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Citations for "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk"

by William F. Sharpe

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  1. Karsten Jeske, 2003. "Pension systems and aggregate shocks," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 15-31.
  2. Levy, Amnon, 2002. "A lifetime portfolio of risky and risk-free sexual behaviour and the prevalence of AIDS," Journal of Health Economics, Elsevier, vol. 21(6), pages 993-1007, November.
  3. Godfrey Charles-Cadogan, 2012. "Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets," Papers 1206.2662, arXiv.org.
  4. He, Ling T., 2005. "Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 619-640, September.
  5. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, vol. 11(4), pages 373-389, December.
  6. Radu Titus MARINESCU, 2012. "Romania in the Globalization Context," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 87-93, November.
  7. Naim Sipra, 2006. "Mutual Fund Performance in Pakistan, 1995-2004," Finance Working Papers 22281, East Asian Bureau of Economic Research.
  8. Matthias Raddant & Friedrich Wagner, 2013. "Phase Transition in the S&P Stock Market," Papers 1306.2508, arXiv.org.
  9. Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B., 2009. "Riding Bubbles," ERIM Report Series Research in Management ERS-2009-058-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  10. Raboy, David G. & Basher, Syed Abul & Hossain, Ishrat & Kaitibie, Simeon, 2012. "More efficient production subsidies for emerging agriculture in micro Arab states: a conceptual model," MPRA Paper 38854, University Library of Munich, Germany.
  11. Daniel McFadden & Carlos Noton & Pau Olivella, 2013. "Remedies for Sick Insurance," Documentos de Trabajo 302, Centro de Economía Aplicada, Universidad de Chile.
  12. Rachida Hennani & Michel Terraza, 2012. "Value-at-Risk stressée chaotique d’un portefeuille bancaire," Working Papers 12-23, LAMETA, Universtiy of Montpellier, revised Sep 2012.
  13. Desmoulins-Lebeault, François, 2002. "Capm empirical problems and the distribution," Economics Papers from University Paris Dauphine 123456789/2749, Paris Dauphine University.
  14. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2010. "Systematic risks for the financial and for the non-financial Romanian companies," MPRA Paper 41636, University Library of Munich, Germany, revised 28 Feb 2010.
  15. Karsten Jeske, 2001. "Equity home bias: Can information cost explain the puzzle?," Economic Review, Federal Reserve Bank of Atlanta, issue Q3, pages 31-42.
  16. DeMarzo, Peter & Skiadas, Costis, 1998. "Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information," Journal of Economic Theory, Elsevier, vol. 80(1), pages 123-152, May.
  17. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Asset Pricing in China: Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 128, School of Economics and Finance, Queensland University of Technology.
  18. Luboš Pástor & Robert F. Stambaugh, . "Investing in Equity Mutual Funds," CRSP working papers 532, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  19. Gabriel Fiuza de Bragança & Katia Rocha & Fernando Camacho, 2006. "A Taxa de Remuneração do Capital e a Nova Regulação das Telecomunicações," Discussion Papers 1160, Instituto de Pesquisa Econômica Aplicada - IPEA.
  20. Kerstens, Kristiaan & Mounir, Amine & de Woestyne, Ignace Van, 2011. "Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1190-1201, May.
  21. Clare, Andrew D. & Priestley, Richard, 1998. "Risk factors in the Malaysian stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 103-114, May.
  22. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc.
  23. Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
  24. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  25. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, . "Statistical Modeling of Stock Returns: A Historical Survey with Methodological Reflections," DEOS Working Papers 1226, Athens University of Economics and Business.
  26. Ravi Jagnnathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17.
  27. Vlastimir Vukovic & Jelena Minovic, 2012. "Needs And Possibilities For Enhancement Of Serbian Financial Markets," Book Chapters, Institute of Economic Sciences.
  28. Li, Xiafei & Miffre, Joëlle & Brooks, Chris & O'Sullivan, Niall, 2008. "Momentum profits and time-varying unsystematic risk," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 541-558, April.
  29. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS.
