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Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia
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Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia (2022)Smart beta portfolio investment strategy …The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY (2020)INVESTIGATING ABNORMAL VOLATI…COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)COVID-19 and the march 2020 s…COVID-19 and stock market volatility: An industry level analysis (2020)COVID-19 and stock market vol…Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash (2019)Linkages between crude oil an…Volatility spillover shifts in global financial markets (2018)Volatility spillover shifts i…Policy uncertainty and international financial markets: the case of Brexit (2018)Policy uncertainty and intern…Market Value, Time, and Risk (2015)Market Value, Time, and RiskRisk Perception and the Economic Crisis: A Longitudinal Study of the Trajectory of Perceived Risk (2011)Risk Perception and the Econo…Investor mood and financial markets (2010)Investor mood and financial m…Option trading and individual investor performance (2008)Option trading and individual…Jack Treynor's 'Toward a Theory of Market Value of Risky Assets' (2004)Jack Treynor's 'Toward a Theo…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…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* (1952)PORTFOLIO SELECTION*Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (1969)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)The Social Amplification of Risk: A Conceptual Framework (1988)Well-being : the foundations of hedonic psychology (1999)Risk as feelings. (2001)Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance (2013)Asymmetric volatility spillovers between crude oil and international financial markets (2018)Stock markets' reaction to COVID-19: evidence from the six WHO regions (2021)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)Feverish Stock Price Reactions to COVID-19* (2020)Financial contagion during COVID–19 crisis (2020)Inequality in the impact of the coronavirus shock: Evidence from real time surveys (2020)Why Does Stock Market Volatility Change Over Time? 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(2009)Individual Investor Perceptions and Behavior During the Financial Crisis (2012)How Investor Perceptions Drive Actual Trading and Risk-Taking Behavior (2015)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Overconfidence and Speculative Bubbles (2003)Information Uncertainty and Stock Returns (2006)Who Gambles in the Stock Market? (2009)The Treynor Capital Asset Pricing Model (2003)An Engine, Not a Camera (2006)Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19* (2020)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2020The Unprecedented Stock Market Impact of COVID-19903 cited
  • 2020COVID-19 and the march 2020 stock market crash. Evidence from S&P1500726 cited
  • 2020COVID-19 and stock market volatility: An industry level analysis544 cited
  • 2015Market Value, Time, and Risk383 cited
  • 2008Option trading and individual investor performance170 cited
  • 2011Risk Perception and the Economic Crisis: A Longitudinal Study of the Trajectory of Perceived Risk159 cited
  • 2010Investor mood and financial markets122 cited
  • 2018Volatility spillover shifts in global financial markets118 cited
  • 2018Policy uncertainty and international financial markets: the case of Brexit118 cited
  • 2019Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash81 cited
  • 2004Jack Treynor's 'Toward a Theory of Market Value of Risky Assets'67 cited

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2020
INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY
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