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Quality Minus Junk
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Quality Minus Junk (2013)Quality Minus JunkA resolution of the distress risk and leverage puzzles in the cross section of stock returns (2009)A resolution of the distress …Idiosyncratic risk and the cross-section of expected stock returns (2008)Idiosyncratic risk and the cr…The Book‐to‐Price Effect in Stock Returns: Accounting for Leverage (2007)The Book‐to‐Price Effect in S…Using Expectations to Test Asset Pricing Models (2005)Using Expectations to Test As…Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis (2005)Separating Winners from Loser…In Search of Distress Risk (2005)In Search of Distress RiskThe Cross-Section of Volatility and Expected Returns (2004)The Cross-Section of Volatili…Asset Pricing with Liquidity Risk (2003)Asset Pricing with Liquidity …Stock Valuation and Learning About Profitability (2002)Stock Valuation and Learning …Market Timing and Capital Structure (2002)Market Timing and Capital Str…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Agency costs of free cash flow, corporate finance, and takeovers (1996)Agency costs of free cash flo…A Critique of Size-Related Anomalies (1995)A Critique of Size-Related An…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Corporate Financing and Inves…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Test Assets and Weak Factors (2024)Test Assets and Weak FactorsAlpha enhancement in global equity markets with ESG overlay on factor-based investment strategies (2021)Alpha enhancement in global e…Board tenure and firm performance (2020)Board tenure and firm perform…Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework (2019)Which Factors are Risk Factor…On Comparing Asset Pricing Models (2019)On Comparing Asset Pricing Mo…Shrinking the Cross Section (2018)Shrinking the Cross SectionFundamental Analysis: Combining the Search for Quality with the Search for Value (2018)Fundamental Analysis: Combini…The Trend in Firm Profitability and the Cross-Section of Stock Returns (2017)The Trend in Firm Profitabili…Profitability of insider trading in Europe: A performance evaluation approach (2017)Profitability of insider trad…Is there momentum in factor premia? Evidence from international equity markets (2017)Is there momentum in factor p…INVITED EDITORIAL COMMENT (2016)INVITED EDITORIAL COMMENTIndividual Investor Activity and Performance (2016)Individual Investor Activity …Good‐Specific Habit Formation and the Cross‐Section of Expected Returns (2016)Good‐Specific Habit Formation…Socially responsible, green, and faith-based investment strategies: Screening activity matters! (2015)Socially responsible, green, …Fact, Fiction, and Value Investing (2015)Fact, Fiction, and Value Inve…Low-Risk Investing Without Industry Bets (2013)Low-Risk Investing Without In…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Cash holdings, risk, and expected returns (2011)Financial Distress and the Cross‐section of Equity Returns (2011)Quality minus junk (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Expected Idiosyncratic Skewness (2009)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)The relationship between return and market value of common stocks (1981)Online Investors: Do the Slow Die First? (2002)Equilibrium Cross Section of Returns (2003)Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns (2004)The Structure of Scientific Revolutions (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)The Capital Structure Puzzle (1984)The Determinants of Capital Structure Choice (1988)Event Studies in Economics and Finance (1997)GROWTH, BETA AND AGENCY COSTS AS DETERMINANTS OF DIVIDEND PAYOUT RATIOS (1982)Two Agency-Cost Explanations of Dividends (1984)Corporate performance and managerial remuneration (1985)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1993)What Do We Know about Capital Structure? Some Evidence from International Data (1995)A Survey of Corporate Governance (1997)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)Capital Structure Decisions: Which Factors Are Reliably Important? (2007)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Idiosyncratic Risk and Security Returns (2001)An Alternative Three-Factor Model (2011)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1996Agency costs of free cash flow, corporate finance, and takeovers9,308 cited
  • 1984Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have6,535 cited
  • 2002Market Timing and Capital Structure3,804 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2008Idiosyncratic risk and the cross-section of expected stock returns1,067 cited
  • 1995A Critique of Size-Related Anomalies763 cited
  • 2004The Cross-Section of Volatility and Expected Returns425 cited
  • 2009A resolution of the distress risk and leverage puzzles in the cross section of stock returns373 cited
  • 2005Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis361 cited
  • 2007The Book‐to‐Price Effect in Stock Returns: Accounting for Leverage355 cited
  • 2003Asset Pricing with Liquidity Risk305 cited
  • 2005In Search of Distress Risk273 cited
  • 2002Stock Valuation and Learning About Profitability239 cited

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  • 2005Using Expectations to Test Asset Pricing Models213 cited
  • Cited by

    • 2015Fact, Fiction, and Value Investing127 cited
    • 2019On Comparing Asset Pricing Models94 cited
    • 2013Low-Risk Investing Without Industry Bets91 cited
    • 2016Individual Investor Activity and Performance90 cited
    • 2020Board tenure and firm performance87 cited
    • 2015Socially responsible, green, and faith-based investment strategies: Screening activity matters!69 cited
    • 2017The Trend in Firm Profitability and the Cross-Section of Stock Returns66 cited
    • 2018Shrinking the Cross Section53 cited
    • 2024Test Assets and Weak Factors48 cited
    • 2019Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework46 cited
    • 2016INVITED EDITORIAL COMMENT45 cited
    • 2018Fundamental Analysis: Combining the Search for Quality with the Search for Value34 cited
    • 2016Good‐Specific Habit Formation and the Cross‐Section of Expected Returns33 cited
    • 2017Is there momentum in factor premia? Evidence from international equity markets31 cited
    • 2021Alpha enhancement in global equity markets with ESG overlay on factor-based investment strategies29 cited
    • 2017Profitability of insider trading in Europe: A performance evaluation approach27 cited