SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Demand System Approach to Asset Pricing
16 references·16 citing·21 second hopsampled
A Demand System Approach to Asset Pricing (2018)A Demand System Approach to Asset PricingA five-factor asset pricing model (2014)A five-factor asset pricing m…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Econometric policy evaluation: A critique (1976)Econometric policy evaluation…Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition (1974)Hedonic Prices and Implicit M…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…A General Equilibrium Approach To Monetary Theory (1969)A General Equilibrium Approac…A New Approach to Consumer Theory (1966)A New Approach to Consumer Th…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…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*A review on ESG investing: Investors’ expectations, beliefs and perceptions (2023)A review on ESG investing: In…Why Do Firms Borrow Directly from Nonbanks? (2022)Why Do Firms Borrow Directly …Sustainability Preferences Under Stress: Evidence from COVID-19 (2022)Sustainability Preferences Un…Retail trader sophistication and stock market quality: Evidence from brokerage outages (2022)Retail trader sophistication …Global Portfolio Rebalancing and Exchange Rates (2022)Global Portfolio Rebalancing …Do Equity Markets Care about Income Inequality? Evidence from Pay Ratio Disclosure (2022)Do Equity Markets Care about …Benchmarking Intensity (2022)Benchmarking IntensityThe Impact of Impact Investing (2021)The Impact of Impact InvestingThe Granular Nature of Large Institutional Investors (2021)The Granular Nature of Large …The Cross-Section of Bank Value (2021)The Cross-Section of Bank Val…In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis (2021)In Search of the Origins of F…Do Intermediaries Matter for Aggregate Asset Prices? (2021)Do Intermediaries Matter for …Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity (2020)Mutual Fund Liquidity Transfo…Inspecting the mechanism of quantitative easing in the euro area (2020)Inspecting the mechanism of q…Exchange Rates and Asset Prices in a Global Demand System (2020)Exchange Rates and Asset Pric…International Currencies and Capital Allocation (2019)International Currencies and …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)A Pure Theory of Local Expenditures (1956)Wages, Rents, and the Quality of Life (1982)Customer Satisfaction, Market Share, and Profitability: Findings From Sweden (1994)Skills, Tasks and Technologies: Implications for Employment and Earnings (2011)The Behavior of Stock-Market Prices (1965)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)Illiquidity and stock returns: cross-section and time-series effects (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Hedonic housing prices and the demand for clean air (1978)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Conducting Discrete Choice Experiments to Inform Healthcare Decision Making (2008)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

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
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1974Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition10,715 cited
  • 1966A New Approach to Consumer Theory8,466 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1969A General Equilibrium Approach To Monetary Theory5,340 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1958

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Liquidity Preference as Behavior Towards Risk
3,916 cited

Cited by

  • 2019International Currencies and Capital Allocation272 cited
  • 2020Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity268 cited
  • 2022Retail trader sophistication and stock market quality: Evidence from brokerage outages254 cited
  • 2021In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis244 cited
  • 2020Exchange Rates and Asset Prices in a Global Demand System196 cited
  • 2021The Impact of Impact Investing178 cited
  • 2023A review on ESG investing: Investors’ expectations, beliefs and perceptions172 cited
  • 2022Sustainability Preferences Under Stress: Evidence from COVID-19161 cited
  • 2022Benchmarking Intensity159 cited
  • 2021The Granular Nature of Large Institutional Investors157 cited
  • 2021Do Intermediaries Matter for Aggregate Asset Prices?151 cited
  • 2020Inspecting the mechanism of quantitative easing in the euro area145 cited
  • 2021The Cross-Section of Bank Value144 cited
  • 2022Why Do Firms Borrow Directly from Nonbanks?144 cited
  • 2022Do Equity Markets Care about Income Inequality? Evidence from Pay Ratio Disclosure135 cited
  • 2022Global Portfolio Rebalancing and Exchange Rates133 cited