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The cross-section of returns in frontier equity markets: Integrated or segmented pricing?
16 references·2 citing·21 second hopsampled
The cross-section of returns in frontier equity markets: Integrated or segmented pricing? (2019)The cross-section of returns in frontier …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 …Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …Asset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…Information Uncertainty and Stock Returns (2006)Information Uncertainty and S…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…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…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies (2019)Two centuries of global finan…The Five-Factor Asset Pricing Model Tests and Profitability and Investment Premiums: Evidence from Pakistan (2019)The Five-Factor Asset Pricing…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Value versus Growth: The International Evidence (1998)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Hedging Climate Change News (2019)Dissecting green returns (2022)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
  • 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
  • 2014A five-factor asset pricing model7,841 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 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
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 2012Size, value, and momentum in international stock returns1,822 cited
  • 2006Information Uncertainty and Stock Returns1,810 cited
  • 2008

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Asset Growth and the Cross‐Section of Stock Returns
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  • 2019The Five-Factor Asset Pricing Model Tests and Profitability and Investment Premiums: Evidence from Pakistan29 cited
  • 2019Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies23 cited