SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
16 references·16 citing·24 second hopsampled
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns (2009)Growth or Glamour? Fundamentals and Syste…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Oil price increases and the predictability of equity premium (2019)Oil price increases and the p…Can economic policy uncertainty predict stock returns? Global evidence (2018)Can economic policy uncertain…An intertemporal CAPM with stochastic volatility (2018)An intertemporal CAPM with st…The cross-section and time series of stock and bond returns (2017)The cross-section and time se…Economic Policy Uncertainty in China and Stock Market Expected Returns (2016)Economic Policy Uncertainty i…Aggregate Investment and Investor Sentiment (2014)Aggregate Investment and Inve…The international zero-leverage phenomenon (2013)The international zero-levera…Asset Pricing in the Frequency Domain: Theory and Empirics (2013)Asset Pricing in the Frequenc…Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach (2012)Identifying Expectation Error…An Intertemporal CAPM with Stochastic Volatility (2012)An Intertemporal CAPM with St…Accrual Quality, Realized Returns, and Expected Returns: The Importance of Controlling for Cash Flow Shocks (2012)Accrual Quality, Realized Ret…The term structures of equity and interest rates (2011)The term structures of equity…Stock price fragility (2011)Stock price fragilityHabit formation, the cross section of stock returns and the cash-flow risk puzzle (2010)Habit formation, the cross se…Disagreement and return predictability of stock portfolios (2010)Disagreement and return predi…Return Decomposition (2009)Return DecompositionDividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Time Series Analysis, Forecasting, and Control (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • Cited by

    • 2018An intertemporal CAPM with stochastic volatility348 cited
    • 2011Stock price fragility300 cited
    • 2018Can economic policy uncertainty predict stock returns? Global evidence282 cited
    • 2016Economic Policy Uncertainty in China and Stock Market Expected Returns262 cited
    • 2009Return Decomposition261 cited
    • 2010Disagreement and return predictability of stock portfolios243 cited
    • 2011The term structures of equity and interest rates221 cited
    • 2012Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach218 cited
    • 2014Aggregate Investment and Investor Sentiment206 cited
    • 2012An Intertemporal CAPM with Stochastic Volatility200 cited
    • 2010Habit formation, the cross section of stock returns and the cash-flow risk puzzle184 cited
    • 2013Asset Pricing in the Frequency Domain: Theory and Empirics182 cited
    • 2017The cross-section and time series of stock and bond returns171 cited
    • 2013The international zero-leverage phenomenon163 cited
    • 2012Accrual Quality, Realized Returns, and Expected Returns: The Importance of Controlling for Cash Flow Shocks163 cited
    • 2019Oil price increases and the predictability of equity premium147 cited