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Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange
16 references·1 citing·40 second hop
Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange (2022)Market and Accounting Measures of Risk: T…Choosing factors (2018)Choosing factorsFundamentals-Based Risk Measurement in Valuation (2009)Fundamentals-Based Risk Measu…Downside Risk (2006)Downside RiskMean-semivariance behavior: Downside risk and capital asset pricing (2005)Mean-semivariance behavior: D…Downside risk and asset pricing (2005)Downside risk and asset prici…Systematic risk in emerging markets: the D-CAPM (2002)Systematic risk in emerging m…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…Accounting Betas, Systematic Operating Risk, and Financial Leverage: A Risk-Composition Approach to the Determinants of Systematic Risk (1980)Accounting Betas, Systematic …An Analysis of Risk in Bull and Bear Markets (1979)An Analysis of Risk in Bull a…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …The Association Between Market Determined and Accounting Determined Risk Measures. (1970)The Association Between Marke…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Economic value added: The best indicator for measuring value creation or just an illusion? (2023)Economic value added: The bes…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Stock Returns and Volatility (1990)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Conditional Skewness in Asset Pricing Tests (2000)Asymmetric correlations of equity portfolios (2002)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Portfolio Selection: Efficient Diversification of Investments (1959)On Economic Inequality (1973)Chapter 2 Measurement of inequality (2000)Theory of games and economic behavior (2019)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis (2012)ESG Shareholder Engagement and Downside Risk (2016)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Consumer perceived risk: conceptualisations and models (1999)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Short and Long Horizon Behavioral Factors (2017)Investment and Asset Pricing with ESG Disagreement (2020)Taming the Factor Zoo: A Test of New Factors (2020)The Cross-Section of Expected Stock Returns (1992)… and the Cross-Section of Expected Returns (2015)Replicating Anomalies (2018)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Behavior of Stock-Market Prices (1965)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Anomalies in relationships between securities' yields and yield-surrogates (1978)Financial statement analysis and the prediction of stock returns (1989)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2018Choosing factors1,058 cited
  • 2006Downside Risk1,039 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1970The Association Between Market Determined and Accounting Determined Risk Measures.573 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
  • 2002Systematic risk in emerging markets: the D-CAPM305 cited
  • 2005Mean-semivariance behavior: Downside risk and capital asset pricing229 cited
  • 1980Accounting Betas, Systematic Operating Risk, and Financial Leverage: A Risk-Composition Approach to the Determinants of Systematic Risk168 cited
  • 1979An Analysis of Risk in Bull and Bear Markets127 cited
  • 2005Downside risk and asset pricing118 cited

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  • 2009Fundamentals-Based Risk Measurement in Valuation92 cited
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    • 2023Economic value added: The best indicator for measuring value creation or just an illusion?22 cited