  30. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.
  31. Bossaerts, Peter & Plott, Charles, 2002. "The CAPM in thin experimental financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1093-1112, July.
  32. Smimou, K. & Bector, C.R. & Jacoby, G., 2007. "A subjective assessment of approximate probabilities with a portfolio application," Research in International Business and Finance, Elsevier, vol. 21(2), pages 134-160, June.
  33. Lubos Pastor & Robert F. Stambaugh, . "Comparing Asset Pricing Models: An Investment Perspective," Rodney L. White Center for Financial Research Working Papers 16-99, Wharton School Rodney L. White Center for Financial Research.
  34. Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 129-144, March.
  35. Daly, Kevin & Vo, Xuan Vinh, 2013. "The determinants of home bias puzzle in equity portfolio investment in Australia," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 34-42.
  36. Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.
  37. Michael E. Drew & Madhu Veeraraghavan, 2000. "Multifactor Models are Alive and Well," School of Economics and Finance Discussion Papers and Working Papers Series 083, School of Economics and Finance, Queensland University of Technology.
  38. M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers 2004s-62, CIRANO.
  39. Velu, Raja & Zhou, Guofu, 1999. "Testing multi-beta asset pricing models," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 219-241, September.
  40. Drew, Michael E. & Naughton, Tony & Veeraraghavan, Madhu, 2004. "Is idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 349-366.
  41. Beckmann, Daniela & Menkhoff, Lukas & Suto, Megumi, 2007. "Does Culture Influence Asset Managers? Views and Behavior?," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-367, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  42. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
  43. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, 08.
  44. Christian Julliard, 2007. "Labor income risk and asset returns," LSE Research Online Documents on Economics 4811, London School of Economics and Political Science, LSE Library.
  45. Tomáš Jeřábek, 2009. "Hedge Funds and Their Performance Between 1994 and 2008," Český finanční a účetní časopis, University of Economics, Prague, vol. 2009(1), pages 51-65.
  46. Arouri Mohamed el hédi & Jamel Jouini, 2009. "Analysis of structural breaks in the stock market integration of mexico into world," Economics Bulletin, AccessEcon, vol. 29(2), pages 1380-1392.
  47. Kroencke, Tim A. & Muehler, Grit & Sprietsma, Maresa, 2013. "Return and risk of human capital contracts," ZEW Discussion Papers 13-108, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  48. Tan, Ruth S. K. & Chng, P. L. & Tong, Y. H., 2002. "Private placements and rights issues in Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 10(1), pages 29-54, January.
  49. Lajili, Souad, 2007. "Explaining the Cross-Section Returns in France : Characteristics or Risk Factors?," Economics Papers from University Paris Dauphine 123456789/4169, Paris Dauphine University.
  50. Raphael Bergoeing & Felipe Morandé & Raimundo Soto, 2002. "Asset Prices in Chile: Facts and Fads," Central Banking, Analysis, and Economic Policies Book Series, in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (S (ed.), Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 8, pages 235-278 Central Bank of Chile.
  51. repec:ecu:wpaper:2009-12 is not listed on IDEAS
  52. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
  53. Nicholas V. Vakkur & Zulma J & Herrera-Vakkur, 2012. "Ripple effects: Sarbanes Oxley's impact upon investor risk in a global economy," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(2), pages 184-205, May.
  54. Erdos, Péter & Ormos, Mihály & Zibriczky, Dávid, 2011. "Non-parametric and semi-parametric asset pricing," Economic Modelling, Elsevier, vol. 28(3), pages 1150-1162, May.
  55. Celik, Saban & Aslanertik, Banu Esra, 2011. "Linkages Between Value Based Performance Measurements and Risk Return Trade Off: Theory and Evidence," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 16(31), pages 63-83.
  56. Wassim Daher & V. Filipe Martins-Da-Rocha & Yiannis Vailakis, 2005. "Asset market equilibrium with short-selling and differential information," Post-Print halshs-00173787, HAL.
