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Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases
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Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases (2019)Is informational inefficiency priced in s…A five-factor asset pricing model (2014)A five-factor asset pricing m…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…The Limits of Arbitrage (1995)The Limits of ArbitrageCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIApproximate entropy as a measure of system complexity. (1991)Approximate entropy as a meas…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)A BEHAVIORAL MODEL OF RATIONA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Corporate financing and investment decisions when firms have information that investors do not have (1984)Twitter mood predicts the stock market (2011)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Digesting Anomalies: An Investment Approach (2012)Empirical Asset Pricing via Machine Learning (2020)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Advances in prospect theory: Cumulative representation of uncertainty (1992)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1955A BEHAVIORAL MODEL OF RATIONAL CHOICE15,851 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 1985Does the Stock Market Overreact?7,756 cited
  • 1991Efficient Capital Markets: II6,030 cited
  • 1991Approximate entropy as a measure of system complexity.5,889 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,871 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,717 cited

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