Advanced Search
MyIDEAS: Login

Citations for "Capital Market Equilibrium with Restricted Borrowing"

by Black, Fischer

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Terry A. Marsh, 1985. "Asset Pricing Model Specification and the Term Structure Evidence," NBER Working Papers 1612, National Bureau of Economic Research, Inc.
  2. John Geweke & Guofu Zhou, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 276, China Economics and Management Academy, Central University of Finance and Economics.
  3. Kusdhianto Setiawan & Koichi Maekawa, 2014. "Estimation Of Vector Error Correction Model With Garch Errors: Monte Carlo Simulation And Applications," EcoMod2014 7002, EcoMod.
  4. Merton, Robert C., 1977. "On the microeconomic theory of investment under uncertainty," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  5. Campbell, John & Vuolteenaho, Tuomo, 2004. "Bad Beta, Good Beta," Scholarly Articles 3122489, Harvard University Department of Economics.
  6. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
  7. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc.
  8. Drew, Michael E. & Naughton, Tony & Veeraraghavan, Madhu, 2004. "Is idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(3), pages 349-366.
  9. Alankar, Ashwin & Blausten, Peter & Scholes, Myron S., 2013. "The Cost of Constraints: Risk Management, Agency Theory and Asset Prices," Research Papers, Stanford University, Graduate School of Business 2135, Stanford University, Graduate School of Business.
  10. Grauer, Robert R. & Janmaat, Johannus A., 2010. "Cross-sectional tests of the CAPM and Fama-French three-factor model," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(2), pages 457-470, February.
  11. Agarwalla, Sobhesh Kumar & Jacob, Joshy & Varma, Jayanth R. & Vasudevan, Ellapulli, . "Betting Against Beta in the Indian Market," IIMA Working Papers WP2014-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  12. Balvers, Ronald J. & Huang, Dayong, 2009. "Evaluation of linear asset pricing models by implied portfolio performance," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(9), pages 1586-1596, September.
  13. Nishioka, Shinichi & Baba, Naohiko, 2008. "Risk taking by Japanese bond investors: Testing the "reach for yields" hypothesis in the Japanese bond markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 48(4), pages 691-707, November.
  14. Liang Zou, 2005. "Dichotomous Asset Pricing Model," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 185-207, May.
  15. Morelli, David, 2007. "Beta, size, book-to-market equity and returns: A study based on UK data," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 17(3), pages 257-272, July.
  16. Benjamin R. Auer, 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(5), pages 518-544, September.
  17. Begoña Font Belaire, 2012. "Can the exchange rate, inflation and domestic risk factors be overlooked in international asset pricing?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2012-04, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  18. Frankfurter, George M. & McGoun, Elton G., 2002. "Resistance is futile: the assimilation of behavioral finance," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 48(4), pages 375-389, August.
  19. Wang, Yuenan & Di Iorio, Amalia, 2007. "The cross section of expected stock returns in the Chinese A-share market," Global Finance Journal, Elsevier, vol. 17(3), pages 335-349, 03.
  20. Hawawini, G. & Keim, D.B., 1997. "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," INSEAD, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration. 97/66, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration..
  21. George Alessandria & Horag Choi, 2007. "Do Sunk Costs of Exporting Matter for Net Export Dynamics?," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 122(1), pages 289-336, 02.
  22. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
  23. Calvet, Laurent E. & Campbell, John Y. & Sodini, Paolo, 2006. "Down or Out: Assessing The Welfare Costs of Household Investment Mistakes," Working Paper Series 195, Sveriges Riksbank (Central Bank of Sweden).
  24. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 18(4), pages 313-327, October.
  25. Octave JOKUNG & Jean-Christophe MEYFREDI, 2004. "Improving the Market Model: The 4-State Model Alternative," Finance, EconWPA 0403006, EconWPA.
  26. Pinfold, John F. & Wilson, William R. & Li, Qiuli, 2001. "Book-to-market and size as determinants of returns in small illiquid markets: the New Zealand case," Financial Services Review, Elsevier, Elsevier, vol. 10(1-4), pages 291-302.
  27. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  28. Andrea Gamba & Gordon A. Sick & Carmen Aranda León, 2008. "Investment under Uncertainty, Debt and Taxes," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 31-58, 02.
