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Dynamic Factors and Asset Pricing
16 references·2 citing·32 second hop
Dynamic Factors and Asset Pricing (2010)Dynamic Factors and Asset PricingInformation Uncertainty and Stock Returns (2006)Information Uncertainty and S…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …New Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Dividend yields and expected stock returns (1988)Dividend yields and expected …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Can We Predict M&A Activity? (2012)Can We Predict M&A Activity?Intelligent techniques for forecasting multiple time series in real‐world systems (2011)Intelligent techniques for fo…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Financial Intermediation and Delegated Monitoring (1984)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Continuous Auctions and Insider Trading (1985)Illusion and well-being: A social psychological perspective on mental health. (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A model of investor sentiment / (1997)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Industry costs of equity (1997)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,841 cited
  • 1994Comparing Predictive Accuracy5,578 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,148 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2006Information Uncertainty and Stock Returns1,844 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1992On the Estimation of Beta-Pricing Models

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  • 2011Intelligent techniques for forecasting multiple time series in real‐world systems25 cited
  • 2012Can We Predict M&A Activity?15 cited