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Who Should be Afraid of Infections? Pandemic Exposure and the Cross-Section of Stock Returns
16 references·0 citing·20 second hop
Who Should be Afraid of Infections? Pandemic Exposure and the Cross-Section of Stock Returns (2020)Who Should be Afraid of Infections? Pande…A five-factor asset pricing model (2014)A five-factor asset pricing m…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Cultures and Organizations: Software of the Mind. (1993)Cultures and Organizations: S…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The relationship between return and market value of common stocks (1981)The relationship between retu…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Judgment under Uncertainty: Heuristics and Biases (1975)Judgment under Uncertainty: H…Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: H…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Availability: A heuristic for judging frequency and probability (1973)Availability: A heuristic for…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Subjective probability: A judgment of representativeness (1972)On the psychology of prediction. (1973)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Cross-Section of Expected Stock Returns (1992)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)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risk, Ambiguity, and the Savage Axioms (1961)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Affective, Continuance, and Normative Commitment to the Organization: A Meta-analysis of Antecedents, Correlates, and Consequences (2002)Dimensionalizing Cultures: The Hofstede Model in Context (2011)Conservation of Resources in the Organizational Context: The Reality of Resources and Their Consequences (2017)Development of NASA-TLX (Task Load Index): Results of Empirical and Theoretical Research (1988)Epistemic Injustice (2007)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
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  • 1973Availability: A heuristic for judging frequency and probability9,980 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited

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2006
The Cross‐Section of Volatility and Expected Returns
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