  29. Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing
    [Asset pricing model selection: Indonesian Stock Exchange]
    ," MPRA Paper 36978, University Library of Munich, Germany.
  30. Schmedders, Karl, 2007. "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, Econometric Society, vol. 2(2), June.
  31. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report, Federal Reserve Bank of Minneapolis 208, Federal Reserve Bank of Minneapolis.
  32. Igor Stubelj & Mateja Jerman & Primož Dolenc, 2009. "The Analysis Of Residual Income – The Empirical Evidence From Slovenia," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business, Babes-Bolyai University, Faculty of Business.
  33. J. Benson Durham, 2002. "The extreme bounds of the cross-section of expected stock returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2002-34, Board of Governors of the Federal Reserve System (U.S.).
  34. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer, Springer, vol. 26(1), pages 3-38, March.
  35. William D. Nordhaus & Steven N. Durlauf, 1982. "The Structure of Social Risk," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 648, Cowles Foundation for Research in Economics, Yale University.
  36. Smith, Peter & Wickens, Michael, 2002. " Asset Pricing with Observable Stochastic Discount Factors," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 16(3), pages 397-446, July.
  37. De Santis, Giorgio & imrohoroglu, Selahattin, 1997. "Stock returns and volatility in emerging financial markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(4), pages 561-579, August.
  38. Mirakhor, Abbas, 1987. "Analysis of Short-Term Asset Concentration in Islamic Banking," MPRA Paper 56029, University Library of Munich, Germany.
  39. David Morelli, 2012. "Security returns, beta, size, and book-to-market equity: evidence from the Shanghai A-share market," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 38(1), pages 47-60, January.
  40. Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, American Economic Association, vol. 104(6), pages 1467-85, June.
  41. Lewellen, Jonathan, 1999. "The time-series relations among expected return, risk, and book-to-market," Journal of Financial Economics, Elsevier, Elsevier, vol. 54(1), pages 5-43, October.
  42. Malcolm Baker & Jeffrey Wurgler, 2013. "Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly," NBER Working Papers 19018, National Bureau of Economic Research, Inc.
  43. Igor Stubelj, 2010. "Valuation of Slovene Publicly Traded Companies with a Valuation Model Based on Expected Earnings and Growth Opportunities," Managing Global Transitions, University of Primorska, Faculty of Management Koper, University of Primorska, Faculty of Management Koper, vol. 8(1), pages 023-047.
  44. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3145, C.E.P.R. Discussion Papers.
  45. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 20(2), pages 198-227.
  46. Peter Dawson, 2013. "The Capital Asset Pricing Model in Economic Perspective," Alumni working papers 2013-01, University of Connecticut, Department of Economics, revised May 2014.
  47. de Groot, W. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2012-012-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 University Rotterdam.
  48. Desmoulins-Lebeault, François, 2002. "Capm empirical problems and the distribution," Economics Papers from University Paris Dauphine 123456789/2749, Paris Dauphine University.
  49. Thomas Nitschka, 2007. "Cashflow news, the value premium and an asset pricing view on European stock market integration," IEW - Working Papers 339, Institute for Empirical Research in Economics - University of Zurich.
  50. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics, Department of Economics, Emory University (Atlanta) 0418, Department of Economics, Emory University (Atlanta).
  51. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  52. Kumiega, Andrew & Neururer, Thaddeus & Van Vliet, Ben, 2011. "Independent component analysis for realized volatility: Analysis of the stock market crash of 2008," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 51(3), pages 292-302, June.
  53. Abugri, Benjamin A. & Dutta, Sandip, 2014. "Are we overestimating REIT idiosyncratic risk? Analysis of pricing effects and persistence," International Review of Economics & Finance, Elsevier, Elsevier, vol. 29(C), pages 249-259.
  54. Kandel, S. & McCulloch, R. & Stambaugh, R.F., 1991. "Bayesian Inference and Portfolio Efficiency," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research 8-91, Wharton School - Weiss Center for International Financial Research.
  55. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," EconomiX Working Papers 2011-20, University of Paris West - Nanterre la Défense, EconomiX.
  56. 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.
  57. 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.
  58. Yoshino, Joe Akira & Santos, Edson Bastos e, 2009. "Is the CAPM Dead or Alive in the Brazilian Market?," Review of Applied Economics, Review of Applied Economics, Review of Applied Economics, vol. 5(1-2).
