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Volatility shocks and investment behavior
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Volatility shocks and investment behavior (2021)Volatility shocks and investment behaviorRedefine statistical significance (2017)Redefine statistical signific…INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)INDIVIDUAL RISK ATTITUDES: ME…Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?* (2011)Depression Babies: Do Macroec…The description–experience gap in risky choice (2009)The description–experience ga…Shall we Really do it Again? The Powerful Concept of Replication is Neglected in the Social Sciences (2009)Shall we Really do it Again? …Decisions from Experience and the Effect of Rare Events in Risky Choice (2004)Decisions from Experience and…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Are Investors Reluctant to Realize Their Losses? 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(1999)Familiarity Breeds Investment (2001)Investor Psychology and Asset Pricing (2001)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)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 Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Risk as feelings. 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(1983)CEO Overconfidence and Corporate Investment (2005)Trusting the Stock Market (2005)Overconfidence and Early‐Life Experiences: The Effect of Managerial Traits on Corporate Financial Policies (2011)Imprinting: Toward a Multilevel Theory (2013)Culture and Institutions (2015)Prospect Theory: An Analysis of Decision under Risk (1979)Toward a positive theory of consumer choice (1980)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Reproducibility in Science (2014)Estimating the reproducibility of psychological science (2015)Evaluating the replicability of social science experiments in Nature and Science between 2010 and 2015 (2018)Many Labs 2: Investigating Variation in Replicability Across Samples and Settings (2018)How Many Participants Do We Have to Include in Properly Powered Experiments? A Tutorial of Power Analysis with Reference Tables (2019)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2011INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES3,906 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 2017Redefine statistical significance2,771 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 2011Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?*2,479 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 2004Decisions from Experience and the Effect of Rare Events in Risky Choice1,657 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2009Shall we Really do it Again? The Powerful Concept of Replication is Neglected in the Social Sciences1,124 cited
  • 1997The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test

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1,050 cited
  • 2009The description–experience gap in risky choice916 cited
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    • 2025Presenting return charts in investment decisions1 cited