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An Application of Factor Pricing Models to the Polish Stock Market
16 references·1 citing·18 second hop
An Application of Factor Pricing Models to the Polish Stock Market (2018)An Application of Factor Pricing Models t…A five-factor asset pricing model (2014)A five-factor asset pricing m…Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe other side of value: The gross profitability premium (2013)The other side of value: The …Betting against beta (2013)Betting against betaSize, value, and momentum in international stock returns (2012)Size, value, and momentum in …Individualism and Momentum around the World (2010)Individualism and Momentum ar…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…International Momentum Strategies (1998)International Momentum Strate…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The journal of financial economics (1993)The journal of financial econ…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Testing the Augmented Fama–French Six‐Factor Asset Pricing Model with Momentum Factor for Borsa Istanbul (2022)Testing the Augmented Fama–Fr…The Cross-Section of Expected Stock Returns (1992)The Behavior of Stock-Market Prices (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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Institutional Investors and Equity Prices (2001)Relational Contracts and the Theory of the Firm (2002)Multifactor Explanations of Asset Pricing Anomalies (1996)Value versus Growth: The International Evidence (1998)Asset pricing with liquidity risk (2005)… and the Cross-Section of Expected Returns (2015)Hedging Climate Change News (2019)Dissecting green returns (2022)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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
  • 1997On Persistence in Mutual Fund Performance17,267 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
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1993The journal of financial economics2,544 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2013Betting against beta2,027 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 2012Size, value, and momentum in international stock returns1,822 cited
  • 1998International Momentum Strategies1,813 cited
  • 2010Individualism and Momentum around the World1,312 cited

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  • 2022Testing the Augmented Fama–French Six‐Factor Asset Pricing Model with Momentum Factor for Borsa Istanbul22 cited