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An Intertemporal CAPM with Stochastic Volatility
16 references·16 citing·30 second hopsampled
An Intertemporal CAPM with Stochastic Volatility (2012)An Intertemporal CAPM with Stochastic Vol…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…The short duration premium (2021)The short duration premiumImmunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world (2021)Immunizing markets against th…Production Networks and Stock Returns: The Role of Vertical Creative Destruction (2020)Production Networks and Stock…Time-varying inflation risk and stock returns (2019)Time-varying inflation risk a…Volatility-of-Volatility Risk (2018)Volatility-of-Volatility RiskGold, platinum, and expected stock returns (2018)Gold, platinum, and expected …Short-Term Interest Rates and Stock Market Anomalies (2017)Short-Term Interest Rates and…The price of variance risk (2016)The price of variance riskState variables, macroeconomic activity, and the cross section of individual stocks (2016)State variables, macroeconomi…Modeling Covariance Risk in Merton's ICAPM (2015)Modeling Covariance Risk in M…A tale of two option markets: Pricing kernels and volatility risk (2015)A tale of two option markets:…. . . and the Cross-Section of Expected Returns (2014). . . and the Cross-Section o…Hard Times (2013)Hard TimesEconomic Uncertainty, Disagreement, and Credit Markets (2013)Economic Uncertainty, Disagre…Consumption Volatility Risk (2013)Consumption Volatility RiskRisk, Uncertainty, and Expected Returns (2012)Risk, Uncertainty, and Expect…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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 Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1989Why Does Stock Market Volatility Change Over Time?

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3,433 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
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    • 2014. . . and the Cross-Section of Expected Returns140 cited
    • 2018Gold, platinum, and expected stock returns139 cited
    • 2021Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world139 cited
    • 2015A tale of two option markets: Pricing kernels and volatility risk123 cited
    • 2019Time-varying inflation risk and stock returns121 cited
    • 2018Volatility-of-Volatility Risk108 cited
    • 2016State variables, macroeconomic activity, and the cross section of individual stocks108 cited
    • 2013Economic Uncertainty, Disagreement, and Credit Markets104 cited
    • 2013Hard Times100 cited
    • 2015Modeling Covariance Risk in Merton's ICAPM86 cited
    • 2017Short-Term Interest Rates and Stock Market Anomalies85 cited
    • 2021The short duration premium82 cited