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The Islamic gold dinar: a hedge against exchange rate volatility
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The Islamic gold dinar: a hedge against exchange rate volatility (2018)The Islamic gold dinar: a hedge against e…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Hedges and safe havens: An ex…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Downside Risk (2006)Downside RiskGold as a hedge against the dollar (2005)Gold as a hedge against the d…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Forward and spot exchange rates (1984)Forward and spot exchange rat…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…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)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)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)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Tail Risk and Asset Prices (2014)Replicating Anomalies (2018)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2006Downside Risk1,039 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 2012Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates664 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 2005Gold as a hedge against the dollar572 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management

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