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Speculation Sentiment
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Speculation Sentiment (2022)Speculation SentimentIntegración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Handbook of the Economics of Finance (2013)Handbook of the Economics of …Betting against beta (2013)Betting against betaMaxing 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…Investor Inattention and Friday Earnings Announcements (2009)Investor Inattention and Frid…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Predictive regressions (1999)Predictive regressionsCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Information Uncertainty and Stock Returns (2006)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)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
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2013Betting against beta2,027 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 2009Who Gambles in the Stock Market?1,808 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2009Investor Inattention and Friday Earnings Announcements1,740 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 1999

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Predictive regressions
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