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The Failure of the Capital Asset Pricing Model ( CAPM ): An Update and Discussion
14 references·2 citing·27 second hop
The Failure of the Capital Asset Pricing Model ( CAPM ): An Update and Discussion (2012)The Failure of the Capital Asset Pricing …Handbook of the Economics of Finance (2013)Handbook of the Economics of …The Capital Asset Pricing Model ( CAPM ): The History of a Failed Revolutionary Idea in Finance? (2012)The Capital Asset Pricing Mod…Persistence in Mutual Fund Performance: 2.0 (2008)Persistence in Mutual Fund Pe…The Value Premium and the CAPM (2006)The Value Premium and the CAPMPerformance Hypothesis Testing with the Sharpe Ratio (2003)Performance Hypothesis Testin…Chapter 15 Anomalies and market efficiency (2003)Chapter 15 Anomalies and mark…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (1999)Profitability of Momentum Str…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Nexuses between Economic Factors and Stock Returns in China (2017)Nexuses between Economic Fact…The M odigliani and M iller Propositions: The History of a Failed Foundation for Corporate Finance? (2014)The M odigliani and M iller P…An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Judgment under Uncertainty: Heuristics and Biases (1974)Common risk factors in the returns on stocks and bonds (1993)Anomalies and Market Efficiency (2002)Momentum strategies in commodity futures markets (2007)Accounting anomalies and fundamental analysis: A review of recent research advances (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Does the Stock Market Overreact? (1985)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)Illiquidity and stock returns: cross-section and time-series effects (2002)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Dissecting Anomalies (2007)Size, value, and momentum in international stock returns (2012)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,542 cited
  • 2013Handbook of the Economics of Finance1,932 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 1973Studies in the Theory of Capital Markets.763 cited
  • 1999Profitability of Momentum Strategies: An Evaluation of Alternative Explanations569 cited
  • 2006The Value Premium and the CAPM519 cited
  • 2003Chapter 15 Anomalies and market efficiency503 cited
  • 2003Performance Hypothesis Testing with the Sharpe Ratio358 cited
  • 2012The Capital Asset Pricing Model ( CAPM ): The History of a Failed Revolutionary Idea in Finance?114 cited
  • 2008Persistence in Mutual Fund Performance: 2.086 cited

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  • 2017Nexuses between Economic Factors and Stock Returns in China20 cited

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  • 2014The M odigliani and M iller Propositions: The History of a Failed Foundation for Corporate Finance?10 cited