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Asset Pricing With Data Revisions
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Asset Pricing With Data Revisions (2019)Asset Pricing With Data RevisionsMeasuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The equity premium: A puzzle (1985)The equity premium: A puzzleAsset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…The General Theory of Employment (1937)The General Theory of Employm…Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)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)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Geopolitical Risk (2022)Time to Build and Aggregate Fluctuations (1982)Efficient Capital Markets: II (1991)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)The Role of Monetary Policy (1995)Measuring Uncertainty (2015)Firm-Level Political Risk: Measurement and Effects* (2019)The Unprecedented Stock Market Reaction to COVID-19 (2020)Toward a knowledge‐based theory of the firm (1996)The Promise of Enterpreneurship as a Field of Research (2000)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)
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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
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1937The General Theory of Employment5,253 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

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