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Asset pricing with neural networks: Significance tests
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Asset pricing with neural networks: Significance tests (2023)Asset pricing with neural networks: Signi…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…… 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…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…The price of sin: The effects of social norms on markets (2009)The price of sin: The effects…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…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…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…The relationship between return and market value of common stocks (1981)The relationship between retu…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)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)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)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)Do Shareholders Benefit from Green Bonds? (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2009The price of sin: The effects of social norms on markets2,600 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2015… and the Cross-Section of Expected Returns

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2,112 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
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