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Good News for Value Stocks: Further Evidence on Market Efficiency
13 references·16 citing·32 second hop
Good News for Value Stocks: Further Evidence on Market Efficiency (1997)Good News for Value Stocks: Further Evide…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Expectations and the Cross-Section of Stock Returns (1996)Expectations and the Cross-Se…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Measuring abnormal performance (1992)Measuring abnormal performanceFundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…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…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Climate Change, Firm Performance, and Investor Surprises (2023)Climate Change, Firm Performa…Diagnostic Expectations and Stock Returns (2019)Diagnostic Expectations and S…A tale of values-driven and profit-seeking social investors (2011)A tale of values-driven and p…A resolution of the distress risk and leverage puzzles in the cross section of stock returns (2009)A resolution of the distress …Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis (2005)Separating Winners from Loser…Market Timing and Managerial Portfolio Decisions (2005)Market Timing and Managerial …Is value riskier than growth? (2005)Is value riskier than growth?Value-Glamour and Accruals Mispricing: One Anomaly or Two? (2004)Value-Glamour and Accruals Mi…Do insider trades reflect both contrarian beliefs and superior knowledge about future cash flow realizations? (2004)Do insider trades reflect bot…The Level and Persistence of Growth Rates (2003)The Level and Persistence of …Arbitrage risk and the book-to-market anomaly (2003)Arbitrage risk and the book-t…Investor psychology in capital markets: evidence and policy implications (2002)Investor psychology in capita…Book‐to‐Market Equity, Distress Risk, and Stock Returns (2002)Book‐to‐Market Equity, Distre…The Long‐Run Stock Returns Following Bond Ratings Changes (2001)The Long‐Run Stock Returns Fo…The Stock Market Valuation of Research and Development Expenditures (2000)The Stock Market Valuation of…Asset Pricing at the Millennium (2000)Asset Pricing at the Millenni…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… 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)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Momentum Strategies (1996)Accounting valuation, market expectation, and cross-sectional stock returns (1998)Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Common risk factors in the returns on stocks and bonds (1993)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Editor's Choice Digesting Anomalies: An Investment Approach
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1996Expectations and the Cross-Section of Stock Returns982 cited
  • 1992Measuring abnormal performance840 cited

Cited by

  • 2002Book‐to‐Market Equity, Distress Risk, and Stock Returns778 cited
  • 2002Investor psychology in capital markets: evidence and policy implications760 cited

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

  • 2000Asset Pricing at the Millennium734 cited
  • 2005Is value riskier than growth?690 cited
  • 2023Climate Change, Firm Performance, and Investor Surprises625 cited
  • 2001The Long‐Run Stock Returns Following Bond Ratings Changes607 cited
  • 2004Do insider trades reflect both contrarian beliefs and superior knowledge about future cash flow realizations?566 cited
  • 2003Arbitrage risk and the book-to-market anomaly518 cited
  • 2005Market Timing and Managerial Portfolio Decisions480 cited
  • 2000The Stock Market Valuation of Research and Development Expenditures455 cited
  • 2011A tale of values-driven and profit-seeking social investors427 cited
  • 2004Value-Glamour and Accruals Mispricing: One Anomaly or Two?402 cited
  • 2019Diagnostic Expectations and Stock Returns397 cited
  • 2009A resolution of the distress risk and leverage puzzles in the cross section of stock returns373 cited
  • 2005Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis361 cited
  • 2003The Level and Persistence of Growth Rates357 cited