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Nominal Price Illusion
16 references·16 citing·29 second hopsampled
Nominal Price Illusion (2013)Nominal Price IllusionWho Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…Dissecting Anomalies (2007)Dissecting AnomaliesRetail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Does Net Buying Pressure Affe…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Institutional Investors and Equity Prices (2001)Institutional Investors and E…Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Forecasting crashes: trading …Institutional Investors and Equity Prices (1998)Institutional Investors and E…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Option pricing: A simplified approach (1979)Option pricing: A simplified …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Cryptocurrency Pump-and-Dump Schemes (2025)Cryptocurrency Pump-and-Dump …Stock dividend and analyst optimistic bias in earnings forecast (2022)Stock dividend and analyst op…Beyond the blockchain announcement: Signaling credibility and market reaction (2022)Beyond the blockchain announc…The ordering of historical returns and the cross-section of subsequent returns (2021)The ordering of historical re…Can the Market Multiply and Divide? Non‐Proportional Thinking in Financial Markets (2021)Can the Market Multiply and D…Reformulating prospect theory to become a von Neumann–Morgenstern theory (2020)Reformulating prospect theory…Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns (2020)Mispricing, Short-Sale Constr…I am a blockchain too: How does the market respond to companies’ interest in blockchain? (2020)I am a blockchain too: How do…Fear in the Stock Market: How COVID-19 Affects Preference for High- and Low-Priced Stocks (2020)Fear in the Stock Market: How…The Psychology of Cryptocurrency Prices (2019)The Psychology of Cryptocurre…ICO vs IPO: Empirical Findings, Information Asymmetry and the Appropriate Regulatory Framework (2019)ICO vs IPO: Empirical Finding…Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets (2019)Can the Market Multiply and D…Investor Attention and Option Returns (2018)Investor Attention and Option…Financial Markets Where Traders Neglect the Informational Content of Prices (2018)Financial Markets Where Trade…Behavioral bias in number processing: Evidence from analysts’ expectations (2018)Behavioral bias in number pro…Prospect theory and IPO returns in China (2017)Prospect theory and IPO retur…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Advances in prospect theory: Cumulative representation of uncertainty (1992)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)Chapter 18 A survey of behavioral finance (2003)Noise Trader Risk in Financial Markets (1990)Multifactor Explanations of Asset Pricing Anomalies (1996)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)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
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices1,918 cited
  • 2009Who Gambles in the Stock Market?1,808 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2001Institutional Investors and Equity Prices1,646 cited
  • 2007Dissecting Anomalies1,573 cited
  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1998Institutional Investors and Equity Prices1,263 cited

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Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
991 cited

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  • 2018Behavioral bias in number processing: Evidence from analysts’ expectations46 cited
  • 2022Stock dividend and analyst optimistic bias in earnings forecast43 cited
  • 2019The Psychology of Cryptocurrency Prices38 cited
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  • 2017Prospect theory and IPO returns in China34 cited
  • 2019Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets34 cited
  • 2022Beyond the blockchain announcement: Signaling credibility and market reaction32 cited
  • 2018Investor Attention and Option Returns25 cited
  • 2025Cryptocurrency Pump-and-Dump Schemes24 cited
  • 2020Reformulating prospect theory to become a von Neumann–Morgenstern theory8 cited
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