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Lottery-like preferences and the MAX effect in the cryptocurrency market
16 references·4 citing·19 second hopsampled
Lottery-like preferences and the MAX effect in the cryptocurrency market (2021)Lottery-like preferences and the MAX effe…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…Who Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Non-standard errors in the cryptocurrency world (2024)Non-standard errors in the cr…The predictive power of Bitcoin prices for the realized volatility of US stock sector returns (2023)The predictive power of Bitco…Machine Learning and the Cross-Section of Cryptocurrency Returns (2022)Machine Learning and the Cros…Is There a Value Premium in Cryptoasset Markets? (2020)Is There a Value Premium in C…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)Policy Uncertainty and Corporate Investment (2015)Introductory Econometrics for Finance (2008)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)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
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2009Who Gambles in the Stock Market?1,808 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • 2010

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Maxing out: Stocks as lotteries and the cross-section of expected returns
1,631 cited

Cited by

  • 2023The predictive power of Bitcoin prices for the realized volatility of US stock sector returns33 cited
  • 2022Machine Learning and the Cross-Section of Cryptocurrency Returns30 cited
  • 2020Is There a Value Premium in Cryptoasset Markets?24 cited
  • 2024Non-standard errors in the cryptocurrency world21 cited