SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The time traveller’s CAPM
16 references·0 citing·32 second hop
The time traveller’s CAPM (2016)The time traveller’s CAPMThe Econometrics of Financial Markets (2012)The Econometrics of Financial…Sports Sentiment and Stock Returns (2007)Sports Sentiment and Stock Re…Good Day Sunshine: Stock Returns and the Weather (2003)Good Day Sunshine: Stock Retu…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The theory and practice of corporate finance: evidence from the field (2001)The theory and practice of co…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…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…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Specification Tests in Econometrics (1978)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)An Econometric Analysis of Nonsynchronous Trading (1989)An ordered probit analysis of transaction stock prices (1990)The Econometrics of Financial Markets (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)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)Law, Finance, and Economic Growth in China (2003)Managing with Style: The Effect of Managers on Firm Policies (2003)The economic implications of corporate financial reporting (2005)Econometric Analysis of Cross Section and Panel Data (2001)Determining the Number of Factors in Approximate Factor Models (2002)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2001The theory and practice of corporate finance: evidence from the field5,947 cited
  • 2012The Econometrics of Financial Markets5,889 cited
  • 1997The Econometrics of Financial Markets5,048 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2003Good Day Sunshine: Stock Returns and the Weather1,930 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2007Sports Sentiment and Stock Returns1,045 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns

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

1,007 cited

Cited by

No citing works inside the corpus for this window.