SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Biased Beliefs, Asset Prices, and Investment: A Structural Approach
16 references·16 citing·26 second hopsampled
Biased Beliefs, Asset Prices, and Investment: A Structural Approach (2012)Biased Beliefs, Asset Prices, and Investm…Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Boys will be Boys: Gender, Ov…Do Investors Trade Too Much? (1999)Do Investors Trade Too Much?A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Numerical Methods in Economics (1998)Numerical Methods in EconomicsInvestor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Do Investment-Cash Flow Sensi…Myopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Automatic 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 Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A model of investor sentiment /A model of investor sentiment…Misvaluation and Corporate Inventiveness (2020)Misvaluation and Corporate In…First Impression Bias: Evidence from Analyst Forecasts (2020)First Impression Bias: Eviden…Stock Return Extrapolation, Option Prices, and Variance Risk Premium (2019)Stock Return Extrapolation, O…Private Firm Investment and Public Peer Misvaluation (2019)Private Firm Investment and P…Psychology-based Models of Asset Prices and Trading Volume (2018)Psychology-based Models of As…Behavioral Corporate Finance (2018)Behavioral Corporate FinanceInvestor Overconfidence, Firm Valuation, and Corporate Decisions (2017)Investor Overconfidence, Firm…Excess Volatility: Beyond Discount Rates* (2017)Excess Volatility: Beyond Dis…Environment, social, and governance (ESG) criteria and preference of managers (2017)Environment, social, and gove…Best Practice for Cost-of-Capital Estimates (2017)Best Practice for Cost-of-Cap…Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles (2017)Asset Pricing with Disagreeme…Overconfident Investors, Predictable Returns, and Excessive Trading (2016)Overconfident Investors, Pred…Disagreement, speculation, and aggregate investment (2015)Disagreement, speculation, an…Financial Market Dislocations (2014)Financial Market DislocationsX-CAPM: An Extrapolative Capital Asset Pricing Model (2013)X-CAPM: An Extrapolative Capi…Loyalty‐Shares: Rewarding Long‐term Investors (2013)Loyalty‐Shares: Rewarding Lon…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Managing with Style: The Effect of Managers on Firm Policies (2003)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Continuous Auctions and Insider Trading (1985)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)On Persistence in Mutual Fund Performance (1997)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Gender Differences in Preferences (2009)Women in the boardroom and their impact on governance and performance☆ (2009)Investor Sentiment and the Cross‐Section of Stock Returns (2006)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 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
  • 1997Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?6,790 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2001Boys will be Boys: Gender, Overconfidence, and Common Stock Investment5,215 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1998

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Numerical Methods in Economics
2,587 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 1999Do Investors Trade Too Much?2,245 cited
  • Cited by

    • 2014Financial Market Dislocations113 cited
    • 2017Excess Volatility: Beyond Discount Rates*106 cited
    • 2016Overconfident Investors, Predictable Returns, and Excessive Trading81 cited
    • 2015Disagreement, speculation, and aggregate investment79 cited
    • 2017Best Practice for Cost-of-Capital Estimates78 cited
    • 2017Environment, social, and governance (ESG) criteria and preference of managers72 cited
    • 2013Loyalty‐Shares: Rewarding Long‐term Investors69 cited
    • 2020Misvaluation and Corporate Inventiveness66 cited
    • 2018Behavioral Corporate Finance57 cited
    • 2017Investor Overconfidence, Firm Valuation, and Corporate Decisions54 cited
    • 2020First Impression Bias: Evidence from Analyst Forecasts53 cited
    • 2013X-CAPM: An Extrapolative Capital Asset Pricing Model50 cited
    • 2019Private Firm Investment and Public Peer Misvaluation42 cited
    • 2017Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles39 cited
    • 2019Stock Return Extrapolation, Option Prices, and Variance Risk Premium37 cited
    • 2018Psychology-based Models of Asset Prices and Trading Volume36 cited