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Extended Stock Returns in Response to S&P 500 Index Changes
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Extended Stock Returns in Response to S&P 500 Index Changes (2017)Extended Stock Returns in Response to S&P…Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)How Active Is Your Fund Manag…Comovement (2004)ComovementThe Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Improved Methods for Tests of…Earnings management and the underperformance of seasoned equity offerings11We thank Brad Barber (the referee), Randy Beatty, Vic Bernard, K.C. Chan, Kent Daniel, M. DeFond, Laura Field, David Heike, Chuan Yang Hwang, Jonathan Karpoff, S.P. Kothari, Charles Lee, Wayne Mikkelson (the editor), Tim Opler, Krishna Palepu, K. Ramesh, Jay Ritter, Terry Shevlin, Doug Skinner, Sheridan Titman, Ross Watts, Jerry Zimmerman, and seminar participants at the University of California Finance and Accounting Conference (Davis, March 1995), the NBER Corporate Finance Conference (Boston, August 1995), the Center for Research in Security Prices Seminar (Chicago, October 1995), the American Finance Association Conference (San Francisco, 1996), the American Accounting Association Conference (Chicago, August 1996), the University of Michigan, and the University of Rochester for helpful comments and discussions. (1998)Earnings management and the u…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Detecting long-run abnormal stock returns: The empirical power and specification of test statistics (1997)Detecting long-run abnormal s…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Long‐Run Performance of initial Public Offerings (1991)The Long‐Run Performance of i…Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…The Disappearing Index Effect (2024)The Disappearing Index EffectCapital market internationalization and firms' ESG performance: Evidence from the inclusion of China A-shares in the MSCI Emerging Market Index (2024)Capital market internationali…The Shift From Active to Passive Investing: Potential Risks to Financial Stability? (2018)The Shift From Active to Pass…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 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)Using daily stock returns (1985)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Investors Trade Too Much? (1999)Managerial Decisions and Long‐Term Stock Price Performance (2000)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Earnings Management During Import Relief Investigations (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Performance matched discretionary accrual measures (2005)The economic implications of corporate financial reporting (2005)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Does the Stock Market Overreact? (1985)INITIAL PUBLIC OFFERINGS (1988)Event Studies in Economics and Finance (1997)Investor Sentiment and the Cross‐Section of Stock Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Measuring skill in the mutual fund industry (2015)A Rational Theory of Mutual Funds' Attention Allocation (2016)Multifactor Explanations of Asset Pricing Anomalies (1996)
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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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 1991The Long‐Run Performance of initial Public Offerings3,500 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1997Detecting long-run abnormal stock returns: The empirical power and specification of test statistics2,690 cited
  • 1999Improved Methods for Tests of Long‐Run Abnormal Stock Returns1,826 cited
  • 2009How Active Is Your Fund Manager? A New Measure That Predicts Performance1,660 cited
  • 1998Earnings management and the underperformance of seasoned equity offerings11We thank Brad Barber (the referee), Randy Beatty, Vic Bernard, K.C. Chan, Kent Daniel, M. DeFond, Laura Field, David Heike, Chuan Yang Hwang, Jonathan Karpoff, S.P. Kothari, Charles Lee, Wayne Mikkelson (the editor), Tim Opler, Krishna Palepu, K. Ramesh, Jay Ritter, Terry Shevlin, Doug Skinner, Sheridan Titman, Ross Watts, Jerry Zimmerman, and seminar participants at the University of California Finance and Accounting Conference (Davis, March 1995), the NBER Corporate Finance Conference (Boston, August 1995), the Center for Research in Security Prices Seminar (Chicago, October 1995), the American Finance Association Conference (San Francisco, 1996), the American Accounting Association Conference (Chicago, August 1996), the University of Michigan, and the University of Rochester for helpful comments and discussions.1,638 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited

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  • 1997The Delisting Bias in CRSP Data1,057 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 2004Comovement929 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital861 cited
  • Cited by

    • 2024Capital market internationalization and firms' ESG performance: Evidence from the inclusion of China A-shares in the MSCI Emerging Market Index50 cited
    • 2024The Disappearing Index Effect33 cited
    • 2018The Shift From Active to Passive Investing: Potential Risks to Financial Stability?32 cited