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Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model
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Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model (2021)Firm Characteristics and Global Stock Ret…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…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…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…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The relationship between return and market value of common stocks (1981)The relationship between retu…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Digesting Anomalies: An Investment Approach (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1997On Persistence in Mutual Fund Performance17,267 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
  • 2014A five-factor asset pricing model8,065 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,887 cited
  • 1985Does the Stock Market Overreact?7,756 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1981The relationship between return and market value of common stocks5,999 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited

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  • 2020Empirical Asset Pricing via Machine Learning2,832 cited
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