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The value premium and investors' appetite for risk
16 references·0 citing·36 second hopsampled
The value premium and investors' appetite for risk (2022)The value premium and investors' appetite…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The other side of value: The gross profitability premium (2013)The other side of value: The …Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsInstitutional Investors and Equity Prices (2001)Institutional Investors and E…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Mood and judgment: The affect infusion model (AIM). (1995)Mood and judgment: The affect…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Affect, generalization, and the perception of risk. (1983)Affect, generalization, and t…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Psychology of Interpersonal Relations. (1958)The case for motivated reasoning. (1990)The Emerging Field of Emotion Regulation: An Integrative Review (1998)Well-being : the foundations of hedonic psychology (1999)Social Influence: Compliance and Conformity (2004)THE PSYCHOLOGY OF PERSONAL CONSTRUCTS (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Geopolitical Risk (2022)A Theory of the Term Structure of Interest Rates (1985)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)The Role of Monetary Policy (1995)Measuring Uncertainty (2015)Firm-Level Political Risk: Measurement and Effects* (2019)The Unprecedented Stock Market Reaction to COVID-19 (2020)The Cross‐Section of Volatility and Expected Returns (2006)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,234 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,421 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1995Mood and judgment: The affect infusion model (AIM).3,474 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 1983Affect, generalization, and the perception of risk.1,854 cited
  • 2012Size, value, and momentum in international stock returns1,822 cited
  • 2001

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Institutional Investors and Equity Prices
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