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Capital Asset Pricing Model (CAPM) 2.0: Account of Business and Financial Risk
14 references·0 citing·26 second hop
Capital Asset Pricing Model (CAPM) 2.0: Account of Business and Financial Risk (2024)Capital Asset Pricing Model (CAPM) 2.0: A…Capital Structure Theory: Past, Present, Future (2023)Capital Structure Theory: Pas…Generalized Modigliani–Miller Theory (2022)Generalized Modigliani–Miller…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Asset-Pricing Tests Under Alternative Distributions (1993)Asset-Pricing Tests Under Alt…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS (1972)THE EFFECT OF THE FIRM'S CAPI…PORTFOLIO ANALYSIS, MARKET EQUILIBRIUM AND CORPORATION FINANCE (1969)PORTFOLIO ANALYSIS, MARKET EQ…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Financial Intermediation and Delegated Monitoring (1984)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)The cost of capital, corporation finance and the theory of investment (2008)An Intertemporal Capital Asset Pricing Model (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Industry costs of equity (1997)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1972THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS1,130 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1969PORTFOLIO ANALYSIS, MARKET EQUILIBRIUM AND CORPORATION FINANCE525 cited
  • 1993Asset-Pricing Tests Under Alternative Distributions168 cited
  • 2023Capital Structure Theory: Past, Present, Future55 cited
  • 2022Generalized Modigliani–Miller Theory27 cited

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