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Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence
16 references·7 citing·21 second hop
Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence (2020)Salience Theory and the Cross-Section of …Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…A five-factor asset pricing model (2014)A five-factor asset pricing m…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …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…Culture's Consequences: Comparing Values, Behaviors, Institutions, and Organizations across Nations (2002)Culture's Consequences: Compa…Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Boys will be Boys: Gender, Ov…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns 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…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Salience theory and cryptocurrency returns (2023)Salience theory and cryptocur…How Markets Shape Prices for Skewed Assets: Price Reversal in Multi-Assets Experimental Markets (2023)How Markets Shape Prices for …Do Anomalies Really Predict Market Returns? New Data and New Evidence (2023)Do Anomalies Really Predict M…Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets (2022)Machine Learning Goes Global:…Machine Learning and the Cross-Section of Cryptocurrency Returns (2022)Machine Learning and the Cros…Salient Cues and Complexity (2020)Salient Cues and ComplexityEnhanced Momentum Strategies (2019)Enhanced Momentum StrategiesThe 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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Upper Echelons Theory: An Update (2007)The weirdest people in the world? (2010)Dimensionalizing Cultures: The Hofstede Model in Context (2011)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2002Culture's Consequences: Comparing Values, Behaviors, Institutions, and Organizations across Nations21,666 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 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
  • 2016Measuring Economic Policy Uncertainty*12,311 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 model7,841 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2001Boys will be Boys: Gender, Overconfidence, and Common Stock Investment5,215 cited

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  • 2008Market Liquidity and Funding Liquidity5,007 cited
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    • 2023Do Anomalies Really Predict Market Returns? New Data and New Evidence37 cited
    • 2022Machine Learning and the Cross-Section of Cryptocurrency Returns30 cited
    • 2020Salient Cues and Complexity3 cited
    • 2023How Markets Shape Prices for Skewed Assets: Price Reversal in Multi-Assets Experimental Markets1 cited