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Regulated equity returns: A puzzle
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Regulated equity returns: A puzzle (2019)Regulated equity returns: A puzzleThe Theory of Economic Regulation (2021)The Theory of Economic Regula…BEHAVIOR OF THE FIRM UNDER REGULATORY CONSTRAINT (2016)BEHAVIOR OF THE FIRM UNDER RE…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The theory and practice of econometrics (1986)The theory and practice of ec…The equity premium: A puzzle (1985)The equity premium: A puzzlePanel Data and Unobservable Individual Effects (1981)Panel Data and Unobservable I…Panel data and unobservable individual effects (1981)Panel data and unobservable i…Specification Tests in Econometrics (1978)Specification Tests in Econom…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS (1972)THE EFFECT OF THE FIRM'S CAPI…The Theory of Economic Regulation (1971)The Theory of Economic Regula…The Logic of Collective Action. (1966)The Logic of Collective Actio…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)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 Regulation of Entry (2000)The great reversals: the politics of financial development in the twentieth century (2003)Testing Theories of American Politics: Elites, Interest Groups, and Average Citizens (2014)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Introduction: epistemic communities and international policy coordination (1992)Social Theory of International Politics (1999)Increasing Returns, Path Dependence, and the Study of Politics (2000)
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References

  • 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
  • 1978Specification Tests in Econometrics18,788 cited
  • 1966The Logic of Collective Action.11,364 cited
  • 1971The Theory of Economic Regulation8,084 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 2021The Theory of Economic Regulation5,483 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1981Panel data and unobservable individual effects2,323 cited
  • 1981Panel Data and Unobservable Individual Effects2,264 cited
  • 2016BEHAVIOR OF THE FIRM UNDER REGULATORY CONSTRAINT1,274 cited
  • 1972THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS

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