  57. repec:dgr:uvatin:2003090 is not listed on IDEAS
  58. G. William Schwert & Paul J. Seguin, 1991. "Heteroskedasticity in Stock Returns," NBER Working Papers 2956, National Bureau of Economic Research, Inc.
  59. Giofré, Maela, 2013. "International diversification: Households versus institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 145-176.
  60. Carmich[ae]l, Benoit & Samson, Lucie, 2005. "Consumption growth as a risk factor? Evidence from Canadian financial markets," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 83-101, February.
  61. Meyerson, Eva M., 1991. "The Impact of Financial and Social Capital on Performance," Working Paper Series 317, Research Institute of Industrial Economics.
  62. Richard S.Grossman, 2014. "Bloody Foreigners! Overseas Equity on the London Stock Exchange, 1869-1928," Wesleyan Economics Working Papers 2014-001, Wesleyan University, Department of Economics.
  63. Danny M. Ervin & Larry H. Filer & Joseph C. Smolira, 2005. "International Diversification and Retirement Withdrawals," American Journal of Business, Emerald Group Publishing, vol. 20(1), pages 55-62.
  64. AROURI Mohamed El Hedi, 2004. "The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk," Economics Bulletin, AccessEcon, vol. 6(3), pages 1-13.
  65. Chambers, Robert G & Quiggin, John, 2008. "Generalized Invariant Preferences: Two-parameter Representations of Preferences," Risk and Sustainable Management Group Working Papers 151186, University of Queensland, School of Economics.
  66. Schober, Dominik & Schäffler, Stephan & Weber, Christoph, 2014. "Idiosyncratic risk and the cost of capital: The case of electricity networks," ZEW Discussion Papers 14-010, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  67. Yasmeen, & Masood, Sarwar & Saghir, Ghauri & Muhammad, Waqas, 2012. "The Capital Asset Pricing Model: Empirical Evidence from Pakistan," MPRA Paper 41961, University Library of Munich, Germany.
  68. Peter Bossaerts & William R. Zame, 2006. "Risk Aversion in Laboratory Asset Markets," Levine's Bibliography 122247000000001317, UCLA Department of Economics.
  69. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012. "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 261-271.
  70. Sofía B. Ramos & Helena Veiga, 2009. "Risk factors in oil and gas industry returns: international evidence," Statistics and Econometrics Working Papers ws096920, Universidad Carlos III, Departamento de Estadística y Econometría.
  71. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
  72. Levy, Moshe & Levy, Haim, 2001. "Testing for risk aversion: a stochastic dominance approach," Economics Letters, Elsevier, vol. 71(2), pages 233-240, May.
  73. Aynur Pala, 2014. "The Effect of Valuation Ratios, Gold Price, and Petroleum Price on Equity Returns: A Comparison of Static Panel and Quantile Regressions," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(1), pages 80-89, January.
  74. Lund, Diderik, 2006. "Taxation and systematic risk under decreasing returns to scale," Working Papers 02-2003, Copenhagen Business School, Department of Economics.
  75. Ho, Ron Yiu-wah & Strange, Roger & Piesse, Jenifer, 2006. "On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 199-214, July.
  76. Basci, Erdem & Ozyildirim, Suheyla & Aydogan, Kursat, 1996. "A note on price-volume dynamics in an emerging stock market," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 389-400, March.
  77. Brenda González-Hermosillo & Vance Martin & Mardi Dungey & Renee Fry, 2003. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund.
  78. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
  79. Chou, Pin-Huang & Ko, Kuan-Cheng & Lin, Shinn-Juh, 2010. "Do relative leverage and relative distress really explain size and book-to-market anomalies?," Journal of Financial Markets, Elsevier, vol. 13(1), pages 77-100, February.
  80. Lajili, Souad, 2004. "Size and book to market effects: further evidence from the French case," Economics Papers from University Paris Dauphine 123456789/2514, Paris Dauphine University.
  81. Tai, Chu-Sheng, 2003. "Are Fama-French and momentum factors really priced?," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 359-384, December.
