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Conditioning Variables and the Cross-Section of Stock Returns
16 references·6 citing·19 second hop
Conditioning Variables and the Cross-Section of Stock Returns (1999)Conditioning Variables and the Cross-Sect…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …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…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Dividend yields and expected stock returns (1988)Dividend yields and expected …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…The relationship between return and market value of common stocks (1981)The relationship between retu…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset returns and inflation (1977)Asset returns and inflationA critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Pricing of Illiquidity as a Characteristic and as Risk (2015)The Pricing of Illiquidity as…Canonical correlation analysis (2014)Canonical correlation analysisApplications of State Space Models in finance (2009)Applications of State Space M…Momentum strategies: some bootstrap tests (2004)Momentum strategies: some boo…Equilibrium Asset Pricing Under Heterogeneous Information (2004)Equilibrium Asset Pricing Und…Time-Varying Risk Premia and the Cross Section of Stock Returns (2002)Time-Varying Risk Premia and …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 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 General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Industry costs of equity (1997)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
this work references cited by second hop

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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1977Asset returns and inflation2,701 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited

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  • 1985Stock Returns and the Term Structure2,260 cited
  • Cited by

    • 2004Momentum strategies: some bootstrap tests37 cited
    • 2014Canonical correlation analysis32 cited
    • 2004Equilibrium Asset Pricing Under Heterogeneous Information32 cited
    • 2015The Pricing of Illiquidity as a Characteristic and as Risk30 cited
    • 2009Applications of State Space Models in finance26 cited
    • 2002Time-Varying Risk Premia and the Cross Section of Stock Returns23 cited