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Anomalies and market (dis)integration
16 references·16 citing·20 second hopsampled
Anomalies and market (dis)integration (2018)Anomalies and market (dis)integrationA five-factor asset pricing model (2014)A five-factor asset pricing m…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Market Timing and Capital Structure (2002)Market Timing and Capital Str…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…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…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIDividend yields and expected stock returns (1988)Dividend yields and expected …VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Duration-Based Valuation of Corporate Bonds (2024)Duration-Based Valuation of C…Retail bond investors and credit ratings (2023)Retail bond investors and cre…How Integrated are Credit and Equity Markets? Evidence from Index Options (2023)How Integrated are Credit and…A One-Factor Model of Corporate Bond Premia (2023)A One-Factor Model of Corpora…What Do We Know About Corporate Bond Returns? (2021)What Do We Know About Corpora…Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence (2021)Is there a risk-return tradeo…The Macroeconomic Uncertainty Premium in the Corporate Bond Market (2020)The Macroeconomic Uncertainty…Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns (2020)Book-to-Market, Mispricing, a…Sovereign bond return prediction with realized higher moments (2019)Sovereign bond return predict…Risk and Return in International Corporate Bond Markets (2019)Risk and Return in Internatio…Implied Volatility Changes and Corporate Bond Returns (2019)Implied Volatility Changes an…Extending Fama–French Factors to Corporate Bond Markets (2019)Extending Fama–French Factors…The Bond Pricing Implications of Rating-Based Capital Requirements (2017)The Bond Pricing Implications…Non-Financial Firms as Cross-Market Arbitrageurs (2015)Non-Financial Firms as Cross-…Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns? (2015)Do the Distributional Charact…Common factors in corporate bond returns (2015)Common factors in corporate b…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)Asset pricing with liquidity risk (2005)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)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
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2002Market Timing and Capital Structure3,804 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

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  • 2015Non-Financial Firms as Cross-Market Arbitrageurs107 cited
  • 2024Duration-Based Valuation of Corporate Bonds67 cited
  • 2019Implied Volatility Changes and Corporate Bond Returns51 cited
  • 2021Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence46 cited
  • 2019Extending Fama–French Factors to Corporate Bond Markets43 cited
  • 2019Risk and Return in International Corporate Bond Markets42 cited
  • 2017The Bond Pricing Implications of Rating-Based Capital Requirements42 cited
  • 2019Sovereign bond return prediction with realized higher moments41 cited
  • 2023A One-Factor Model of Corporate Bond Premia41 cited
  • 2023Retail bond investors and credit ratings38 cited
  • 2015Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?36 cited
  • 2015Common factors in corporate bond returns36 cited
  • 2023How Integrated are Credit and Equity Markets? Evidence from Index Options33 cited
  • 2020Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns33 cited
  • 2021What Do We Know About Corporate Bond Returns?30 cited