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Risk Adjustment and Trading Strategies
16 references·16 citing·27 second hopsampled
Risk Adjustment and Trading Strategies (2003)Risk Adjustment and Trading StrategiesDo Industries Explain Momentum? (1999)Do Industries Explain Momentu…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset returns and inflation (1977)Asset returns and inflationAn Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Forecasting stock market returns: New technical indicators and two-step economic constraint method (2020)Forecasting stock market retu…Does Islamic stock sensitivity to oil prices have economic significance? (2018)Does Islamic stock sensitivit…Bitcoin as an alternative investment vehicle (2016)Bitcoin as an alternative inv…Contrarian and momentum trading: a review of the literature (2014)Contrarian and momentum tradi…Does revenue momentum drive or ride earnings or price momentum? (2013)Does revenue momentum drive o…Momentum Strategies in Futures Markets and Trend-following Funds (2011)Momentum Strategies in Future…Risk adjustment and momentum sources (2010)Risk adjustment and momentum …Volatilities and Momentum Returns in Real Estate Investment Trusts (2009)Volatilities and Momentum Ret…Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum? (2009)Can the Cross-Sectional Varia…Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency (2007)Are Emerging Markets More Pro…Momentum, Reversal, and the Trading Behaviors of Institutions (2006)Momentum, Reversal, and the T…Biases in Decomposing Holding-Period Portfolio Returns (2006)Biases in Decomposing Holding…Momentum in Futures Markets (2005)Momentum in Futures MarketsAn examination of alternative CAPM-based models in UK stock returns (2005)An examination of alternative…Downside Risk and the Momentum Effect (2001)Downside Risk and the Momentu…Tests of Mean-Variance Spanning (2000)Tests of Mean-Variance Spanni…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Continuous Auctions and Insider Trading (1985)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1977Asset returns and inflation2,701 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 1985

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Stock Returns and the Term Structure
2,260 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • Cited by

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    • 2011Momentum Strategies in Futures Markets and Trend-following Funds102 cited
    • 2020Forecasting stock market returns: New technical indicators and two-step economic constraint method80 cited
    • 2018Does Islamic stock sensitivity to oil prices have economic significance?74 cited
    • 2016Bitcoin as an alternative investment vehicle71 cited
    • 2009Volatilities and Momentum Returns in Real Estate Investment Trusts68 cited
    • 2005An examination of alternative CAPM-based models in UK stock returns56 cited
    • 2000Tests of Mean-Variance Spanning50 cited
    • 2010Risk adjustment and momentum sources47 cited
    • 2001Downside Risk and the Momentum Effect47 cited
    • 2014Contrarian and momentum trading: a review of the literature41 cited
    • 2005Momentum in Futures Markets41 cited
    • 2013Does revenue momentum drive or ride earnings or price momentum?40 cited
    • 2009Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?37 cited
    • 2007Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency37 cited