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The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems
13 references·16 citing·38 second hop
The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems (2009)The CAPM and the Risk Appetite Index: The…Linking Measured Risk Aversion to Individual Characteristics (2002)Linking Measured Risk Aversio…The Econometrics of Financial Markets (1997)The Econometrics of Financial…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Foundations for Financial Economics (1988)Foundations for Financial Eco…Size and stock returns, and other empirical regularities (1983)Size and stock returns, and o…On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSA critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility (2015)Short-Term GDP Forecasting Wi…IMMIGRATION, JOBS, AND EMPLOYMENT PROTECTION: EVIDENCE FROM EUROPE BEFORE AND DURING THE GREAT RECESSION (2014)IMMIGRATION, JOBS, AND EMPLOY…Are Incentives for R&D Effective? Evidence from a Regression Discontinuity Approach (2014)Are Incentives for R&D Effect…The Impact of Monetary Policy Shocks on Commodity Prices (2012)The Impact of Monetary Policy…How Sticky are Local Expenditures in Italy? Assessing the Relevance of the 'Flypaper Effect' Through Municipal Data (2012)How Sticky are Local Expendit…Evidence on the impact of R&D and ICT investments on innovation and productivity in Italian firms (2012)Evidence on the impact of R&D…Comparing forecast accuracy: A Monte Carlo investigation (2012)Comparing forecast accuracy: …With a little help from abroad: The effect of low-skilled immigration on the female labour supply (2011)With a little help from abroa…Policies for Local Development: An Evaluation of Italy's 'Patti Territoriali' (2011)Policies for Local Developmen…Housing, consumption and monetary policy: How different are the US and the euro area? (2011)Housing, consumption and mone…Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy (2010)Why Do (or Did?) Banks Securi…The Rise of Risk-Based Pricing of Mortgage Interest Rates in Italy (2010)The Rise of Risk-Based Pricin…On vector autoregressive modeling in space and time (2010)On vector autoregressive mode…How Does Immigration Affect Native Internal Mobility? New Evidence from Italy (2010)How Does Immigration Affect N…Asset‐based measurement of poverty (2010)Asset‐based measurement of po…Innovation and Productivity in SMEs - Empirical Evidence for Italy (2009)Innovation and Productivity i…Criteria for Choice Among Risky Ventures (1959)An Intertemporal Capital Asset Pricing Model (1973)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)Why do people pay taxes? (1992)Economic foundations of cost-effectiveness analysis (1997)Inequality, Social Insurance, and Redistribution (2001)Portfolio Selection: Efficient Diversification of Investments (1959)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**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)Common risk factors in the returns on stocks and bonds (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Prospect Theory: An Analysis of Decision under Risk (2000)The Economics and Psychology of Personality Traits (2008)The economics and psychology of personality traits (2008)Gender Differences in Preferences (2009)Individual Decision Making (2020)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 2002Linking Measured Risk Aversion to Individual Characteristics546 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1988Foundations for Financial Economics492 cited
  • 1983Size and stock returns, and other empirical regularities258 cited

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  • 2010Asset‐based measurement of poverty473 cited
  • 2014IMMIGRATION, JOBS, AND EMPLOYMENT PROTECTION: EVIDENCE FROM EUROPE BEFORE AND DURING THE GREAT RECESSION409 cited

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2014
Are Incentives for R&D Effective? Evidence from a Regression Discontinuity Approach
400 cited
  • 2011With a little help from abroad: The effect of low-skilled immigration on the female labour supply395 cited
  • 2011Housing, consumption and monetary policy: How different are the US and the euro area?358 cited
  • 2011Policies for Local Development: An Evaluation of Italy's 'Patti Territoriali'330 cited
  • 2009Innovation and Productivity in SMEs - Empirical Evidence for Italy327 cited
  • 2012The Impact of Monetary Policy Shocks on Commodity Prices314 cited
  • 2012Evidence on the impact of R&D and ICT investments on innovation and productivity in Italian firms304 cited
  • 2010The Rise of Risk-Based Pricing of Mortgage Interest Rates in Italy300 cited
  • 2010How Does Immigration Affect Native Internal Mobility? New Evidence from Italy286 cited
  • 2012Comparing forecast accuracy: A Monte Carlo investigation284 cited
  • 2010On vector autoregressive modeling in space and time255 cited
  • 2012How Sticky are Local Expenditures in Italy? Assessing the Relevance of the 'Flypaper Effect' Through Municipal Data248 cited
  • 2015Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility243 cited
  • 2010Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy241 cited