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International Diversification Benefits with Foreign Exchange Investment Styles
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International Diversification Benefits with Foreign Exchange Investment Styles (2013)International Diversification Benefits wi…Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe Econometrics of Financial Markets (2012)The Econometrics of Financial…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Market States and Momentum (2004)Market States and MomentumStock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…International Momentum Strategies (1998)International Momentum Strate…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Forward and spot exchange rates (1984)Forward and spot exchange rat…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Currency Risk Premiums Redux (2023)Currency Risk Premiums ReduxNavigating the factor zoo around the world: an institutional investor perspective (2021)Navigating the factor zoo aro…Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies (2021)Investing with cryptocurrenci…Hedging with an Edge: Parametric Currency Overlay (2021)Hedging with an Edge: Paramet…Bitcoin intraday time series momentum (2021)Bitcoin intraday time series …Optimal Currency Hedging for International Equity Portfolios (2019)Optimal Currency Hedging for …Investments in Cryptocurrencies: Handle with Care! (2019)Investments in Cryptocurrenci…Economic momentum and currency returns (2019)Economic momentum and currenc…A comprehensive appraisal of style-integration methods (2019)A comprehensive appraisal of …Global Currency Hedging with Common Risk Factors (2018)Global Currency Hedging with …The International CAPM Redux (2014)The International CAPM ReduxConditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations (2013)Conditional Correlation Model…Predicting severe simultaneous recessions using yield spreads as leading indicators (2012)Predicting severe simultaneou…Non‐parametric detection and estimation of structural change (2012)Non‐parametric detection and …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Multifactor Explanations of Asset Pricing Anomalies (1996)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)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1998International Momentum Strategies1,813 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited

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Market States and Momentum
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