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Macaulay’s theory of duration: 80-year thematic bibliometric review of the literature
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Macaulay’s theory of duration: 80-year thematic bibliometric review of the literature (2020)Macaulay’s theory of duration: 80-year th…The other side of value: The gross profitability premium (2013)The other side of value: The …Liquidity and leverage (2008)Liquidity and leverageConsumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (2007)Why Is Long‐Horizon Equity Le…Comparison of PubMed, Scopus, Web of Science, and Google Scholar: strengths and weaknesses (2007)Comparison of PubMed, Scopus,…Profitability, investment and average returns (2006)Profitability, investment and…What Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …Ratio Analysis and Equity Valuation: From Research to Practice (2001)Ratio Analysis and Equity Val…The Determinants of the Maturity of Corporate Debt Issues (1996)The Determinants of the Matur…The Determinants of Corporate Debt Maturity Structure (1996)The Determinants of Corporate…Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…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…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Editor's Choice Digesting Anomalies: An Investment ApproachFinancial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Common risk factors in the returns on stocks and bonds (1993)Digesting Anomalies: An Investment Approach (2012)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Determinants of Credit Spread Changes (2001)The theory and practice of corporate finance: evidence from the field (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)The Impact Factor Game (2006)Three options for citation tracking: Google Scholar, Scopus and Web of Science (2006)Science mapping software tools: Review, analysis, and cooperative study among tools (2011)Which academic search systems are suitable for systematic reviews or meta‐analyses? Evaluating retrieval qualities of Google Scholar, PubMed, and 26 other resources (2019)The journal coverage of Web of Science, Scopus and Dimensions: A comparative analysis (2021)Corporate financing and investment decisions when firms have information that investors do not have (1984)Modeling Term Structures of Defaultable Bonds (1999)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)CoVaR (2016)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The Capital Asset Pricing Model: Theory and Evidence (2004)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2007Comparison of PubMed, Scopus, Web of Science, and Google Scholar: strengths and weaknesses5,591 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 2008Liquidity and leverage2,557 cited
  • 2013The other side of value: The gross profitability premium2,007 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 2002What Drives Firm‐Level Stock Returns?1,004 cited
  • 2006Profitability, investment and average returns953 cited
  • 1996The Determinants of Corporate Debt Maturity Structure942 cited
  • 1996The Determinants of the Maturity of Corporate Debt Issues773 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2001Ratio Analysis and Equity Valuation: From Research to Practice707 cited

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Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
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