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Macro-Finance
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Macro-Finance (2017)Macro-FinanceValue and Momentum Everywhere (2013)Value and Momentum EverywhereDeciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…The equity premium: A puzzle (1985)The equity premium: A puzzleTime to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Zeroing In on the Expected Returns of Anomalies (2022)Zeroing In on the Expected Re…A New Test of Risk Factor Relevance (2022)A New Test of Risk Factor Rel…The term structure of equity risk premia (2021)The term structure of equity …The FOMC Risk Shift (2021)The FOMC Risk ShiftPortfolios for Long-Term Investors (2021)Portfolios for Long-Term Inve…Overnight returns, daytime reversals, and future stock returns (2021)Overnight returns, daytime re…Expected return, volume, and mispricing (2021)Expected return, volume, and …Review Article: Perspectives on the Future of Asset Pricing (2020)Review Article: Perspectives …Financial Market Risk Perceptions and the Macroeconomy* (2020)Financial Market Risk Percept…Business cycles and currency returns (2020)Business cycles and currency …Time-varying inflation risk and stock returns (2019)Time-varying inflation risk a…Policy News and Stock Market Volatility (2019)Policy News and Stock Market …Consumption Fluctuations and Expected Returns (2019)Consumption Fluctuations and …Microeconomic Heterogeneity and Macroeconomic Shocks (2018)Microeconomic Heterogeneity a…Carbon Intensity and the Cost of Equity Capital (2018)Carbon Intensity and the Cost…Time Variation of the Equity Term Structure (2017)Time Variation of the Equity …Dividend Policy, Growth, and the Valuation of Shares (1961)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 five-factor asset pricing model (2014)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)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)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*

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2,324 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • Cited by

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    • 2019Time-varying inflation risk and stock returns121 cited
    • 2020Financial Market Risk Perceptions and the Macroeconomy*109 cited
    • 2021Expected return, volume, and mispricing108 cited
    • 2020Business cycles and currency returns100 cited
    • 2020Review Article: Perspectives on the Future of Asset Pricing100 cited
    • 2021The term structure of equity risk premia99 cited
    • 2021Overnight returns, daytime reversals, and future stock returns98 cited
    • 2018Carbon Intensity and the Cost of Equity Capital91 cited
    • 2019Policy News and Stock Market Volatility88 cited
    • 2019Consumption Fluctuations and Expected Returns85 cited
    • 2021The FOMC Risk Shift78 cited
    • 2021Portfolios for Long-Term Investors78 cited
    • 2022A New Test of Risk Factor Relevance75 cited