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A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
16 references·2 citing·21 second hop
A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes (2020)A Global Macroeconomic Risk Model for Val…A five-factor asset pricing model (2014)A five-factor asset pricing m…Value and Momentum Everywhere (2013)Value and Momentum EverywhereBetting against beta (2013)Betting against betaPresidential Address: Discount Rates (2011)Presidential Address: Discoun…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…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…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets (2021)Up or down? Short-term revers…Investments in Cryptocurrencies: Handle with Care! (2019)Investments in Cryptocurrenci…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On Persistence in Mutual Fund Performance (1997)… and the Cross-Section of Expected Returns (2015)Hedging Climate Change News (2019)Dissecting green returns (2022)Industry costs of equity (1997)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2013Betting against beta2,027 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited

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  • 2021Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets43 cited
  • 2019Investments in Cryptocurrencies: Handle with Care!29 cited