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A Tale of Two Cities
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A Tale of Two Cities (2010)A Tale of Two CitiesProof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…An Engine, Not a Camera (2006)An Engine, Not a CameraThe Taylor Rule and Optimal Monetary Policy (2001)The Taylor Rule and Optimal M…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An Equilibrium Model of the Business Cycle (1975)An Equilibrium Model of the B…Risk Aversion and the Martingale Property of Stock Prices (1973)Risk Aversion and the Marting…Proof That Properly Discounted Present Values of Assets Vibrate Randomly (1973)Proof That Properly Discounte…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Alternative Approaches to the Theory of Choice in Risk-Taking Situations (1951)Alternative Approaches to the…Measurement Without Theory (1947)Measurement Without TheoryRandom Simultaneous Equations and the Theory of Production (1944)Random Simultaneous Equations…Liquidity Preference and the Theory of Interest and Money (1944)Liquidity Preference and the …Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitThe Strength of Weak Ties (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Prospect theory: An analysis of decision under risk (1988)10 Sociomateriality: Challenging the Separation of Technology, Work and Organization (2008)Making sense of financialization (2014)How Technology Is Changing Work and Organizations (2016)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL 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 (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Money and Economic Growth (1965)Some International Evidence on Output-Inflation Tradeoffs. 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The challenges and opportunities of Social Media (2009)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)Risk, Return, and Equilibrium: Empirical Tests (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)Implicit Contracts: A Survey (1985)Monetary Policy in the Euro Area (2001)Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium (2004)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 2006An Engine, Not a Camera1,765 cited
  • 1975An Equilibrium Model of the Business Cycle1,036 cited
  • 1944Liquidity Preference and the Theory of Interest and Money842 cited
  • 1947Measurement Without Theory805 cited
  • 2001The Taylor Rule and Optimal Monetary Policy787 cited
  • 1951Alternative Approaches to the Theory of Choice in Risk-Taking Situations714 cited
  • 1944Random Simultaneous Equations and the Theory of Production539 cited
  • 1973Risk Aversion and the Martingale Property of Stock Prices354 cited
  • 1973Proof That Properly Discounted Present Values of Assets Vibrate Randomly

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