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Market-Wide Predictable Price Pressure
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Market-Wide Predictable Price Pressure (2025)Market-Wide Predictable Price PressureDoes Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageA Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Payout policy in the 21st century (2005)Payout policy in the 21st cen…Asset Fire Sales (and Purchases) in Equity Markets (2005)Asset Fire Sales (and Purchas…Good Day Sunshine: Stock Returns and the Weather (2003)Good Day Sunshine: Stock Retu…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)Disappearing dividends: chang…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…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)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Financial Intermediation and Delegated Monitoring (1984)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Investor Sentiment and the Cross‐Section of Stock Returns (2006)When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)To Explain or to Predict? (2010)Empirical Asset Pricing via Machine Learning (2020)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)CoVaR (2016)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Multifactor Explanations of Asset Pricing Anomalies (1996)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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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*20,205 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 2008Market Liquidity and Funding Liquidity5,147 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2001Disappearing dividends: changing firm characteristics or lower propensity to pay?3,039 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 2008Liquidity and leverage2,557 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 2005Payout policy in the 21st century2,268 cited
  • 2015… and the Cross-Section of Expected Returns2,136 cited
  • 2003Good Day Sunshine: Stock Returns and the Weather1,930 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?

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