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State variables, macroeconomic activity, and the cross section of individual stocks
16 references·10 citing·16 second hopsampled
State variables, macroeconomic activity, and the cross section of individual stocks (2016)State variables, macroeconomic activity, …Credit Spreads and Business Cycle Fluctuations (2012)Credit Spreads and Business C…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Understanding 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…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIBusiness conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Cryptocurrency returns under empirical asset pricing (2022)Cryptocurrency returns under …Time-varying state variable risk premia in the ICAPM (2020)Time-varying state variable r…The R&D anomaly: Risk or mispricing? (2020)The R&D anomaly: Risk or misp…A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes (2020)A Global Macroeconomic Risk M…Macroeconomic Risks in Equity Factor Investing (2019)Macroeconomic Risks in Equity…Economic activity and momentum profits: Further evidence (2018)Economic activity and momentu…Asset Growth, Profitability, and Investment Opportunities (2018)Asset Growth, Profitability, …Short-Term Interest Rates and Stock Market Anomalies (2017)Short-Term Interest Rates and…A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes (2016)A Global Macroeconomic Risk M…Horizon-Specific Macroeconomic Risks and the Cross-Section of Expected Returns (2014)Horizon-Specific Macroeconomi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Industry costs of equity (1997)The Behavior of Stock-Market Prices (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)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The relationship between return and market value of common stocks (1981)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1993

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Understanding Risk and Return
1,797 cited

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  • 2017Short-Term Interest Rates and Stock Market Anomalies85 cited
  • 2018Asset Growth, Profitability, and Investment Opportunities68 cited
  • 2018Economic activity and momentum profits: Further evidence52 cited
  • 2020A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes45 cited
  • 2020Time-varying state variable risk premia in the ICAPM41 cited
  • 2022Cryptocurrency returns under empirical asset pricing35 cited
  • 2016A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes27 cited
  • 2019Macroeconomic Risks in Equity Factor Investing23 cited
  • 2014Horizon-Specific Macroeconomic Risks and the Cross-Section of Expected Returns23 cited
  • 2020The R&D anomaly: Risk or mispricing?22 cited