  59. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 2122-2135.
  60. Ravi Jagannathan & Zhenyu Wang, 2002. "Empirical Evaluation of Asset-Pricing Models: A Comparison of the SDF and Beta Methods," Journal of Finance, American Finance Association, American Finance Association, vol. 57(5), pages 2337-2367, October.
  61. Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," EconomiX Working Papers 2009-17, University of Paris West - Nanterre la Défense, EconomiX.
  62. David R. Gallagher & Katja Ignatieva & James McCulloch, 2013. "Industry Concentration, Excess Returns and Innovation in Australia," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 334, Quantitative Finance Research Centre, University of Technology, Sydney.
  63. Agiakloglou, Christos & Gkouvakis, Michalis, 2012. "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012 60387, International Telecommunications Society (ITS).
  64. Bruno Giovannetti & Mauro Rodrigues, Eduardo Ros, 2014. "Investment Grade, Asset Prices and Changes in the Source of Systematic Risk," Working Papers, Department of Economics, University of São Paulo (FEA-USP) 2014_05, University of São Paulo (FEA-USP).
  65. Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
  66. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents, Nobel Prize Committee 2013-1, Nobel Prize Committee.
  67. Wu, Xueping, 2002. "A conditional multifactor analysis of return momentum," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(8), pages 1675-1696, August.
  68. N. Volkan Kayaçetin & Z. Nuray Güner, 2007. "A Note On The Cross-Section Of Stock Returns On The Istanbul Stock Exchange," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, Bogazici University, Department of Economics, vol. 21(1+2), pages 93-105.
  69. André F. Perold, 2004. "The Capital Asset Pricing Model," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 18(3), pages 3-24, Summer.
  70. 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, Elsevier, vol. 13(1), pages 77-100, February.
  71. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, American Economic Association, vol. 91(4), pages 1170-1179, September.
  72. Marcus Clements & Harminder Singh & Antonie Van Eekelen, 2007. "Trading in Target Stocks Before Takeover Announcements: An Analysis of Stock and Option Markets," Accounting, Finance, Financial Planning and Insurance Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2007_20, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  73. Thorsten Hens & Andres L=EEffler, 1995. "Market Demand Functions in the CAPM," Discussion Paper Serie A 468, University of Bonn, Germany.
  74. Renault, Éric & Rochet, Jean-Charles, 1997. "Les techniques quantitatives de la gestion de portefeuille," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 73(1), pages 265-310, mars-juin.
  75. Dominique Pépin, 2004. "Globalisation des marchés de capitaux et valorisation des actifs financiers," Revue économique, Presses de Sciences-Po, Presses de Sciences-Po, vol. 55(2), pages 207-226.
  76. repec:ebl:ecbull:v:7:y:2007:i:7:p:1-10 is not listed on IDEAS
  77. Zvi Bodie, 1979. "Inflation Risk and Capital Market Equilibrium," NBER Working Papers 0373, National Bureau of Economic Research, Inc.
  78. Javed Iqbal & Robert Brooks & Don Galagedera, 2010. "Multivariate tests of asset pricing: simulation evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(5), pages 381-395.
  79. Saumitra, Bhaduri & Sidharth, Mahapatra, 2012. "Applying an alternative test of herding behavior: a case study of the Indian stock market," MPRA Paper 38014, University Library of Munich, Germany.
  80. Frankfurter, George M. & McGoun, Elton G., 2001. "Anomalies in finance: What are they and what are they good for?," International Review of Financial Analysis, Elsevier, Elsevier, vol. 10(4), pages 407-429.
  81. Martin Scheicher, 2000. "Time-varying risk in the German stock market," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(1), pages 70-91.
  82. Tai, Chu-Sheng, 2003. "Are Fama-French and momentum factors really priced?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(4-5), pages 359-384, December.
  83. Esther Eiling, 2013. "Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 68(1), pages 43-84, 02.
  84. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, Elsevier, vol. 9(3), pages 235-245.
  85. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Sep, pages 55-81.
  86. Sheu, Her-Jiun & Wu, Soushan & Ku, Kuang-Ping, 1998. "Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan," International Review of Financial Analysis, Elsevier, Elsevier, vol. 7(1), pages 1-18.
