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Fama-French, CAPM, and implied cost of equity
16 references·0 citing·35 second hop
Fama-French, CAPM, and implied cost of equity (2018)Fama-French, CAPM, and implied cost of eq…Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Does Corporate Social Respons…In Search of Distress Risk (2008)In Search of Distress RiskInternational Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter? (2006)International Differences in …Expected EPS and EPS Growth as Determinantsof Value (2005)Expected EPS and EPS Growth a…PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)PE Ratios, PEG Ratios, and Es…The Equity Premium (2002)The Equity PremiumToward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)Equity Premia as Low as Three…Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Portfolio Choice and Asset Pr…Is the Risk of Bankruptcy a Systematic Risk? (1998)Is the Risk of Bankruptcy a S…Industry costs of equity (1997)Industry costs of equityUnderstanding Risk and Return (1993)Understanding Risk and ReturnCommon 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…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …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)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Initial conditions and moment restrictions in dynamic panel data models (1998)Corporate social responsibility and access to finance (2013)Corporate Green Bonds (2018)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Editor's Choice Digesting Anomalies: An Investment ApproachAdvances in prospect theory: Cumulative representation of uncertainty (1992)On Persistence in Mutual Fund Performance (1997)Forecasting Default with the Merton Distance to Default Model (2008)Digesting Anomalies: An Investment Approach (2012)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Capital markets research in accounting (2001)Multifactor Explanations of Asset Pricing Anomalies (1996)How do family ownership, control and management affect firm value? (2005)Measuring Geopolitical Risk (2022)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Environmental and social disclosures: Link with corporate financial performance (2014)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1997Industry costs of equity5,793 cited
  • 2010Does Corporate Social Responsibility Affect the Cost of Capital?3,502 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2001Toward an Implied Cost of Capital2,004 cited
  • 1993Understanding Risk and Return1,797 cited
  • 2004PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital1,749 cited
  • 2001Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets1,516 cited
  • 2005Expected EPS and EPS Growth as Determinantsof Value1,414 cited
  • 2002The Equity Premium1,386 cited
  • 2006International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?1,369 cited
  • 2000Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk1,042 cited

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1998
Is the Risk of Bankruptcy a Systematic Risk?
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