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Estimating Expected Return
4 references·16 citing·34 second hopsampled
Estimating Expected Return (1995)Estimating Expected ReturnThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…The Fama-French five-factor model and emerging market equity returns (2020)The Fama-French five-factor m…State variables, macroeconomic activity, and the cross section of individual stocks (2016)State variables, macroeconomi…Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns (2016)Dynamic Conditional Beta Is A…What Determines Protection of Property Rights? An Analysis of Direct and Indirect Effects (2013)What Determines Protection of…Size and book-to-market factors in Australia (2012)Size and book-to-market facto…Predictability of the Simple Technical Trading Rules: An Out-of-Sample Test (2012)Predictability of the Simple …Are VIX Futures ETPs Effective Hedges? (2012)Are VIX Futures ETPs Effectiv…Risk and Return in General: Theory and Evidence (2009)Risk and Return in General: T…Is Time‐Series‐Based Predictability Evident in Real Time?* (2006)Is Time‐Series‐Based Predicta…Determinants of the round-to-round returns to pre-IPO venture capital investments in U.S. biotechnology companies (2006)Determinants of the round-to-…Stock Returns and the Business Cycle (2004)Stock Returns and the Busines…Value versus Glamour (2003)Value versus GlamourEx Ante Cost of Equity Estimates of S&P 500 Firms: The Choice between Global and Domestic CAPM (2003)Ex Ante Cost of Equity Estima…The Equity Risk Premium is Lower than You Think it is: Empirical Estimates from a New Approach (1999)The Equity Risk Premium is Lo…Does the “Dow-10 Investment Strategy” Beat the Dow Statistically and Economically? (1997)Does the “Dow-10 Investment S…World wide security market regularities (1994)World wide security market re…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Theory and Measurement of Business Income (1961)The equity premium: A puzzle (1985)Disclosure level and the cost of equity capital. (1997)Ratio Analysis and Equity Valuation (1999)The explanatory and predictive power of different specifications of the Ohlson (1995) valuation models (2001)Accounting for Employee Stock Options (2004)Common risk factors in the returns on stocks and bonds (1993)Biases in Decomposing Holding-Period Portfolio Returns (2006)The expected value premium☆ (2007)Where Is the Risk in Value? Evidence from a Market‐to‐Book Decomposition (2019)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Efficient Capital Markets: II (1991)On Persistence in Mutual Fund Performance (1997)A reality check on technical trading rule profits in the U.S. futures markets (2009)Reality Checks and Comparisons of Nested Predictive Models (2011)Nested forecast model comparisons: A new approach to testing equal accuracy (2014)Multifactor Explanations of Asset Pricing Anomalies (1996)Liquidity in asset pricing: New Australian evidence using low-frequency data (2013)A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia (2015)Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model (2017)Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2018)Twitter activity, investor attention, and the diffusion of information (2019)Bank complexity, governance, and risk (2021)Short-Term Interest Rates and Stock Market Anomalies (2017)Asset Growth, Profitability, and Investment Opportunities (2018)Economic activity and momentum profits: Further evidence (2018)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited

Cited by

  • 2003Value versus Glamour120 cited
  • 2016State variables, macroeconomic activity, and the cross section of individual stocks108 cited
  • 2016Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns85 cited
  • 2006Is Time‐Series‐Based Predictability Evident in Real Time?*74 cited
  • 2012Size and book-to-market factors in Australia70 cited
  • 1999The Equity Risk Premium is Lower than You Think it is: Empirical Estimates from a New Approach60 cited
  • 2004Stock Returns and the Business Cycle58 cited
  • 1997Does the “Dow-10 Investment Strategy” Beat the Dow Statistically and Economically?54 cited
  • 2020The Fama-French five-factor model and emerging market equity returns50 cited
  • 1994World wide security market regularities49 cited
  • 2012Predictability of the Simple Technical Trading Rules: An Out-of-Sample Test48 cited

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  • 2006Determinants of the round-to-round returns to pre-IPO venture capital investments in U.S. biotechnology companies45 cited
  • 2003Ex Ante Cost of Equity Estimates of S&P 500 Firms: The Choice between Global and Domestic CAPM40 cited
  • 2013What Determines Protection of Property Rights? An Analysis of Direct and Indirect Effects36 cited
  • 2009Risk and Return in General: Theory and Evidence36 cited
  • 2012Are VIX Futures ETPs Effective Hedges?34 cited