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Testing asset pricing models on the Pakistan Stock Exchange
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Testing asset pricing models on the Pakistan Stock Exchange (2019)Testing asset pricing models on the Pakis…Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model (2017)Explaining Anomalies in Austr…Does the Fama and French Five‐Factor Model Work Well in Japan? (2017)Does the Fama and French Five…Incremental variables and the investment opportunity set (2015)Incremental variables and the…THE RELATIONSHIP BETWEEN EARNINGS' YIELD, MARKET VALUE AND RETURN FOR NYSE COMMON STOCKS: FURTHER EVIDENCE (2013)THE RELATIONSHIP BETWEEN EARN…Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange (2013)Fama and French Three-Factor …Size and value premium in Pakistani equity market (2011)Size and value premium in Pak…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Measurement of Portfolio Performance Under Uncertainty (1970)Measurement of Portfolio Perf…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …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…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Components of Investment Performance (1972)Differential Information and Performance Measurement Using a Security Market Line (1985)Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)An Intertemporal Capital Asset Pricing Model (1973)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)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)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)Financial Intermediation and Delegated Monitoring (1984)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The relationship between return and market value of common stocks (1981)Noise (1986)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Chapter 18 A survey of behavioral finance (2003)The Behavior of Stock-Market Prices (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Users of the world, unite! The challenges and opportunities of Social Media (2009)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)
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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
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
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  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1970Measurement of Portfolio Performance Under Uncertainty390 cited
  • 2013THE RELATIONSHIP BETWEEN EARNINGS' YIELD, MARKET VALUE AND RETURN FOR NYSE COMMON STOCKS: FURTHER EVIDENCE228 cited
  • 2017Does the Fama and French Five‐Factor Model Work Well in Japan?116 cited
  • 2015Incremental variables and the investment opportunity set71 cited
  • 2013Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange55 cited
  • 2017Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model

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  • 2011Size and value premium in Pakistani equity market21 cited
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