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The Performance of Stock Portfolios: Evidence from Analysing Malaysia Case, and Implication for Open Innovation
16 references·1 citing·36 second hop
The Performance of Stock Portfolios: Evidence from Analysing Malaysia Case, and Implication for Open Innovation (2020)The Performance of Stock Portfolios: Evid…Islamic finance and economic growth: The Malaysian experience (2016)Islamic finance and economic …Performance of global Islamic versus conventional share indices: International evidence (2013)Performance of global Islamic…Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach (2013)Do Islamic stock indexes outp…Conventional and Islamic stock price performance: An empirical investigation (2013)Conventional and Islamic stoc…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Risk and return characteristics of Islamic equity funds (2011)Risk and return characteristi…Investigation of performance of Malaysian Islamic unit trust funds (2007)Investigation of performance …Value at Risk (2000)Value at RiskAn Overview of Value at Risk (1997)An Overview of Value at RiskTHE FINANCIAL PERFORMANCE OF ETHICAL INVESTMENT FUNDS (1995)THE FINANCIAL PERFORMANCE OF …The Sharpe Ratio (1994)The Sharpe RatioPrecautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Mutual Fund Performance (1966)Mutual Fund PerformanceCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Innovation of Government Bonds in the Growth of an Emergent Capital Market (2021)The Innovation of Government …Portfolio Selection: Efficient Diversification of Investments (1959)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Misery Loves Companies: Rethinking Social Initiatives by Business (2003)Socially responsible investments: Institutional aspects, performance, and investor behavior (2008)Does it Pay to Be Good...And Does it Matter? A Meta-Analysis of the Relationship between Corporate Social and Financial Performance (2011)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Increased Correlation in Bear Markets (2002)Options, Futures and Other Derivatives (2003)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)“Options, Futures, and Other Derivatives” (2016)How to Use Security Analysis to Improve Portfolio Selection (1973)Investment Analysis and Portfolio Management. (1979)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Does it pay to be different? An analysis of the relationship between corporate social and financial performance (2008)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)Modeling and Forecasting Realized Volatility (2003)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Efficient Capital Markets: II (1991)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1966Mutual Fund Performance3,935 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2000Value at Risk324 cited
  • 1995THE FINANCIAL PERFORMANCE OF ETHICAL INVESTMENT FUNDS320 cited
  • 2013Performance of global Islamic versus conventional share indices: International evidence305 cited
  • 2011Risk and return characteristics of Islamic equity funds305 cited
  • 2013Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach295 cited
  • 2007Investigation of performance of Malaysian Islamic unit trust funds274 cited
  • 2013Conventional and Islamic stock price performance: An empirical investigation239 cited
  • 2016Islamic finance and economic growth: The Malaysian experience

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  • 2021The Innovation of Government Bonds in the Growth of an Emergent Capital Market15 cited