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Return predictability in the corporate bond market along the supply chain
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Return predictability in the corporate bond market along the supply chain (2016)Return predictability in the corporate bo…Investor Inattention and Friday Earnings Announcements (2009)Investor Inattention and Frid…Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Driven to Distraction: Extran…Economic Links and Predictable Returns (2008)Economic Links and Predictabl…Dissecting Anomalies (2007)Dissecting AnomaliesCorporate Yield Spreads and Bond Liquidity (2007)Corporate Yield Spreads and B…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Limited attention, information disclosure, and financial reporting (2003)Limited attention, informatio…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…The Bullwhip Effect In Supply Chains 1 (1997)The Bullwhip Effect In Supply…The Limits of Arbitrage (1995)The Limits of ArbitrageThe Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)The Effect of Bond Rating Age…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Market Liquidity and Funding Liquidity (2008)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)On Persistence in Mutual Fund Performance (1997)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Innovative efficiency and stock returns (2012)Sentiment During Recessions (2012)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)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)Common risk factors in the returns on stocks and bonds (1993)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)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)In Search of Attention (2011)The Value of Information Sharing in a Two-Level Supply Chain (2000)Building the Resilient Supply Chain (2004)Perspectives in supply chain risk management (2006)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Information Uncertainty and Stock Returns (2006)Who Gambles in the Stock Market? (2009)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2003Limited attention, information disclosure, and financial reporting2,339 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1997The Bullwhip Effect In Supply Chains 12,102 cited
  • 2009Investor Inattention and Friday Earnings Announcements1,740 cited
  • 2007Dissecting Anomalies1,573 cited
  • 2009Driven to Distraction: Extraneous Events and Underreaction to Earnings News1,539 cited
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 2008Economic Links and Predictable Returns1,411 cited
  • 2007Corporate Yield Spreads and Bond Liquidity1,087 cited
  • 1992The Effect of Bond Rating Agency Announcements on Bond and Stock Prices

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