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Dissecting Short-Sale Performance: Evidence from Large Position Disclosures
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Dissecting Short-Sale Performance: Evidence from Large Position Disclosures (2015)Dissecting Short-Sale Performance: Eviden…Betting against beta (2013)Betting against betaThe short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Limits of Arbitrage (1995)The Limits of ArbitrageAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The impact of institutional trading on stock prices (1992)The impact of institutional t…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)The theory and practice of econometrics (1986)A panel project on purchasing power parity: Mean reversion within and between countries (1996)The overvaluation of purchasing power parity (1998)Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Effect of foreign direct investments, economic development and energy consumption on greenhouse gas emissions in developing countries (2018)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)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)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data6,815 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 2013Betting against beta2,027 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices2,004 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2011

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The short of it: Investor sentiment and anomalies
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