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Specification tests of international asset pricing models
16 references·15 citing·32 second hopsampled
Specification tests of international asset pricing models (2006)Specification tests of international asse…Conditioning Variables and the Cross Section of Stock Returns (1999)Conditioning Variables and th…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Why Firms Use Currency Derivatives (1997)Why Firms Use Currency Deriva…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)A Cross-Sectional Test of an …Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…An equilibrium model of the international capital market (1974)An equilibrium model of the i…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Machine learning and the cross-section of emerging market stock returns (2023)Machine learning and the cros…Local, Regional, or Global Asset Pricing? (2021)Local, Regional, or Global As…Integration of Islamic capital market in ASEAN-5 countries (2020)Integration of Islamic capita…Measuring skill in the Islamic mutual fund industry: Evidence from GCC countries (2017)Measuring skill in the Islami…The Five-Factor Fama-French Model: International Evidence (2015)The Five-Factor Fama-French M…Size, Value, and Momentum in Emerging Market Stock Returns: Integrated or Segmented Pricing? (2015)Size, Value, and Momentum in …Strategic Asset Allocation and the Role of Alternative Investments (2012)Strategic Asset Allocation an…International portfolio diversification: Currency, industry and country effects revisited (2012)International portfolio diver…Dynamics of macroeconomic and financial variables in different time horizons (2012)Dynamics of macroeconomic and…Global versus Local Asset Pricing: A New Test of Market Integration (2011)Global versus Local Asset Pri…Friends or Foes? The Stock Price Impact of Sovereign Wealth Fund Investments and the Price of Keeping Secrets (2008)Friends or Foes? The Stock Pr…Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market (2007)Cross‐sectional Tests of Cond…International Capital Asset Pricing: Evidence from Options (2006)International Capital Asset P…An examination of alternative CAPM-based models in UK stock returns (2005)An examination of alternative…International Portfolio Diversification: Currency, Industry and Country Effects Revisited (2002)International Portfolio Diver…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)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)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)An Intertemporal Capital Asset Pricing Model (1973)Editor's Choice Digesting Anomalies: An Investment ApproachValue and Momentum Everywhere (2013)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1997Why Firms Use Currency Derivatives1,172 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1996A Cross-Sectional Test of an Investment-Based Asset Pricing Model1,023 cited

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  • 1999Conditioning Variables and the Cross Section of Stock Returns839 cited
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    • 2008Friends or Foes? The Stock Price Impact of Sovereign Wealth Fund Investments and the Price of Keeping Secrets76 cited
    • 2007Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market74 cited
    • 2015Size, Value, and Momentum in Emerging Market Stock Returns: Integrated or Segmented Pricing?74 cited
    • 2023Machine learning and the cross-section of emerging market stock returns58 cited
    • 2012International portfolio diversification: Currency, industry and country effects revisited57 cited
    • 2021Local, Regional, or Global Asset Pricing?56 cited
    • 2005An examination of alternative CAPM-based models in UK stock returns56 cited
    • 2011Global versus Local Asset Pricing: A New Test of Market Integration56 cited
    • 2012Strategic Asset Allocation and the Role of Alternative Investments45 cited
    • 2015The Five-Factor Fama-French Model: International Evidence35 cited
    • 2006International Capital Asset Pricing: Evidence from Options29 cited
    • 2002International Portfolio Diversification: Currency, Industry and Country Effects Revisited28 cited
    • 2017Measuring skill in the Islamic mutual fund industry: Evidence from GCC countries26 cited
    • 2020Integration of Islamic capital market in ASEAN-5 countries19 cited
    • 2012Dynamics of macroeconomic and financial variables in different time horizons14 cited