SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Sorting Out Sorts
10 references·16 citing·39 second hop
Sorting Out Sorts (2000)Sorting Out SortsEvidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…The Errors in the Variables Problem in the Cross-Section of Expected Stock Returns (1995)The Errors in the Variables P…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…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…Foundations for Financial Economics. (1989)Foundations for Financial Eco…Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium (1980)Dividends, Short Selling Rest…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Lucky factors (2021)Lucky factorsArbitrage Portfolios (2020)Arbitrage PortfoliosA Protocol for Factor Identification (2018)A Protocol for Factor Identif…What You See Is Not What You Get: The Costs of Trading Market Anomalies (2017)What You See Is Not What You …Mutual Fund Competition, Managerial Skill, and Alpha Persistence (2014)Mutual Fund Competition, Mana…Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics (2012)Sources of Momentum Profits: …Too Much Pay-Performance Sensitivity? (2010)Too Much Pay-Performance Sens…Using Individual Stocks or Portfolios in Tests of Factor Models (2008)Using Individual Stocks or Po…Finance Capitalism and Germany's Rise to Industrial Power (2007)Finance Capitalism and German…Bayesian Analysis of Stochastic Betas (2005)Bayesian Analysis of Stochast…Style momentum within the S&P-500 index (2004)Style momentum within the S&P…CAPM, Higher Co‐moment and Factor Models of UK Stock Returns (2004)CAPM, Higher Co‐moment and Fa…Value versus Glamour (2003)Value versus GlamourMeasuring and modeling systematic risk in factor pricing models using high-frequency data (2003)Measuring and modeling system…Robustness of size and value effects in emerging equity markets, 1985–2000 (2002)Robustness of size and value …A Closer Look at the Size and Value Premium in Emerging Markets: Evidence from the Kuala Lumpur Stock Exchange (2002)A Closer Look at the Size and…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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 Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)On the mechanics of economic development (1988)Pioneering Modern Corporate Governance: A View from London in 1900 (2007)Technology and the great divergence: Global economic development since 1820 (2011)The Oxford Handbook of the Italian Economy Since Unification (2013)Dividend Policy, Growth, and the Valuation of Shares (1961)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Dividend yields and stock returns: Implications of abnormal January returns (1985)The capital asset pricing model and the liquidity effect: A theoretical approach (2000)The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research? (2009)The relationship between return and market value of common stocks (1981)Economic Forces and the Stock Market (1986)Commonality in the determinants of expected stock returns (1996)Common Risk Factors in Currency Markets (2011)Replicating Anomalies (2018)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Do Industries Explain Momentum? (1999)The Stock Market Valuation of Research and Development Expenditures (2001)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Option‐Implied Risk Aversion Estimates (2004)Financial liberalization, private investment and portfolio choice: Financialization of real sectors in emerging markets (2008)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Empirical Tests of the Consumption‐Oriented CAPM (1989)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Taming the Factor Zoo: A Test of New Factors (2020)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 1989Foundations for Financial Economics.831 cited
  • 1973Studies in the Theory of Capital Markets.737 cited
  • 1980Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium207 cited
  • 1995The Errors in the Variables Problem in the Cross-Section of Expected Stock Returns178 cited

Cited by

  • 2007Finance Capitalism and Germany's Rise to Industrial Power209 cited
  • 2014Mutual Fund Competition, Managerial Skill, and Alpha Persistence167 cited
  • 2021Lucky factors149 cited
  • 2002Robustness of size and value effects in emerging equity markets, 1985–2000140 cited
  • 2004CAPM, Higher Co‐moment and Factor Models of UK Stock Returns

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

135 cited
  • 2005Bayesian Analysis of Stochastic Betas133 cited
  • 2003Measuring and modeling systematic risk in factor pricing models using high-frequency data127 cited
  • 2004Style momentum within the S&P-500 index126 cited
  • 2003Value versus Glamour120 cited
  • 2020Arbitrage Portfolios111 cited
  • 2018A Protocol for Factor Identification99 cited
  • 2012Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics93 cited
  • 2008Using Individual Stocks or Portfolios in Tests of Factor Models93 cited
  • 2017What You See Is Not What You Get: The Costs of Trading Market Anomalies87 cited
  • 2010Too Much Pay-Performance Sensitivity?83 cited
  • 2002A Closer Look at the Size and Value Premium in Emerging Markets: Evidence from the Kuala Lumpur Stock Exchange81 cited