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Return Dispersion and the Cross-Section of Stock Returns
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Return Dispersion and the Cross-Section of Stock Returns (2018)Return Dispersion and the Cross-Section o…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…Digesting Anomalies: An Investment Approach (2012)Digesting Anomalies: An Inves…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Expected stock returns and volatility (1987)Expected stock returns and vo…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Preference as Behavior Towards Risk (1958)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)Option pricing when underlying stock returns are discontinuous (1976)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (1969)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 equity premium: A puzzle (1985)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)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)To Explain or to Predict? (2010)Empirical Asset Pricing via Machine Learning (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,887 cited
  • 1966Equilibrium in a Capital Asset Market5,065 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,759 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,591 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2012Digesting Anomalies: An Investment Approach2,492 cited
  • 2015… and the Cross-Section of Expected Returns

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2,136 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,988 cited
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