  82. Balvers, Ronald J. & Huang, Dayong, 2009. "Evaluation of linear asset pricing models by implied portfolio performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1586-1596, September.
  83. W.H. Buiter & R Lagos & H Rey, 1997. "A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economics," CEP Discussion Papers dp0320, Centre for Economic Performance, LSE.
  84. Lally, Martin, 2000. "Valuation of companies and projects under differential personal taxation," Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 115-133, March.
  85. Black, Angela J. & Fraser, Patricia & McMillan, David G., 2007. "Are international value premiums driven by the same set of fundamentals?," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 113-129.
  86. Monda, Barbara & Giorgino, Marco & Modolin, Ileana, 2013. "Rationales for Corporate Risk Management - A Critical Literature Review," MPRA Paper 45420, University Library of Munich, Germany.
  87. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CARF F-Series CARF-F-201, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  88. Andrea Morone, 2004. "Comparison of Mean-Variance theory and Expected-Utility theory through a Laboratory Experiment," Experimental 0402001, EconWPA.
  89. Yalcin, Erdal & Sala, Davide, 2012. "Uncertain productivity growth and the choice between FDI and export," Discussion Papers of Business and Economics 19/2012, Department of Business and Economics, University of Southern Denmark.
  90. Louis, Rodolphe & Roncalli, Thierry, 2012. "On the market portfolio for multi-asset classes," MPRA Paper 39087, University Library of Munich, Germany.
  91. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
  92. G. Caldarelli & M. Piccioni & E. Sciubba, 2000. "A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq?," Papers cond-mat/0009437, arXiv.org.
  93. John Campbell & Jianping Mei, 1993. "Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk," NBER Working Papers 4329, National Bureau of Economic Research, Inc.
  94. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 555-574.
  95. Siriopoulos, Costas & Fassas, Athanasios, 2012. "An investor sentiment barometer — Greek Implied Volatility Index (GRIV)," Global Finance Journal, Elsevier, vol. 23(2), pages 77-93.
  96. Ackert, Lucy F. & Church, Bryan K. & Englis, Basil, 2002. "The asset allocation decision and investor heterogeneity: a puzzle?," Journal of Economic Behavior & Organization, Elsevier, vol. 47(4), pages 423-433, April.
  97. Quentin Wodon, 2007. "Constructing Fama-French Factors from style indexes: Japanese evidence," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-10.
  98. Andrew Clare & Richard Priestley, . "Calculating the probability of failure of the Norwegian banking sector," CERF Discussion Paper Series 97-02, Economics and Finance Section, School of Social Sciences, Brunel University.
  99. Hiroshi Takahashi & Takao Terano, 2003. "Agent-Based Approach to Investors? Behavior and Asset Price Fluctuation in Financial Markets," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 6(3), pages 3.
  100. Lo Nigro, Giovanna & Abbate, Lorenzo, 2011. "Risk assessment and profit sharing in business networks," International Journal of Production Economics, Elsevier, vol. 131(1), pages 234-241, May.
  101. Doriana Ruffino, 2014. "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(1), pages 107-130, January.
  102. Lubos Pastor & Robert F. Stambaugh, 2000. "Evaluating and Investing in Equity Mutual Funds," NBER Working Papers 7779, National Bureau of Economic Research, Inc.
  103. Forbes, Kristin & Chinn, Menzie, 2003. "A Decomposition of Global Linkages in Financial Markets over Time," Santa Cruz Department of Economics, Working Paper Series qt6z74b3x7, Department of Economics, UC Santa Cruz.
  104. Johansson, Anders C., 2009. "Asian Sovereign Debt and Country Risk," Working Paper Series 2009-11, China Economic Research Center, Stockholm School of Economics.
  105. De Santis, Giorgio & Gerard, Bruno & Hillion, Pierre, 2003. "The relevance of currency risk in the EMU," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 427-462.
  106. Vieru, Markku & Schadewitz, Hannu, 2010. "Impact of IFRS transition on audit and non-audit fees: evidence from small and medium-sized listed companies in Finland," MPRA Paper 44664, University Library of Munich, Germany.
