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Investment-related anomalies in Australia: Evidence and explanations
16 references·0 citing·29 second hopsampled
Investment-related anomalies in Australia: Evidence and explanations (2018)Investment-related anomalies in Australia…A five-factor asset pricing model (2014)A five-factor asset pricing m…New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)New Evidence on Measuring Fin…Asset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Financial Constraints Risk (2006)Financial Constraints RiskCapital Investments and Stock Returns (2004)Capital Investments and Stock…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1997)Do Stock Prices Fully Reflect…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…The Limits of Arbitrage (1995)The Limits of ArbitrageContrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Financing Constraints and Corporate Investment (1988)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)The determinants and implications of corporate cash holdings (1999)Corporate social responsibility and access to finance (2013)The Economics of Disclosure and Financial Reporting Regulation: Evidence and Suggestions for Future Research (2016)Demand for green finance: Resolving financing constraints on green innovation in China (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)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)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2010New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index5,574 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2006Financial Constraints Risk3,702 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 1997Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?2,181 cited
  • 2008Asset Growth and the Cross‐Section of Stock Returns1,595 cited
  • 2004Capital Investments and Stock Returns1,411 cited
  • 1999A New Estimate of Transaction Costs

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