  87. 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.
  88. Di Iorio, Amalia & Faff, Robert, 2002. "The pricing of foreign exchange risk in the Australian equities market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 10(1), pages 77-95, January.
  89. Nawazish Mirza & Saima Shahid, 2008. "Size and Value Premium inKarachi Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, Department of Economics, The Lahore School of Economics, vol. 13(2), pages 1-26, Jul-Dec.
  90. Chui, Andy C. W. & Wei, K. C. John, 1998. "Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 6(3-4), pages 275-293, August.
  91. Knebel Baggio, Daniel & Kelm, Martinho Luis & Ferruz Agudo, Luis & Marco Sanjuán, Isabel, 2009. "Análise da formação de carteiras de investimentos: uma aplicação no mercado acionário brasileiro," Gestión Joven "Revista de la Agrupación Joven Iberoamericana de Contabilidad y Administración de Empresas". Young Management "Journal of the Young Iberomerican Group of Accounting and Business Admi, Asociación Española de Contabilidad y Administración de Empresas (AECA). Spanish Accounting and Business Administration Association., issue 3, June.
  92. Javier DePeña & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 03/03, School of Economics and Business Administration, University of Navarra.
  93. Vit Posta, 2012. "Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 450-470, November.
  94. Michael E. Drew & Madhu Veeraraghavan, 2001. "Asset Pricing In The Asian Region," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 094, School of Economics and Finance, Queensland University of Technology.
  95. Tang, Gordon Y. N. & Shum, Wai C., 2003. "The conditional relationship between beta and returns: recent evidence from international stock markets," International Business Review, Elsevier, Elsevier, vol. 12(1), pages 109-126, February.
  96. Elsas, Ralf & El-Shaer, Mahmoud & Theissen, Erik, 2003. "Beta and returns revisited: Evidence from the German stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(1), pages 1-18, February.
  97. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers 0812.2604, arXiv.org.
  98. Nihal Kargi & Harun Terzi, 1997. "Causal Relations Among ISE, Inflation, Interest Rates and Real Activity in Turkey: A VAR Analysis," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, Research and Business Development Department, Borsa Istanbul, vol. 1(4), pages 27-38.
  99. Andrea Frazzini & Lasse H. Pedersen, 2010. "Betting Against Beta," NBER Working Papers 16601, National Bureau of Economic Research, Inc.
  100. Galema, Rients & Plantinga, Auke & Scholtens, Bert, 2008. "The stocks at stake: Return and risk in socially responsible investment," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(12), pages 2646-2654, December.
  101. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  102. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers, IESE Business School D/749, IESE Business School.
  103. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 17(1), pages 3-41, January.
  104. Breuer, Wolfgang & Gürtler, Marc, 2004. "Two-Fund separation and positive marginal utility," Working Papers FW11V3, Technische Universität Braunschweig, Institute of Finance.
  105. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers, Pakistan Institute of Development Economics 2008:48, Pakistan Institute of Development Economics.
  106. Wojciech W. Charemza & Ewa Majerowska, . "Regulation of the Warsaw Stock Exchange: The Portfolio Allocation Problem," Discussion Papers in European Economics, Department of Economics, University of Leicester 98/1, Department of Economics, University of Leicester.
  107. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, Elsevier, vol. 11(4), pages 373-389, December.
  108. Eduardo Sandoval & Rodrigo Saens, 2004. "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(122), pages 65-89.
  109. Márcio André Veras Machado & Márcia Reis Machado, 2014. "Liquidity and asset pricing:evidence from the Brazilian market," Brazilian Business Review, Fucape Business School, vol. 11(1), pages 69-89, January.
  110. Misund, Bard & Mohn, Klaus, 2014. "Exploration Risk in Oil & Gas Shareholder Returns," UiS Working Papers in Economics and Finance 2014/4, University of Stavanger.
  111. Ren, Yu & Shimotsu, Katsumi, 2009. "Improvement in finite sample properties of the Hansen-Jagannathan distance test," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(3), pages 483-506, June.
  112. Lemma W. Senbet & Robert A. Taggart, Jr., 1984. "Capital Structure Equilibrium under Incomplete Market Conditions," NBER Working Papers 0747, National Bureau of Economic Research, Inc.
