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Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
16 references·1 citing·47 second hopsampled
Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks (2020)Generalized Bounds on the Conditional Exp…Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Can Time‐Varying Risk of Rare…Ex Ante Skewness and Expected Stock Returns (2012)Ex Ante Skewness and Expected…Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Benchmarks as Limits to Arbit…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Putting Risk in Its Proper Place (2006)Putting Risk in Its Proper Pl…Option‐Implied Risk Aversion Estimates (2004)Option‐Implied Risk Aversion …Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…The Economics of Risk and Time (2001)The Economics of Risk and TimeSpanning and derivative-security valuation (2000)Spanning and derivative-secur…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…In Search of the True Greenium (2024)In Search of the True GreeniumAsset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Model-Free Implied Volatility and Its Information Content (2005)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)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)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Empirical Asset Pricing via Machine Learning (2020)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Demand-Based Option Pricing (2005)Hedging Climate Change News (2019)Dissecting green returns (2022)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?914 cited
  • 2010Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly770 cited
  • 2012Ex Ante Skewness and Expected Stock Returns762 cited
  • 2000Spanning and derivative-security valuation746 cited
  • 2004

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Option‐Implied Risk Aversion Estimates
647 cited
  • 2006Putting Risk in Its Proper Place551 cited
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    • 2024In Search of the True Greenium20 cited