  107. Giofré, Maela M., 2009. "The Role of Information Asimmetries and Inflation Hedging in International Equity Portfolios," MPRA Paper 13925, University Library of Munich, Germany.
  108. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
  109. Gordon, Myron J., 2005. "Growth, uncertainty and the Third World in the rise and fall of capitalism," Journal of Asian Economics, Elsevier, vol. 16(2), pages 153-177, April.
  110. Yinxia G. Nielsen , Caren, 2013. "Is Default Risk Priced in Equity Returns?," Knut Wicksell Working Paper Series 2013/2, Knut Wicksell Centre for Financial Studies, Lund University.
  111. repec:ecu:wpaper:2009-11 is not listed on IDEAS
  112. repec:dgr:uvatin:2010116 is not listed on IDEAS
  113. repec:dgr:uvatin:2006062 is not listed on IDEAS
  114. Morten Balling & Ernest Gnan, 2013. "The development of financial markets and financial theory: 50 years of interaction," SUERF 50th Anniversary Volume Chapters, SUERF - The European Money and Finance Forum.
  115. Abdullah Yalama, 2012. "International Financial Contagion: The Role of the UK," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, vol. 26(2), pages 115-129.
  116. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
  117. Hearn, Bruce & Piesse, Jenifer, 2009. "Sector level cost of equity in African financial markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 257-278, December.
  118. Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
  119. Mohamed El Hedi Arouri & Christophe Rault & Frédéric Teulon, 2013. "Equity Risk Premium and Regional Integration," Working Papers hal-00798052, HAL.
  120. Brennan, Michael J & LIU, XIAOQUAN & Xia, Yihong, 2005. "Option Pricing Kernels and the ICAPM," University of California at Los Angeles, Anderson Graduate School of Management qt4d90p8ss, Anderson Graduate School of Management, UCLA.
  121. Fernandez, Pablo, 2004. "Are calculated betas good for anything?," IESE Research Papers D/555, IESE Business School.
  122. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
  123. Johnston, Mark, 2009. "Extending the Basel II approach to estimate capital requirements for equity investments," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1177-1185, June.
  124. Gao, Lei & Mei, Bin, 2013. "Investor attention and abnormal performance of timberland investments in the United States," Forest Policy and Economics, Elsevier, vol. 28(C), pages 60-65.
  125. Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series /2000/398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  126. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Working Papers 13-16, Bank of Canada.
  127. Shum, Wai Cheong & Tang, Gordon Y.N., 2005. "Common risk factors in returns in Asian emerging stock markets," International Business Review, Elsevier, vol. 14(6), pages 695-717, December.
  128. Jiang, Danling, 2013. "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3974-3992.
  129. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
  130. Kjell Arne Brekke & Olof Johansson-Stenman, 2008. "The behavioural economics of climate change," Oxford Review of Economic Policy, Oxford University Press, vol. 24(2), pages 280-297, Summer.
  131. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
  132. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256 Bank for International Settlements.
  133. Lei Shi, 2010. "Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9.
  134. Robert R. Bliss, 1997. "Movements in the term structure of interest rates," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 16-33.
  135. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  136. David R. Gallagher & Katja Ignatieva & James McCulloch, 2013. "Industry Concentration, Excess Returns and Innovation in Australia," Research Paper Series 334, Quantitative Finance Research Centre, University of Technology, Sydney.
  137. Eichner, Thomas, 2011. "Portfolio selection and duality under mean variance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 146-152, January.
  138. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.
  139. Chaieb, Ines & Errunza, Vihang, 2007. "International asset pricing under segmentation and PPP deviations," Journal of Financial Economics, Elsevier, vol. 86(2), pages 543-578, November.
  140. Lee, Cheng-Few & Gupta, Manak C. & Chen, Hong-Yi & Lee, Alice C., 2011. "Optimal payout ratio under uncertainty and the flexibility hypothesis: Theory and empirical evidence," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 483-501, June.
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