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Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration
16 references·0 citing·24 second hop
Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration (2009)Methodologies for Isolating and Assessing…In Search of Distress Risk (2008)In Search of Distress RiskResponse Surface Methodology (1996)Response Surface MethodologySize and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Empirical Model-Building and Response Surfaces. (1988)Empirical Model-Building and …Empirical Model Building and Response Surfaces (1988)Empirical Model Building and …Dividend yields and expected stock returns (1988)Dividend yields and expected …The relationship between return and market value of common stocks (1981)The relationship between retu…Statistics for Experimenters (1979)Statistics for ExperimentersINVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionThe 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)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Response Surface Methodology: Process and Product Optimization Using Designed Experiments (1996)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)Response Surfaces: Designs and Analyses (1997)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Explaining Fixed Effects: Random Effects Modeling of Time-Series Cross-Sectional and Panel Data (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Response surface methodology (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1979Statistics for Experimenters6,750 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1988Empirical Model Building and Response Surfaces5,235 cited
  • 1952Portfolio Selection4,609 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1996Response Surface Methodology3,819 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 2008In Search of Distress Risk2,232 cited
  • 1988Empirical Model-Building and Response Surfaces.

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