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Empirical Cross-Sectional Asset Pricing
16 references·6 citing·17 second hop
Empirical Cross-Sectional Asset Pricing (2013)Empirical Cross-Sectional Asset PricingInvestor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…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…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…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…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…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Rational Expectations and the Theory of Price Movements (1961)Rational Expectations and the…Trade policy uncertainty and stock returns (2021)Trade policy uncertainty and …The Cross Section of Country Equity Returns: A Review of Empirical Literature (2019)The Cross Section of Country …Regional Economic Activity and Stock Returns (2018)Regional Economic Activity an…Economic activity and momentum profits: Further evidence (2018)Economic activity and momentu…Upper Bounds on Return Predictability (2017)Upper Bounds on Return Predic…Taming the Factor Zoo: A Test of New Factors (2017)Taming the Factor Zoo: A Test…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)The Behavior of Stock-Market Prices (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)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)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Editor's Choice Digesting Anomalies: An Investment ApproachAsset pricing with liquidity risk (2005)
this work references cited by second hop

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
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 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
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1961Rational Expectations and the Theory of Price Movements5,639 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited

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1999
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
5,088 cited

Cited by

  • 2021Trade policy uncertainty and stock returns134 cited
  • 2018Regional Economic Activity and Stock Returns54 cited
  • 2018Economic activity and momentum profits: Further evidence52 cited
  • 2017Upper Bounds on Return Predictability46 cited
  • 2019The Cross Section of Country Equity Returns: A Review of Empirical Literature33 cited
  • 2017Taming the Factor Zoo: A Test of New Factors33 cited