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The cross-section and time series of stock and bond returns
16 references·16 citing·24 second hopsampled
The cross-section and time series of stock and bond returns (2017)The cross-section and time series of stoc…A five-factor asset pricing model (2014)A five-factor asset pricing m…Credit Spreads and Business Cycle Fluctuations (2012)Credit Spreads and Business C…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…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…Dividend yields and expected stock returns (1988)Dividend yields and expected …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Business-cycle consumption risk and asset prices (2023)Business-cycle consumption ri…Spectral factor models (2021)Spectral factor modelsCommon shocks in stocks and bonds (2021)Common shocks in stocks and b…The Macroeconomic Uncertainty Premium in the Corporate Bond Market (2020)The Macroeconomic Uncertainty…Review Article: Perspectives on the Future of Asset Pricing (2020)Review Article: Perspectives …Global Macro-Financial Cycles and Spillovers (2020)Global Macro-Financial Cycles…Financial Market Risk Perceptions and the Macroeconomy* (2020)Financial Market Risk Percept…Time-varying inflation risk and stock returns (2019)Time-varying inflation risk a…Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019)Nonlinearity and Flight‐to‐Sa…Intraday Arbitrage Between ETFs and their Underlying Portfolios (2019)Intraday Arbitrage Between ET…Term structures of asset prices and returns (2018)Term structures of asset pric…Government debt and the returns to innovation (2018)Government debt and the retur…Fundamentals of Value versus Growth Investing and an Explanation for the Value Trap (2018)Fundamentals of Value versus …External Equity Financing Shocks, Financial Flows, and Asset Prices (2018)External Equity Financing Sho…Anomalies and market (dis)integration (2018)Anomalies and market (dis)int…On the Valuation of Long-Dated Assets (2012)On the Valuation of Long-Date…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Behavior of Stock-Market Prices (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)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Multifactor Explanations of Asset Pricing Anomalies (1996)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 1985

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An Intertemporal General Equilibrium Model of Asset Prices
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  • 2019Time-varying inflation risk and stock returns121 cited
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  • 2021Common shocks in stocks and bonds112 cited
  • 2020Financial Market Risk Perceptions and the Macroeconomy*109 cited
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  • 2019Intraday Arbitrage Between ETFs and their Underlying Portfolios77 cited
  • 2021Spectral factor models72 cited
  • 2018External Equity Financing Shocks, Financial Flows, and Asset Prices70 cited
  • 2012On the Valuation of Long-Dated Assets51 cited
  • 2023Business-cycle consumption risk and asset prices51 cited
  • 2020Global Macro-Financial Cycles and Spillovers50 cited
  • 2018Fundamentals of Value versus Growth Investing and an Explanation for the Value Trap44 cited