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Market leverage, debt heterogeneity, and equity returns
16 references·0 citing·37 second hop
Market leverage, debt heterogeneity, and equity returns (2024)Market leverage, debt heterogeneity, and …A five-factor asset pricing model (2014)A five-factor asset pricing m…Digesting Anomalies: An Investment Approach (2012)Digesting Anomalies: An Inves…In Search of Distress Risk (2008)In Search of Distress RiskFinancial Constraints, Asset Tangibility, and Corporate Investment (2007)Financial Constraints, Asset …The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsFinancial Constraints and Stock Returns (2001)Financial Constraints and Sto…Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Do Investment-Cash Flow Sensi…Optimal Debt Structure and the Number of Creditors (1996)Optimal Debt Structure and th…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…Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt (1992)Insiders and Outsiders: The C…Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt (1991)Monitoring and Reputation: Th…Financial Intermediation and Delegated Monitoring (1984)Financial Intermediation and …Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Conditional logit analysis of qualitative choice behavior (1972)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)The Effect of Audit Quality on Earnings Management* (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Determinants of corporate borrowing (1977)Two Agency-Cost Explanations of Dividends (1984)What Do We Know about Capital Structure? Some Evidence from International Data (1995)A Survey of Corporate Governance (1997)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 arbitrage theory of capital asset pricing (1976)Moral Hazard and Observability (1979)Bank Runs, Deposit Insurance, and Liquidity (1983)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Financial intermediation and growth: Causality and causes (2000)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)Optimal contracts and competitive markets with costly state verification (1979)Reputation and imperfect information (1982)Financial Intermediation, Loanable Funds, and The Real Sector (1997)The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle (1998)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 Financial Accelerator in a Quantitative Business Cycle Framework (1998)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)Corporate social responsibility and access to finance (2013)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)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)On Persistence in Mutual Fund Performance (1997)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1984Financial Intermediation and Delegated Monitoring8,489 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 1997Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?6,790 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1992Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt3,902 cited
  • 1991Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt3,294 cited
  • 2012Digesting Anomalies: An Investment Approach2,492 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 2007Financial Constraints, Asset Tangibility, and Corporate Investment1,570 cited
  • 1996Optimal Debt Structure and the Number of Creditors1,440 cited
  • 2001

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Financial Constraints and Stock Returns
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