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Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section
16 references·3 citing·31 second hop
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section (2019)Estimating beta: Forecast adjustments and…Measuring Uncertainty (2015)Measuring UncertaintyBetting against beta (2013)Betting against betaA Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Combination of Forecasts (1969)The Combination of ForecastsThe Co‐Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices (2022)The Co‐Movement between Inter…Estimating beta: The international evidence (2020)Estimating beta: The internat…Beta and firm age (2020)Beta and firm ageCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? 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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2015Measuring Uncertainty2,908 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2013Betting against beta2,027 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions

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Cited by

  • 2020Beta and firm age26 cited
  • 2020Estimating beta: The international evidence25 cited
  • 2022The Co‐Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices21 cited