SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Which Alpha?
16 references·16 citing·19 second hopsampled
Which Alpha? (2016)Which Alpha?Dissecting Anomalies with a Five-Factor Model (2015)Dissecting Anomalies with a F…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A five-factor asset pricing model (2014)A five-factor asset pricing m…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Forest through the Trees: Building Cross‐Sections of Stock Returns (2025)Forest through the Trees: Bui…Model Comparison with Transaction Costs (2023)Model Comparison with Transac…Factor Momentum (2023)Factor MomentumFactor Momentum and the Momentum Factor (2022)Factor Momentum and the Momen…Factor Models, Machine Learning, and Asset Pricing (2022)Factor Models, Machine Learni…Lucky factors (2021)Lucky factorsFactors and risk premia in individual international stock returns (2021)Factors and risk premia in in…The cash conversion cycle spread (2019)The cash conversion cycle spr…Comparing Cross-Section and Time-Series Factor Models (2019)Comparing Cross-Section and T…Which Factors? (2018)Which Factors?The History of the Cross-Section of Stock Returns (2018)The History of the Cross-Sect…Measuring Skewness Premia (2018)Measuring Skewness PremiaBasis‐Momentum (2018)Basis‐MomentumThe Idiosyncratic Momentum Anomaly (2017)The Idiosyncratic Momentum An…Testing Beta-Pricing Models Using Large Cross-Sections (2017)Testing Beta-Pricing Models U…Model Comparison with Sharpe Ratios (2017)Model Comparison with Sharpe …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 Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Does the Stock Market Overreact? (1985)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,121 cited
  • 2015Dissecting Anomalies with a Five-Factor Model929 cited
  • Cited by

    • 2018The History of the Cross-Section of Stock Returns278 cited
    • 2019Comparing Cross-Section and Time-Series Factor Models249 cited
    • 2022Factor Momentum and the Momentum Factor231 cited
    • 2018Which Factors?200 cited
    • 2022Factor Models, Machine Learning, and Asset Pricing187 cited
    • 2025Forest through the Trees: Building Cross‐Sections of Stock Returns174 cited
    • 2017Model Comparison with Sharpe Ratios162 cited
    • 2019The cash conversion cycle spread151 cited
    • 2021Lucky factors149 cited
    • 2018Basis‐Momentum144 cited
    • 2023Model Comparison with Transaction Costs103 cited
    • 2018Measuring Skewness Premia89 cited
    • 2017The Idiosyncratic Momentum Anomaly84 cited
    • 2023Factor Momentum81 cited
    • 2017Testing Beta-Pricing Models Using Large Cross-Sections73 cited
    • 2021Factors and risk premia in individual international stock returns72 cited