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There is no place like home: Information asymmetries, local asset concentration, and portfolio returns
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There is no place like home: Information asymmetries, local asset concentration, and portfolio returns (2020)There is no place like home: Information …The Geographic Determinants of Housing Supply * (2010)The Geographic Determinants o…Information and the Cost of Capital (2004)Information and the Cost of C…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Does Distance Still Matter? The Information Revolution in Small Business Lending (2002)Does Distance Still Matter? T…The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Home Bias at Home: Local Equi…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Relationship Lending and Lines of Credit in Small Firm Finance (1995)Relationship Lending and Line…The Benefits of Lending Relationships: Evidence from Small Business Data (1994)The Benefits of Lending Relat…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Investor Diversification and International Equity Markets (1991)Investor Diversification and …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Financial Intermediation and Delegated Monitoring (1984)Asymmetric Information, Bank Lending and Implicit Contracts: A Stylized Model of Customer Relationships (1990)Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt (1991)The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle (1998)Financial Development and Economic Growth: Views and Agenda (1999)Creating Something from Nothing: Resource Construction through Entrepreneurial Bricolage (2005)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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Does the Stock Market Overreact? (1985)A five-factor asset pricing model (2014)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Credit Rationing in Markets with Imperfect Information (1981)Social Structure and Competition in Interfirm Networks: The Paradox of Embeddedness (1997)Finance and Growth: Theory and Evidence (2004)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Market Liquidity and Funding Liquidity (2008)Editor's Choice Digesting Anomalies: An Investment ApproachAsset pricing with liquidity risk (2005)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1994The Benefits of Lending Relationships: Evidence from Small Business Data5,434 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995Relationship Lending and Lines of Credit in Small Firm Finance3,641 cited
  • 2004Information and the Cost of Capital3,171 cited
  • 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios2,898 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 2002Does Distance Still Matter? The Information Revolution in Small Business Lending2,215 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices

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  • 2010The Geographic Determinants of Housing Supply *1,971 cited
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