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Hipoteza deterministycznej premii za ryzyko · Study

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ArticleHipoteza deterministycznej premii za ryzyko

Bartosz Kurek2011

Article2011

Hipoteza deterministycznej premii za ryzyko

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Financial Markets and Investment Strategies Decision-Making and Behavioral Economics Stochastic processes and financial applications

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1921Risk, Uncertainty and Profit 1976The arbitrage theory of capital asset pricing 1975THE 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.]1985The equity premium: A puzzle 1946On the Theory of Scales of Measurement 1997Earnings management to avoid earnings decreases and losses

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2006Equity Premium: Historical, Expected, Required and Impliedpreprint · 8 shared references 2008The Equity Premium Puzzle: High Required Premium, Undervaluation and Self Fulfilling Prophecypreprint · 8 shared references 2011Empirical cross-sectional asset pricing: a surveyarticle · 7 shared references 2004Equity Risk Premiumarticle · 7 shared references 1991Efficient Capital Markets: IIarticle · 6 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 6 shared references

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Year2011

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Published2011-01-01

Languagepl

Citations21

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ShelfFinancial Markets and Investment Strategies

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