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The value of information in China’s connected market
16 references·0 citing·34 second hop
The value of information in China’s connected market (2024)The value of information in China’s conne…Size and value in China (2019)Size and value in ChinaWhich Shorts Are Informed? (2007)Which Shorts Are Informed?All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Unobserved Actions of Mutual Funds (2006)Unobserved Actions of Mutual …The portfolio flows of international investors (2001)The portfolio flows of intern…Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Stock Market Liberalization, …Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…International Portfolio Investment Flows (1997)International Portfolio Inves…Momentum Strategies (1996)Momentum StrategiesReturns 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…A Simple Model of Herd Behavior (1992)A Simple Model of Herd Behavi…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Economic Reform and the Process of Global Integration (1995)The New Issues Puzzle (1995)Event Studies in Economics and Finance (1997)The World Price of Insider Trading (2002)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)The General Theory of Employment, Interest and Money. (1936)Network externalities, competition, and compatibility (1985)Standardization, Compatibility, and Innovation (1985)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Investor Psychology and Asset Pricing (2001)Using Online Conversations to Study Word-of-Mouth Communication (2004)Prospect theory: An analysis of decision under risk (1988)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)On the Impossibility of Informationally Efficient Markets (1980)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)Does financial liberalization spur growth? (2005)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
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References

  • 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
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1992A Simple Model of Herd Behavior6,511 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 2000Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices1,385 cited
  • 1997International Portfolio Investment Flows1,284 cited
  • 1996Momentum Strategies1,275 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2001The portfolio flows of international investors956 cited
  • 2019Size and value in China866 cited
  • 2006Unobserved Actions of Mutual Funds

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