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Estimating risk-return relations with analysts price targets
16 references·1 citing·24 second hop
Estimating risk-return relations with analysts price targets (2018)Estimating risk-return relations with ana…In Search of Distress Risk (2008)In Search of Distress RiskTheory of rational option pricing (2005)Theory of rational option pri…Toward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Expected stock returns and volatility (1987)Expected stock returns and vo…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Subjective Risk and Return Expectations of Institutional Investors (2023)The Subjective Risk and Retur…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)An Intertemporal Capital Asset Pricing Model (1973)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Option pricing: A simplified approach (1979)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2008In Search of Distress Risk2,232 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2001

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Toward an Implied Cost of Capital
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  • 2023The Subjective Risk and Return Expectations of Institutional Investors19 cited