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Prospect theory and stock returns: A seven factor pricing model
16 references·1 citing·22 second hop
Prospect theory and stock returns: A seven factor pricing model (2019)Prospect theory and stock returns: A seve…Theory of games and economic behavior (2019)Theory of games and economic …A five-factor asset pricing model (2014)A five-factor asset pricing m…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…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The relationship between return and market value of common stocks (1981)The relationship between retu…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Theory of Games and Economic Behavior (1945)The Theory of Games and Econo…The phenomenon of zero-leverage policy: Literature review (2023)The phenomenon of zero-levera…The Cross-Section of Expected Stock Returns (1992)Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)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)Risk, Ambiguity, and the Savage Axioms (1961)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)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Multifactor Explanations of Asset Pricing Anomalies (1996)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

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  • 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
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  • 2019Theory of games and economic behavior16,630 cited
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  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1945The Theory of Games and Economic Behavior

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  • 2023The phenomenon of zero-leverage policy: Literature review19 cited