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ArticleReturn decomposition and the Intertemporal CAPM

Paulo F. Maio2013

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Articlegreen2013

Return decomposition and the Intertemporal CAPM

33 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1985Does the Stock Market Overreact?1975THE 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.]1996Multifactor Explanations of Asset Pricing Anomalies 1973

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Year2013

Typearticle

Published2013-09-12

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations33

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2013.08.021

openalex_workW3124359537

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An Intertemporal Capital Asset Pricing Model

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2020Cash-flow or return predictability at long horizons? The case of earnings yield 2021What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments 2018Fama-French, CAPM, and implied cost of equity 2020ICAPM and the Accruals Anomaly