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Cross-shareholding networks and stock price synchronicity: Evidence from China
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Cross-shareholding networks and stock price synchronicity: Evidence from China (2019)Cross-shareholding networks and stock pri…A five-factor asset pricing model (2014)A five-factor asset pricing m…In Search of Attention (2011)In Search of AttentionOwnership concentration, foreign shareholding, audit quality, and stock price synchronicity: Evidence from China (2009)Ownership concentration, fore…Opaque financial reports, R2, and crash risk☆ (2009)Opaque financial reports, R2,…Economic Links and Predictable Returns (2008)Economic Links and Predictabl…Whom You Know Matters: Venture Capital Networks and Investment Performance (2007)Whom You Know Matters: Ventur…Information Uncertainty and Stock Returns (2006)Information Uncertainty and S…R2 around the world: New theory and new tests☆ (2005)R2 around the world: New theo…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices (2004)The Influence of Analysts, In…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Factoring and weighting approaches to status scores and clique identification (1972)Factoring and weighting appro…Returns and volatility spillover between agricultural commodities and emerging stock markets: new evidence from COVID-19 and Russian-Ukrainian war (2023)Returns and volatility spillo…Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach (2021)Monetary policy uncertainty a…Idiosyncratic volatility and stock price crash risk: Evidence from china (2021)Idiosyncratic volatility and …Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model (2021)Forecasting the volatility of…Earnings Management During Import Relief Investigations (1991)The economic implications of corporate financial reporting (2005)CFOs versus CEOs: Equity incentives and crashes (2011)Corporate tax avoidance and stock price crash risk: Firm-level analysis (2011)Corporate social responsibility and stock price crash risk (2014)A New Status Index Derived from Sociometric Analysis (1953)Measuring Political Sophistication (1987)A Relational View of Information Seeking and Learning in Social Networks (2003)Social Movements and Networks (2003)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Law and Finance (1998)Does board gender diversity improve the informativeness of stock prices? (2011)Understanding commonality in liquidity around the world (2011)Stock price synchronicity, crash risk, and institutional investors (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)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)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)The structure and governance of venture-capital organizations (1990)Interorganizational Endorsements and the Performance of Entrepreneurial Ventures (1999)Venture Capital and the Professionalization of Start‐Up Firms: Empirical Evidence (2002)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)External Networking and Internal Firm Governance (2012)Judging Borrowers by the Company They Keep: Friendship Networks and Information Asymmetry in Online Peer-to-Peer Lending (2012)Continuous Auctions and Insider Trading (1985)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)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)
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References

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  • 2009Ownership concentration, foreign shareholding, audit quality, and stock price synchronicity: Evidence from China

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1,241 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
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    • 2021Idiosyncratic volatility and stock price crash risk: Evidence from china35 cited