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Ratings-Based Regulation and Systematic Risk Incentives
16 references·8 citing·32 second hop
Ratings-Based Regulation and Systematic Risk Incentives (2018)Ratings-Based Regulation and Systematic R…Betting against beta (2013)Betting against betaSecuritization without risk transfer (2012)Securitization without risk t…Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Benchmarks as Limits to Arbit…An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Deposit Insurance, Risk, and Market Power in Banking (1988)Deposit Insurance, Risk, and …An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…The option pricing model and the risk factor of stock (1976)The option pricing model and …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Retail bond investors and credit ratings (2023)Retail bond investors and cre…Reaching for Yield and the Cross Section of Bond Returns (2023)Reaching for Yield and the Cr…IFRS 9 implementation and bank risk (2023)IFRS 9 implementation and ban…Firm life cycle and cost of debt (2023)Firm life cycle and cost of d…ROE in Banks: Performance or Risk Measure? Evidence from Financial Crises (2018)ROE in Banks: Performance or …ROE in Banks: Myth and Reality (2014)ROE in Banks: Myth and RealityMacroprudential Bank Capital Regulation in a Competitive Financial System (2014)Macroprudential Bank Capital …Precision of Ratings (2013)Precision of RatingsA Theory of Oligopoly (1964)Tobin's $q$ Ratio and Industrial Organization (1981)Bank concentration, competition, and crises: First results (2005)How does capital affect bank performance during financial crises? (2013)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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 Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Theory of Rational Option Pricing (1973)The Theory of Bank Risk Taking and Competition Revisited (2005)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)The Behavior of Stock-Market Prices (1965)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)The arbitrage theory of capital asset pricing (1976)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop

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
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2013Betting against beta2,027 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1988Deposit Insurance, Risk, and Market Power in Banking1,782 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1976The option pricing model and the risk factor of stock1,239 cited
  • 2012Securitization without risk transfer922 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2010

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Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly
770 cited

Cited by

  • 2023IFRS 9 implementation and bank risk40 cited
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  • 2023Firm life cycle and cost of debt37 cited
  • 2014ROE in Banks: Myth and Reality37 cited
  • 2014Macroprudential Bank Capital Regulation in a Competitive Financial System32 cited
  • 2023Reaching for Yield and the Cross Section of Bond Returns25 cited
  • 2013Precision of Ratings23 cited
  • 2018ROE in Banks: Performance or Risk Measure? Evidence from Financial Crises22 cited