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Profitability and investment‐based factor pricing models
16 references·2 citing·23 second hopsampled
Profitability and investment‐based factor pricing models (2016)Profitability and investment‐based factor…Dissecting Anomalies with a Five-Factor Model (2015)Dissecting Anomalies with a F…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A five-factor asset pricing model (2014)A five-factor asset pricing m…Does q-theory with investment frictions explain anomalies in the cross section of returns? (2010)Does q-theory with investment…Investment‐Based Expected Stock Returns (2009)Investment‐Based Expected Sto…Asset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…Dissecting Anomalies (2007)Dissecting AnomaliesProfitability, investment and average returns (2006)Profitability, investment and…The Value Premium (2005)The Value PremiumSize and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket (2004)Size and book to market effec…Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns (2004)Corporate Investment and Asse…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A 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…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Which model best explains the returns of large Australian stocks? (2019)Which model best explains the…Investment-related anomalies in Australia: Evidence and explanations (2018)Investment-related anomalies …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Toward an Implied Cost of Capital (2001)Digesting Anomalies: An Investment Approach (2012)Value and Momentum Everywhere (2013)Investment Under Uncertainty. (1994)The other side of value: The gross profitability premium (2013)On Persistence in Mutual Fund Performance (1997)The short of it: Investor sentiment and anomalies (2011)Hedging Climate Change News (2019)Dissecting green returns (2022)Does Academic Research Destroy Stock Return Predictability? (2015)Replicating Anomalies (2018)Empirical Asset Pricing via Machine Learning (2020)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2016)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2008Asset Growth and the Cross‐Section of Stock Returns1,595 cited
  • 2007Dissecting Anomalies1,573 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 2005The Value Premium1,334 cited
  • 2006Profitability, investment and average returns939 cited
  • 2015Dissecting Anomalies with a Five-Factor Model929 cited
  • 2004Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns778 cited
  • 2009Investment‐Based Expected Stock Returns436 cited
  • 2004Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket244 cited

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2010
Does q-theory with investment frictions explain anomalies in the cross section of returns?
237 cited

Cited by

  • 2018Investment-related anomalies in Australia: Evidence and explanations20 cited
  • 2019Which model best explains the returns of large Australian stocks?16 cited