SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Forward-Looking Betas
16 references·1 citing·26 second hop
Forward-Looking Betas (2008)Forward-Looking BetasThe Econometrics of Financial Markets (2012)The Econometrics of Financial…Event Studies in Economics and Finance (1997)Event Studies in Economics an…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…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…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Mutual Fund Performance (1966)Mutual Fund PerformanceThe Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection (1952)Portfolio SelectionMicrostructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2008)Microstructure Noise in the C…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)The Cross‐Section of Volatility and Expected Returns (2006)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)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1952Portfolio Selection4,609 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1996

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

The Conditional CAPM and the Cross-Section of Expected Returns
2,537 cited

Cited by

  • 2008Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-925 cited