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Quantile regression, asset pricing and investment decision
16 references·2 citing·34 second hop
Quantile regression, asset pricing and investment decision (2021)Quantile regression, asset pricing and in…Is ESG the succeeding risk factor? (2020)Is ESG the succeeding risk fa…The Journal of Sustainable Finance & Investment (2011)The Journal of Sustainable Fi…A Quantile Regression Analysis of the Cross Section of Stock Market Returns (2004)A Quantile Regression Analysi…The effect of school quality on student performance: A quantile regression approach (1998)The effect of school quality …Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Beta and Return (1993)Beta and ReturnThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…Earnings Yields, Market Values, and Stock Returns (1989)Earnings Yields, Market Value…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Debt/Equity Ratio and Expecte…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…The Capital Asset Pricing Model and the Investment Horizon (1977)The Capital Asset Pricing Mod…Heterogeneity of investor sentiment, geopolitical risk and economic policy uncertainty: do Islamic banks differ during COVID-19 pandemic? (2023)Heterogeneity of investor sen…COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave (2021)COVID-19 Pandemic: Is the Cry…Risk, Return, and Equilibrium: Empirical Tests (1973)Estimating betas from nonsynchronous data (1977)Efficient Capital Markets: II (1991)Replicating Anomalies (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The effects of dividend yield and dividend policy on common stock prices and returns (1974)Characteristics, Covariances, and Average Returns: 1929-1997 (1998)Overreaction and Insider Trading: Evidence from Growth and Value Portfolios (1998)The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect (1999)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Noise (1986)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Chapter 18 A survey of behavioral finance (2003)Capital Market Equilibrium with Restricted Borrowing (1972)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Economic Forces and the Stock Market (1986)Commonality in the determinants of expected stock returns (1996)Common Risk Factors in Currency Markets (2011)Is the Risk of Bankruptcy a Systematic Risk? (1998)What Drives Firm‐Level Stock Returns? (2002)Predicting returns with financial ratios (2004)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1988Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence1,336 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1993Beta and Return588 cited
  • 1989Earnings Yields, Market Values, and Stock Returns497 cited
  • 1998The effect of school quality on student performance: A quantile regression approach322 cited
  • 1977The Capital Asset Pricing Model and the Investment Horizon255 cited
  • 2011The Journal of Sustainable Finance & Investment211 cited
  • 2020Is ESG the succeeding risk factor?161 cited
  • 2004

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A Quantile Regression Analysis of the Cross Section of Stock Market Returns
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  • 2021COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave68 cited
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