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Noise as Information for Illiquidity
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Noise as Information for Illiquidity (2010)Noise as Information for IlliquidityThe Illiquidity of Corporate Bonds (2011)The Illiquidity of Corporate …Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …The Limits of Arbitrage (1995)The Limits of ArbitrageThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Forward and spot exchange rates (1984)Forward and spot exchange rat…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Notes on Bonds: Liquidity at All Costs in the Great Recession (2015)Notes on Bonds: Liquidity at …Liquidity and Portfolio Choice: A Unified Approach (2013)Liquidity and Portfolio Choic…Discount Rates (2011)Discount RatesCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Framing of Decisions and the Psychology of Choice (1981)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2011The Illiquidity of Corporate Bonds989 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly

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  • 2011Discount Rates41 cited
  • 2015Notes on Bonds: Liquidity at All Costs in the Great Recession32 cited
  • 2013Liquidity and Portfolio Choice: A Unified Approach30 cited