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Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns
16 references·10 citing·21 second hopsampled
Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns (2018)Probability of price crashes, rational sp…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…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…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Expected stock returns and volatility (1987)Expected stock returns and vo…Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Geopolitical risk and stock price crash risk: The mitigating role of ESG performance (2023)Geopolitical risk and stock p…Exploring Bubbles in the Digital Economy: The Case of China (2023)Exploring Bubbles in the Digi…Zero-leverage policy and stock price crash risk: Evidence from Korea (2022)Zero-leverage policy and stoc…Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network (2022)Research on stock volatility …Positive information shocks, investor behavior and stock price crash risk (2022)Positive information shocks, …Multivariate crash risk (2022)Multivariate crash riskMicro-, meso- and macro-level determinants of stock price crash risk: a systematic survey of literature (2022)Micro-, meso- and macro-level…Investor behavior and cryptocurrency market bubbles during the COVID-19 pandemic (2022)Investor behavior and cryptoc…Bubble-crash experience and investment styles of mutual fund managers (2022)Bubble-crash experience and i…Analysts’ optimism and stock crash risk (2019)Analysts’ optimism and stock …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)Does the Stock Market Overreact? (1985)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Industry costs of equity (1997)Editor's Choice Digesting Anomalies: An Investment ApproachAsset pricing with liquidity risk (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited

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  • 1987Expected stock returns and volatility4,147 cited
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    • 2023Geopolitical risk and stock price crash risk: The mitigating role of ESG performance118 cited
    • 2022Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network60 cited
    • 2023Exploring Bubbles in the Digital Economy: The Case of China48 cited
    • 2022Positive information shocks, investor behavior and stock price crash risk39 cited
    • 2022Multivariate crash risk35 cited
    • 2022Micro-, meso- and macro-level determinants of stock price crash risk: a systematic survey of literature30 cited
    • 2022Zero-leverage policy and stock price crash risk: Evidence from Korea25 cited
    • 2022Investor behavior and cryptocurrency market bubbles during the COVID-19 pandemic23 cited
    • 2022Bubble-crash experience and investment styles of mutual fund managers22 cited
    • 2019Analysts’ optimism and stock crash risk15 cited