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International Tests of the ZCAPM Asset Pricing Model
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International Tests of the ZCAPM Asset Pricing Model (2022)International Tests of the ZCAPM Asset Pr…A five-factor asset pricing model (2014)A five-factor asset pricing m…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…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…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Illiquidity and stock returns: cross-section and time-series effects (2002)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Multifactor Explanations of Asset Pricing Anomalies (1996)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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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
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 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
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1996

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The Conditional CAPM and the Cross-Section of Expected Returns
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