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Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation
16 references·12 citing·26 second hop
Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation (1982)Changes in the Financial Market: Welfare …The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of the firm: Manageria…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Options and Efficiency (1976)Options and EfficiencyOn the optimality of equilibrium when the market structure is incomplete (1975)On the optimality of equilibr…Risk and return: The case of merging firms (1974)Risk and return: The case of …The Role of Securities in the Optimal Allocation of Risk-bearing (1973)The Role of Securities in the…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Role of Securities in the Optimal Allocation of Risk-bearing (1964)The Role of Securities in the…Theory of Value (1959)Theory of ValueThe Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…The Theory of Investment Value, by John Burr Williams (1939)The Theory of Investment Valu…Trading activity in the equity market and its contingent claims: An empirical investigation (2014)Trading activity in the equit…Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs? (2011)Has the introduction of S&P 5…Performance effects of corporate divestiture programs (2010)Performance effects of corpor…Costly trade, managerial myopia, and long-term investment (2008)Costly trade, managerial myop…Reassessing the Impact of Option Introductions on Market Quality: A Less Restrictive Test for Event-Date Effects (2007)Reassessing the Impact of Opt…The Impact of Derivatives on Cash Markets: What Have We Learned? (2000)The Impact of Derivatives on …The Role of a Corporate Bond Market in an Economy--And in Avoiding Crises (1999)The Role of a Corporate Bond …The impact of energy derivatives on the crude oil market (1999)The impact of energy derivati…Symposium on Market Microstructure: A Review of Empirical Research (1999)Symposium on Market Microstru…The impact of the listing of options in the foreign exchange market (1996)The impact of the listing of …THE IMPACT OF OPTION LISTING ON UNDERLYING STOCK RETURNS: THE UK EVIDENCE (1992)THE IMPACT OF OPTION LISTING …THE EFFECT OF VOLUNTARY CORPORATE LIQUIDATION ON SHAREHOLDER WEALTH (1987)THE EFFECT OF VOLUNTARY CORPO…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Option pricing when underlying stock returns are discontinuous (1976)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Nature of the Firm (1937)Separation of Ownership and Control (1983)Corporate financing and investment decisions when firms have information that investors do not have (1984)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Theory of Financial Decision Making. (1988)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Agency Problems and Residual Claims (1983)Well-being : the foundations of hedonic psychology (1999)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop

References

  • 1976Theory of the firm: Managerial behavior, agency costs and ownership structure71,441 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1959Theory of Value2,538 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1973The Role of Securities in the Optimal Allocation of Risk-bearing1,179 cited
  • 1964The Role of Securities in the Optimal Allocation of Risk-bearing1,172 cited
  • 1974Risk and return: The case of merging firms869 cited
  • 1976Options and Efficiency830 cited
  • 1975On the optimality of equilibrium when the market structure is incomplete746 cited
  • 1939The Theory of Investment Value, by John Burr Williams623 cited
  • 1979

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The Pricing of Contingent Claims in Discrete Time Models
546 cited

Cited by

  • 1999The impact of energy derivatives on the crude oil market96 cited
  • 1999The Role of a Corporate Bond Market in an Economy--And in Avoiding Crises53 cited
  • 1999Symposium on Market Microstructure: A Review of Empirical Research52 cited
  • 2000The Impact of Derivatives on Cash Markets: What Have We Learned?47 cited
  • 2007Reassessing the Impact of Option Introductions on Market Quality: A Less Restrictive Test for Event-Date Effects44 cited
  • 1992THE IMPACT OF OPTION LISTING ON UNDERLYING STOCK RETURNS: THE UK EVIDENCE40 cited
  • 2008Costly trade, managerial myopia, and long-term investment33 cited
  • 2011Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?32 cited
  • 2014Trading activity in the equity market and its contingent claims: An empirical investigation29 cited
  • 2010Performance effects of corporate divestiture programs24 cited
  • 1996The impact of the listing of options in the foreign exchange market24 cited
  • 1987THE EFFECT OF VOLUNTARY CORPORATE LIQUIDATION ON SHAREHOLDER WEALTH22 cited