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Trend Factor in China: The Role of Large Individual Trading
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Trend Factor in China: The Role of Large Individual Trading (2024)Trend Factor in China: The Role of Large …Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting the Equity Risk P…A five-factor asset pricing model (2014)A five-factor asset pricing m…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Foundations of Technical Anal…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets (1997)A Unified Theory of Underreac…Commonality in the determinants of expected stock returns (1996)Commonality in the determinan…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…The Theory of Capital Structure (1991)The Theory of Capital Structu…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…A Trend Factor for the Cross Section of Cryptocurrency Returns (2025)A Trend Factor for the Cross …Stock return predictability: Evidence from moving averages of trading volume (2021)Stock return predictability: …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1993)Firms, Contracts, and Financial Structure (1995)What Do We Know about Capital Structure? Some Evidence from International Data (1995)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)… and the Cross-Section of Expected Returns (2015)Hedging Climate Change News (2019)Dissecting green returns (2022)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
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1991The Theory of Capital Structure4,371 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation1,118 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1996Commonality in the determinants of expected stock returns1,066 cited
  • 1997A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets

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1,041 cited
  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
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