SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Next Microsoft? Skewness, Idiosyncratic Volatility, and Expected Returns
16 references·7 citing·39 second hopsampled
The Next Microsoft? Skewness, Idiosyncratic Volatility, and Expected Returns (2007)The Next Microsoft? Skewness, Idiosyncrat…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…Idiosyncratic Risk Matters! (2003)Idiosyncratic Risk Matters!Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Risk Taking by Mutual Funds as a Response to Incentives (1997)Risk Taking by Mutual Funds a…The Life Cycle of a Competitive Industry (1994)The Life Cycle of a Competiti…The Long-Run Performance of Initial Public Offerings (1991)The Long-Run Performance of I…Expected stock returns and volatility (1987)Expected stock returns and vo…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Time Paths in the Diffusion of Product Innovations (1982)Time Paths in the Diffusion o…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Is idiosyncratic risk priced? The international evidence (2022)Is idiosyncratic risk priced?…Real Options, Idiosyncratic Skewness, and Diversification (2017)Real Options, Idiosyncratic S…Idiosyncratic risk and the cross section of stock returns (2017)Idiosyncratic risk and the cr…The idiosyncratic volatility anomaly: Corporate investment or investor mispricing? (2015)The idiosyncratic volatility …Book-to-Market Ratio and Skewness of Stock Returns (2013)Book-to-Market Ratio and Skew…Stock Options as Lotteries (2011)Stock Options as LotteriesThe Pricing of Volatility and Skewness: A New Interpretation (2009)The Pricing of Volatility and…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)The effect of bonus schemes on accounting decisions (1985)Aggregation and Linearity in the Provision of Intertemporal Incentives (1987)Managerial Incentive Problems: A Dynamic Perspective (1999)The Geography of Investment: Informed Trading and Asset Prices (2001)Mutual Fund Flows and Performance in Rational Markets (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)The Behavior of Stock-Market Prices (1965)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Introductory Econometrics for Finance (2008)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1982Time Paths in the Diffusion of Product Innovations1,549 cited
  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
  • 2003Idiosyncratic Risk Matters!1,171 cited
  • 1991The Long-Run Performance of Initial Public Offerings779 cited
  • 1994The Life Cycle of a Competitive Industry757 cited
  • 1980

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

On Estimating the Expected Return on the Market: An Exploratory Investigation
755 cited

Cited by

  • 2013Book-to-Market Ratio and Skewness of Stock Returns49 cited
  • 2017Real Options, Idiosyncratic Skewness, and Diversification47 cited
  • 2022Is idiosyncratic risk priced? The international evidence47 cited
  • 2015The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?32 cited
  • 2009The Pricing of Volatility and Skewness: A New Interpretation26 cited
  • 2011Stock Options as Lotteries26 cited
  • 2017Idiosyncratic risk and the cross section of stock returns26 cited