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Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
16 references·2 citing·27 second hop
Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets (2018)Testing Alphas in Conditional Time-Varyin…On time-varying factor models: Estimation and testing (2017)On time-varying factor models…A five-factor asset pricing model (2014)A five-factor asset pricing m…Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression (2012)Testing for Smooth Structural…Testing conditional factor models (2012)Testing conditional factor mo…The conditional CAPM does not explain asset-pricing anomalies☆ (2006)The conditional CAPM does not…CAPM over the long run: 1926–2001 (2006)CAPM over the long run: 1926–…Market efficiency and accounting research: a discussion of ‘capital market research in accounting’ by S.P. Kothari (2001)Market efficiency and account…Information Asymmetry, R&D, and Insider Gains (2000)Information Asymmetry, R&D, a…Survival (1995)SurvivalCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Using Generalized Method of Moments to Test Mean-Variance Efficiency (1991)Using Generalized Method of M…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities (2023)Testing for Alpha in Linear F…Estimation of Large Dimensional Conditional Factor Models in Finance (2019)Estimation of Large Dimension…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Continuous Auctions and Insider Trading (1985)On Persistence in Mutual Fund Performance (1997)Intellectual capital and new product development performance: The mediating role of organizational learning capability (2008)Board Diversity and Corporate Social Responsibility: Empirical Evidence from France (2020)The Pollution Premium (2020)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The arbitrage theory of capital asset pricing (1976)An Alternative Three-Factor Model (2011)Labor Hiring, Investment, and Stock Return Predictability in the Cross Section (2014)Corporate Environmental Responsibility and Firm Risk (2015)Is value riskier than growth? (2005)Organization Capital and the Cross‐Section of Expected Returns (2013)Dissecting Characteristics Nonparametrically (2019)Do 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
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2000Information Asymmetry, R&D, and Insider Gains1,528 cited
  • 2006The conditional CAPM does not explain asset-pricing anomalies☆931 cited
  • 2006CAPM over the long run: 1926–2001412 cited
  • 2001Market efficiency and accounting research: a discussion of ‘capital market research in accounting’ by S.P. Kothari312 cited
  • 1991Using Generalized Method of Moments to Test Mean-Variance Efficiency306 cited
  • 1995Survival293 cited
  • 2012Testing conditional factor models204 cited
  • 2012Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression203 cited

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  • 2017On time-varying factor models: Estimation and testing180 cited
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    • 2019Estimation of Large Dimensional Conditional Factor Models in Finance35 cited
    • 2023Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities31 cited