analysis of decision under risk (1988)On Persistence in Mutual Fund Performance (1997)In Search of Attention (2011)Adoption of CSR and Sustainability Reporting Standards: Economic Analysis and Review (2019)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Textual Analysis in Accounting and Finance: A Survey (2016)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Chapter 49 Evidence on the nature and sources of agglomeration economies (2004)Digital affordances, spatial affordances, and the genesis of entrepreneurial ecosystems (2017)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,971 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,834 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios2,898 cited
  • 2005R2 around the world: New theory and new tests☆2,843 cited
  • 2009Opaque financial reports, R2, and crash risk☆2,796 cited
  • 1994R D spillovers and the geography of innovation and production2,706 cited
  • 2008More Than Words: Quantifying Language to Measure Firms' Fundamentals2,316 cited
  • 2004What Determines Corporate Transparency?2,192 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices2,004 cited
  • 2000Financial markets and the allocation of capital1,972 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,967 cited
  • 2006Price Informativeness and Investment Sensitivity to Stock Price1,492 cited
  • Cited by

    • 2021Information environment and stock price synchronicity: Evidence from auditor characteristics15 cited
    • 2018Mandatory IFRS Adoption and Earnings Quality: Evidence from the UK12 cited