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Fundamental analysis of banks: the use of financial statement information to screen winners from losers
16 references·0 citing·26 second hop
Fundamental analysis of banks: the use of financial statement information to screen winners from losers (2017)Fundamental analysis of banks: the use of…A five-factor asset pricing model (2014)A five-factor asset pricing m…Rating Banks: Risk and Uncertainty in an Opaque Industry (2002)Rating Banks: Risk and Uncert…Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (2000)Value Investing: The Use of H…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Valuation and Clean Surplus Accounting for Operating and Financial Activities* (1995)Valuation and Clean Surplus A…Earnings, Book Values, and Dividends in Equity Valuation* (1995)Earnings, Book Values, and Di…Fundamental Information Analysis (1993)Fundamental Information Analy…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Valuation: Measuring and managing the value of companies (1992)Valuation: Measuring and mana…Earnings Asan Explanatory Variable for Returns (1991)Earnings Asan Explanatory Var…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)The Theory and Measurement of Business Income (1961)Capital markets research in accounting (2001)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)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)Toward an Implied Cost of Capital (2001)Expected EPS and EPS Growth as Determinantsof Value (2005)The cost of capital, corporation finance and the theory of investment (2008)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Multifactor Explanations of Asset Pricing Anomalies (1996)Transformative capacity: Continual structuring by intertemporal technology transfer (1994)Is performance driven by industry‐or firm‐specific factors? A new look at the evidence (2002)Does Corporate Social Responsibility Influence Firm Performance of Indian Companies? (2010)Editor's Choice Digesting Anomalies: An Investment ApproachDo Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1995Earnings, Book Values, and Dividends in Equity Valuation*5,061 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1992Valuation: Measuring and managing the value of companies2,261 cited
  • 1995Valuation and Clean Surplus Accounting for Operating and Financial Activities*2,224 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 2002Rating Banks: Risk and Uncertainty in an Opaque Industry1,244 cited
  • 2000Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers1,204 cited
  • 1993Fundamental Information Analysis1,084 cited
  • 1997The Delisting Bias in CRSP Data1,057 cited

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  • 1991Earnings Asan Explanatory Variable for Returns1,017 cited
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