Asset pricing and portfolio performance: Models, strategy, and performance metrics

1999-01-01book40 citationsclosed

No readable copy stored yet — this record is metadata only.

Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

Asset Pricing and Portfolio Performance Models, Strategy, and Performance Metrics -------------------------------------------------------------------------------- CONTENTS Introduction and Overview: Original section introductions by Robert Korajczyk Asset Pricing Theory: Capital Asset Prices a Theory of Market Equilibrium Under Conditions of Risk William F Sharpe Toward a Theory of Market Value of Risky Assets Jack Treynor An Intertemporal Capital Asset Pricing Model Robert C. Merton The Arbitrage Theory of Capital Asset Pricing Stephen A. Ross A Simple Model of Capital Market Equilibrium with Incomplete Information Robert C.Merton Testing Asset Pricing Models, Anomalies, and Portfolio Strategies: The Cross-Section of Expected Stock Returns Eugene F. Fama and Kenneth R. French Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Narasimhan Jegadeesh and Sheridan Titman Multi-Factor Explanations of Asset Pricing Anomalies Eugene F. Fama and Kenneth R. French Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns Michael J. Brennan, Tarun Chordia, and Avanidhar Subrahmanyam Evidence on the Characteristics of the Cross Sectional Variation in Stock Returns Kent Daniel and Sheridan Titman The Variation of Economic Risk Premiums Ferson, Wayne E. and Campbell R. Harvey Market Imperfections and Asset Pricing: Asset Pricing and the Bid-Ask Spread Yakov Amihud and Haim Mendelson Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns Brennan, Michael J., and Avanidhar Subrahmanyam The Conditional CAPM and the Cross-Section of Expected Returns Ravi Jagannathan and Zhenyu Wang Portfolio Performance Evaluation: Portfolio Performance Evaluation: Old Issues and New Insights Mark Grinblatt and Sheridan Titman Assessing the Market Timing Performance of Managed Portfolios Ravi Jagannathan and Robert A. Korajczyk Beyond Mean-Variance: Risk and Performance Measures for Portfolios with Nonsymmetric Return Distributions Hayne E Leland Measuring Fund Strategy and Performance in Changing Economic Conditions Wayne E. Ferson and Rudi W. Schadt Survivorship Bias in Performance Studies Stephen J. Brown, William Goetzmann, Roger G. Ibbotson and Stephen A. Ross

Citations in this library

Stored only when both papers are in the corpus — 40 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1992The Cross-Section of Expected Stock Returns

1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

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.]

1996Multifactor Explanations of Asset Pricing Anomalies

1973An Intertemporal Capital Asset Pricing Model