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The Bond Pricing Implications of Rating-Based Capital Requirements
16 references·6 citing·33 second hopsampled
The Bond Pricing Implications of Rating-Based Capital Requirements (2017)The Bond Pricing Implications of Rating-B…A Demand System Approach to Asset Pricing (2018)A Demand System Approach to A…Intermediary asset pricing: New evidence from many asset classes (2017)Intermediary asset pricing: N…Financial Intermediaries and the Cross‐Section of Asset Returns (2014)Financial Intermediaries and …Betting against beta (2013)Betting against betaCorporate bond liquidity before and after the onset of the subprime crisis (2011)Corporate bond liquidity befo…The Stock Market and Corporate Investment: A Test of Catering Theory (2008)The Stock Market and Corporat…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms (2003)When Does the Market Matter? …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Institutional Investors and Equity Prices (2001)Institutional Investors and E…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…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…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Evolution of Debt Financing Toward Less-Regulated Financial Intermediaries in the United States (2024)Evolution of Debt Financing T…Portfolio similarity and asset liquidation in the insurance industry (2021)Portfolio similarity and asse…Rethinking the Use of Credit Ratings in Capital Regulations: Evidence From the Insurance Industry (2020)Rethinking the Use of Credit …Lifting the Veil: The Price Formation of Corporate Bond Offerings (2020)Lifting the Veil: The Price F…Ratings-Based Regulation and Systematic Risk Incentives (2018)Ratings-Based Regulation and …Precision of Ratings (2013)Precision of RatingsCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Noise Trader Risk in Financial Markets (1990)Multifactor Explanations of Asset Pricing Anomalies (1996)Chapter 18 A survey of behavioral finance (2003)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Retail Investor Sentiment and Return Comovements (2006)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Corporate financing and investment decisions when firms have information that investors do not have (1984)Financing Constraints and Corporate Investment (1988)Financing Innovation and Growth: Cash Flow, External Equity, and the 1990s R&D Boom (2009)Corporate social responsibility and access to finance (2013)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)
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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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2013Betting against beta2,027 cited
  • 2001Institutional Investors and Equity Prices1,646 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 2003When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms1,143 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 2014Financial Intermediaries and the Cross‐Section of Asset Returns847 cited
  • 2017Intermediary asset pricing: New evidence from many asset classes792 cited
  • 2011Corporate bond liquidity before and after the onset of the subprime crisis787 cited
  • 2008The Stock Market and Corporate Investment: A Test of Catering Theory747 cited
  • 2018

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A Demand System Approach to Asset Pricing
686 cited

Cited by

  • 2021Portfolio similarity and asset liquidation in the insurance industry87 cited
  • 2018Ratings-Based Regulation and Systematic Risk Incentives41 cited
  • 2020Lifting the Veil: The Price Formation of Corporate Bond Offerings30 cited
  • 2024Evolution of Debt Financing Toward Less-Regulated Financial Intermediaries in the United States25 cited
  • 2020Rethinking the Use of Credit Ratings in Capital Regulations: Evidence From the Insurance Industry24 cited
  • 2013Precision of Ratings23 cited