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Monthly Beta Forecasting with Low‐, Medium‐ and High‐Frequency Stock Returns
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Monthly Beta Forecasting with Low‐, Medium‐ and High‐Frequency Stock Returns (2016)Monthly Beta Forecasting with Low‐, Mediu…Option-Implied Measures of Equity Risk (2011)Option-Implied Measures of Eq…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Realized Beta: Persistence and Predictability (2005)Realized Beta: Persistence an…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies (2003)Predicting Volatility: Gettin…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt? (1998)On Stable Factor Structures i…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Estimating beta: The international evidence (2020)Estimating beta: The internat…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)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)On Persistence in Mutual Fund Performance (1997)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Separating microstructure noise from volatility (2005)A framework for assessing the systemic risk of major financial institutions (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)An Intertemporal Capital Asset Pricing Model (1973)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)MIDAS Regressions: Further Results and New Directions (2007)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2001Modeling and Forecasting Realized Volatility824 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
  • 1998On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?426 cited
  • 2005Realized Beta: Persistence and Predictability225 cited
  • 2003Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

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  • 2011Option-Implied Measures of Equity Risk172 cited
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    • 2020Estimating beta: The international evidence25 cited