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Geographic links and predictable returns
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Geographic links and predictable returns (2024)Geographic links and predictable returnsIntegración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…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…Limited attention, information disclosure, and financial reporting (2003)Limited attention, informatio…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…The conservatism principle and the asymmetric timeliness of earnings1 (1997)The conservatism principle an…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Geographic Localization of Knowledge Spillovers as Evidenced by Patent Citations (1993)Geographic Localization of Kn…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: H…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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 Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)Digesting Anomalies: An Investment Approach (2012)Illusion and well-being: A social psychological perspective on mental health. (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A model of investor sentiment / (1997)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Increasing Returns and Long-Run Growth (1986)Endogenous Technological Change (1989)Innovation and Growth in the Global Economy. (1993)Collaboration Networks, Structural Holes, and Innovation: A Longitudinal Study (2000)Location, Competition, and Economic Development: Local Clusters in a Global Economy (2000)The NBER Patent Citation Data File: Lessons, Insights and Methodological Tools (2001)Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)On the psychology of prediction. (1973)The Framing of Decisions and the Psychology of Choice (1981)Development of NASA-TLX (Task Load Index): Results of Empirical and Theoretical Research (1988)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Multifactor Explanations of Asset Pricing Anomalies (1996)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1974Judgment under Uncertainty: Heuristics and Biases28,742 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 1993Geographic Localization of Knowledge Spillovers as Evidenced by Patent Citations7,818 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,841 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1997The conservatism principle and the asymmetric timeliness of earnings13,988 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited

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  • 2003Limited attention, information disclosure, and financial reporting2,339 cited
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