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Regret-based capital asset pricing model
16 references·0 citing·36 second hop
Regret-based capital asset pricing model (2020)Regret-based capital asset pricing modelStocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…A Theory of Regret Regulation 1.0 (2007)A Theory of Regret Regulation…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Emotions and Economic Theory (1998)Emotions and Economic TheoryThe experience of regret: What, when, and why. (1995)The experience of regret: Wha…Myopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the …The equity premium: A puzzle (1985)The equity premium: A puzzleThe Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Regret Theory: An Alternative Theory of Rational Choice Under Uncertainty (1982)Regret Theory: An Alternative…Regret in Decision Making under Uncertainty (1982)Regret in Decision Making und…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments (1959)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)The Cross-Section of Expected Stock Returns (1992)Prospect theory: An analysis of decision under risk (1988)Status quo bias in decision making (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Do Investors Trade Too Much? (1999)Familiarity Breeds Investment (2001)Investor Psychology and Asset Pricing (2001)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)The Framing of Decisions and the Psychology of Choice (1981)Individual differences in reasoning: Implications for the rationality debate? (2000)Risk as feelings. (2001)The Behavior of Stock-Market Prices (1965)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Impact of ESG factors on firm risk in Europe (2016)Risk Aversion in the Small and in the Large (1976)Theory of games and economic behavior (2019)Prospect Theory: An Analysis of Decision under Risk (1979)Toward a positive theory of consumer choice (1980)Are Investors Reluctant to Realize Their Losses? (1998)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)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Fairness and Retaliation: The Economics of Reciprocity (2000)Presidential Address: Discount Rates (2011)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1982Regret Theory: An Alternative Theory of Rational Choice Under Uncertainty4,041 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1982Regret in Decision Making under Uncertainty2,990 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited
  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
  • 1998Emotions and Economic Theory1,179 cited
  • 1995The experience of regret: What, when, and why.1,097 cited
  • 2007A Theory of Regret Regulation 1.01,015 cited
  • 1973Studies in the Theory of Capital Markets.

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