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Efficient Capital Markets: II
16 references·16 citing·29 second hopsampled
Efficient Capital Markets: II (1991)Efficient Capital Markets: IIThe Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Using daily stock returns (1985)Using daily stock returnsThe equity premium: A puzzle (1985)The equity premium: A puzzleCorporate financing and investment decisions when firms have information that investors do not have (1984)Corporate financing and inves…The market for corporate control (1983)The market for corporate cont…The relationship between return and market value of common stocks (1981)The relationship between retu…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Mutual Fund Performance (1966)Mutual Fund PerformanceThe Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…The illusory nature of momentum profits (2003)The illusory nature of moment…Short-sale constraints and stock returns (2002)Short-sale constraints and st…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Investor psychology in capital markets: evidence and policy implications (2002)Investor psychology in capita…Beyond Greed and Fear (2002)Beyond Greed and FearInefficient Markets (2000)Inefficient MarketsTime series properties of an artificial stock market (1999)Time series properties of an …Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? (1999)Implementing Statistical Crit…EPA's Voluntary 33/50 Program: Impact on Toxic Releases and Economic Performance of Firms (1999)EPA's Voluntary 33/50 Program…An Anatomy of Trading Strategies (1998)An Anatomy of Trading Strateg…Rational Capital Budgeting In An Irrational World (1996)Rational Capital Budgeting In…A Critique of Size-Related Anomalies (1995)A Critique of Size-Related An…Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Betting on trends: Intuitive forecasts of financial risk and return (1993)Betting on trends: Intuitive …Measuring abnormal performance (1992)Measuring abnormal performanceCAPITAL 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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Efficient Capital Markets: II (1991)On Persistence in Mutual Fund Performance (1997)
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References

  • 1984Corporate financing and investment decisions when firms have information that investors do not have18,936 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1985Using daily stock returns6,497 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1983The market for corporate control4,145 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

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  • 1995A Critique of Size-Related Anomalies763 cited
  • 2002Investor psychology in capital markets: evidence and policy implications760 cited
  • 1999Time series properties of an artificial stock market729 cited
  • 1999EPA's Voluntary 33/50 Program: Impact on Toxic Releases and Economic Performance of Firms679 cited
  • 2003The illusory nature of momentum profits657 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1996Rational Capital Budgeting In An Irrational World602 cited
  • 1993Betting on trends: Intuitive forecasts of financial risk and return586 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 1999Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?533 cited
  • 2002Beyond Greed and Fear528 cited