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The use of asset growth in empirical asset pricing models
16 references·1 citing·22 second hop
The use of asset growth in empirical asset pricing models (2023)The use of asset growth in empirical asse…Measuring Uncertainty (2015)Measuring UncertaintyA five-factor asset pricing model (2014)A five-factor asset pricing m…In Search of Distress Risk (2008)In Search of Distress RiskHow Does Financing Impact Investment? The Role of Debt Covenants (2008)How Does Financing Impact Inv…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Industry costs of equity (1997)Industry costs of equityDo Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…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…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Financing Constraints and Corporate Investment (1988)Financing Constraints and Cor…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Firm Characteristics and Empirical Factor Models: A Model Mining Experiment (2020)Firm Characteristics and Empi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Postwar U.S. Business Cycles: An Empirical Investigation (1997)The Impact of Uncertainty Shocks (2009)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)COVID-Induced Economic Uncertainty (2020)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

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  • 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
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
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  • 1988Financing Constraints and Corporate Investment5,566 cited
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  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2008How Does Financing Impact Investment? The Role of Debt Covenants

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  • 2020Firm Characteristics and Empirical Factor Models: A Model Mining Experiment26 cited