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Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks
5 references·16 citing·46 second hop
Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks (1980)Stationarity of Market Risk: Random Coeff…The Prediction of Systematic and Specific Risk in Common Stocks (1973)The Prediction of Systematic …On the Short-Term Stationarity of Beta Coefficients (1971)On the Short-Term Stationarit…The Association Between Market Determined and Accounting Determined Risk Measures. (1970)The Association Between Marke…Portfolio Theory: A Step Toward Its Practical Application (1970)Portfolio Theory: A Step Towa…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil (2012)Does socially responsible inv…A wavelet-based assessment of market risk: The emerging markets case (2012)A wavelet-based assessment of…Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques (2008)Time-varying beta risk of Pan…Equity Systematic Risk (Beta) and Its Determinants* (2007)Equity Systematic Risk (Beta)…Bayesian Alphas and Mutual Fund Persistence (2006)Bayesian Alphas and Mutual Fu…Timing and selectivity in Portuguese mutual fund performance (2005)Timing and selectivity in Por…Time varying country risk: an assessment of alternative modelling techniques (2002)Time varying country risk: an…The Stability of the Relation between the Stock Market and Macroeconomic Forces (2002)The Stability of the Relation…Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques (1998)Time‐Varying Beta Risk of Aus…Estimating the time Varying Components of international stock markets' risk (1995)Estimating the time Varying C…Variable betas on the Stockholm exchange 1971-1989 (1994)Variable betas on the Stockho…TIME STATIONARITY OF SYSTEMATIC RISK: SOME AUSTRALIAN EVIDENCE (1992)TIME STATIONARITY OF SYSTEMAT…The form of time variation of systematic risk: some Australian evidence (1992)The form of time variation of…Optimal algorithms and lower partial moment: ex post results (1991)Optimal algorithms and lower …Some Further Evidence on the Stochastic Properties of Systematic Risk (1987)Some Further Evidence on the …Estimating and Adjusting for the Intervalling-Effect Bias in Beta (1983)Estimating and Adjusting for …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Do social and environmental screens influence ethical portfolio performance? Evidence from Europe (2013)The Clean Techs equity indexes at stake: Risk and return dynamics analysis (2013)Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series (2018)A Simplified Model for Portfolio Analysis (1963)Financial Ratios As Predictors of Failure (1966)Efficient Inference in a Random Coefficient Regression Model (1970)The Association Between Market-Determined and Accounting-Determined Measures of Systematic Risk: Some Further Evidence (1975)Modern Investment Management: An Equilibrium Approach (2003)Modeling renewable energy company risk (2010)The option pricing model and the risk factor of stock (1976)The relationship between return and market value of common stocks (1981)Size-related anomalies and stock return seasonality (1983)A contribution to event study methodology with an application to the Dutch stock market (1992)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Price discovery in securities markets (1986)22 Modeling market microstructure time series (1996)On portfolio optimization: How and when do we benefit from high‐frequency data? (2009)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Socially Responsible Investment and cleaner production in the Asia Pacific: does it pay to be good? (2013)Firm and industry specific determinants of capital structure: Evidence from the Australian market (2018)The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives (2018)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)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)On Persistence in Mutual Fund Performance (1997)Improved Forecasting of Mutual Fund Alphas and Betas (2007)Does Mutual Fund Size Matter? The Relationship Between Size and Performance (2012)Mutual fund performance evaluation with active peer benchmarks (2013)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Environmental purchasing and firm performance: an empirical investigation (2000)Accounting Discretion, Corporate Governance, and Firm Performance* (2008)The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis (2012)The effect of limited information and estimation risk on optimal portfolio diversification (1977)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Using Stocks or Portfolios in Tests of Factor Models (2019)THE ADJUSTMENT OF BETA FORECASTS (1975)Estimating the Divisional Cost of Capital: An Analysis of the Pure-Play Technique (1981)Bayesian Analysis of Stochastic Betas (2005)
this work references cited by second hop

References

  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1970The Association Between Market Determined and Accounting Determined Risk Measures.573 cited
  • 1973The Prediction of Systematic and Specific Risk in Common Stocks272 cited
  • 1971On the Short-Term Stationarity of Beta Coefficients227 cited
  • 1970Portfolio Theory: A Step Toward Its Practical Application212 cited

Cited by

  • 1998Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques173 cited
  • 1983Estimating and Adjusting for the Intervalling-Effect Bias in Beta146 cited
  • 2006Bayesian Alphas and Mutual Fund Persistence140 cited
  • 1987Some Further Evidence on the Stochastic Properties of Systematic Risk133 cited
  • 2008Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques98 cited
  • 1992TIME STATIONARITY OF SYSTEMATIC RISK: SOME AUSTRALIAN EVIDENCE85 cited
  • 1994Variable betas on the Stockholm exchange 1971-198985 cited
  • 1992The form of time variation of systematic risk: some Australian evidence85 cited
  • 1995Estimating the time Varying Components of international stock markets' risk84 cited

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2002
The Stability of the Relation between the Stock Market and Macroeconomic Forces
81 cited
  • 2012Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil81 cited
  • 1991Optimal algorithms and lower partial moment: ex post results78 cited
  • 2012A wavelet-based assessment of market risk: The emerging markets case70 cited
  • 2005Timing and selectivity in Portuguese mutual fund performance61 cited
  • 2007Equity Systematic Risk (Beta) and Its Determinants*59 cited
  • 2002Time varying country risk: an assessment of alternative modelling techniques57 cited