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Aggregate and Firm-Level Stock Returns During Pandemics, In Real Time
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Aggregate and Firm-Level Stock Returns During Pandemics, In Real Time (2020)Aggregate and Firm-Level Stock Returns Du…The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…The Coronavirus and the Great Influenza Pandemic: Lessons from the “Spanish Flu” for the Coronavirus’s Potential Effects on Mortality and Economic Activity (2020)The Coronavirus and the Great…Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash (2020)Resiliency of Environmental a…Macroeconomic Implications of COVID-19: Can Negative Supply Shocks Cause Demand Shortages? (2020)Macroeconomic Implications of…How Are Small Businesses Adjusting to COVID-19? Early Evidence from a Survey (2020)How Are Small Businesses Adju…Feverish Stock Price Reactions to COVID-19* (2020)Feverish Stock Price Reaction…COVID-Induced Economic Uncertainty (2020)COVID-Induced Economic Uncert…Corporate Immunity to the COVID-19 Pandemic (2020)Corporate Immunity to the COV…Who Benefits from State and Local Economic Development Policies? (1991)Who Benefits from State and L…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Dividend yields and expected stock returns (1988)Dividend yields and expected …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The General Theory of Employment (1937)The General Theory of Employm…THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY (2021)THE NEWS EFFECT OF COVID-19 O…Mutual Fund Performance and Flows During the COVID-19 Crisis (2020)Mutual Fund Performance and F…A Pure Theory of Local Expenditures (1956)Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition (1974)Specification Tests in Econometrics (1978)Preventing Crime: What Works, What Doesn't, What's Promising (1998)Regions, Globalization, Development (2003)The Determinants and Welfare Implications of US Workers' Diverging Location Choices by Skill: 1980–2000 (2016)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)The 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)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Measuring Uncertainty (2015)A critical analysis of the impacts of COVID-19 on the global economy and ecosystems and opportunities for circular economy strategies (2020)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)Fear, lockdown, and diversion: Comparing drivers of pandemic economic decline 2020 (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)The Nature of the Firm (1937)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Survey of Corporate Governance (1997)How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis (2020)Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic (2021)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Does the Stock Market Overreact? (1985)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Introductory Econometrics for Finance (2008)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1937The General Theory of Employment5,168 cited
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  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1991Who Benefits from State and Local Economic Development Policies?2,641 cited
  • 2020COVID-Induced Economic Uncertainty1,562 cited
  • 2020Corporate Immunity to the COVID-19 Pandemic1,480 cited
  • 2020Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash1,227 cited
  • 2020Feverish Stock Price Reactions to COVID-19*1,199 cited
  • 2020The Unprecedented Stock Market Impact of COVID-19903 cited
  • 2020The Coronavirus and the Great Influenza Pandemic: Lessons from the “Spanish Flu” for the Coronavirus’s Potential Effects on Mortality and Economic Activity804 cited
  • 2020How Are Small Businesses Adjusting to COVID-19? Early Evidence from a Survey

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760 cited
  • 2020Macroeconomic Implications of COVID-19: Can Negative Supply Shocks Cause Demand Shortages?738 cited
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    • 2021THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY51 cited
    • 2020Mutual Fund Performance and Flows During the COVID-19 Crisis21 cited