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Speculative Betas
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Speculative Betas (2012)Speculative BetasBetting against beta (2013)Betting against betaThe Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Do Investors Trade Too Much? (1999)Do Investors Trade Too Much?Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations (1978)Speculative Investor Behavior…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments (1959)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The Impact of Uncertainty Shocks (2007)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Who Gambles in the Stock Market? (2009)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The arbitrage theory of capital asset pricing (1976)Investor Sentiment and the Cross‐Section of Stock Returns (2006)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1999Do Investors Trade Too Much?2,245 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 2013Betting against beta2,027 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1978Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations1,559 cited
  • 1994

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Contrarian Investment, Extrapolation, and Risk
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