  113. El. Thalassinos & Th. Kiriazidis, 2003. "Degrees Of Integration In International Portfolio Diversification: Effective Systemic Risk," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 119-130, January -.
  114. Sule Ozler, 1986. "Valuation of Rescheduled Loans, 1978-1983: A Rational Expectations Approach," UCLA Economics Working Papers, UCLA Department of Economics 414, UCLA Department of Economics.
  115. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 382(1), pages 149-171.
  116. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(1), pages 55-70, February.
  117. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 18(1), pages 65-92, January.
  118. Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Working Papers, Bank of Canada 08-16, Bank of Canada.
  119. repec:wyi:journl:002153 is not listed on IDEAS
  120. Salazar, Juan & Lambert, Annick, 2010. "fama and macbeth revisited: A Critique," MPRA Paper 35910, University Library of Munich, Germany.
  121. Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(1), pages 55-81, March.
  122. Victoria Geyfman, 2005. "Banks in the securities business: market-based risk implications of section 20 subsidiaries," Working Papers 05-17, Federal Reserve Bank of Philadelphia.
  123. Mohamed El Hedi Arouri, 2005. "Intégration financière et diversification internationale des portefeuilles," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 168(2), pages 115-132.
  124. Lajili, Souad, 2006. "Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre," Economics Papers from University Paris Dauphine 123456789/2256, Paris Dauphine University.
  125. Low, Cheekiat & Nayak, Subhankar, 2009. "The non-relevance of the elusive holy grail of asset pricing tests: The "true" market portfolio does not alter CAPM validity conclusions," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(4), pages 1460-1475, November.
  126. Frankfurter, George M. & McGoun, Elton G. & Allen, Douglas E., 2004. "The prescriptive turn in behavioral finance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, Elsevier, vol. 33(4), pages 449-468, September.
  127. Chauveau, Thierry & Gatfaoui, Hayette, 2002. "Systematic risk and idiosyncratic risk: a useful distinction for valuing European options," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 12(4-5), pages 305-321.
  128. Tienyu Hwang & Simon Gao & Heather Owen, 2012. "A two-pass model study of the CAPM: evidence from the UK stock market," Studies in Economics and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 29(2), pages 89-104, June.
  129. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(1), pages 1-25.
  130. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Paper Series, Federal Reserve Bank of San Francisco 2001-01, Federal Reserve Bank of San Francisco.
  131. Naranjo, Andy & Protopapadakis, Aris, 1997. "Financial market integration tests: an investigation using US equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 7(2), pages 93-135, July.
  132. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
  133. Cappiello, Lorenzo & Guéné, Stéphane, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series, European Central Bank 0436, European Central Bank.
  134. Frankfurter, George M., 2006. "The Theory of Fair Markets (TFM) toward a new finance paradigm," International Review of Financial Analysis, Elsevier, Elsevier, vol. 15(2), pages 130-144.
  135. Andrea Frazzini & David Kabiller & Lasse H. Pedersen, 2013. "Buffett’s Alpha," NBER Working Papers 19681, National Bureau of Economic Research, Inc.
  136. Coen, Alain, 2001. "Home bias and international capital asset pricing model with human capital," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 11(4-5), pages 497-513, December.
  137. Carol J. Simon, 1986. "Parameter Stability in Event Studies," UCLA Economics Working Papers, UCLA Department of Economics 423, UCLA Department of Economics.
  138. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers, Federal Reserve Bank of Boston 02-2, Federal Reserve Bank of Boston.
  139. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1305, Koc University-TUSIAD Economic Research Forum.
  140. Adel Al-Sharkas & M. Hassan, 2010. "New evidence on shareholder wealth effects in bank mergers during 1980-2000," Journal of Economics and Finance, Springer, Springer, vol. 34(3), pages 326-348, July.
  141. Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series, China Economic Research Center, Stockholm School of Economics 2009-5, China Economic Research Center, Stockholm School of Economics.
  142. Bradfield, David J. & Raubenheimer, Heidi, 2001. "A note on portfolio selection with restrictions on leverage," European Journal of Operational Research, Elsevier, Elsevier, vol. 134(2), pages 243-248, October.
  143. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
  144. Lajili, Souad, 2003. "Size and book to market effects: further evidence from the French case," Economics Papers from University Paris Dauphine 123456789/3005, Paris Dauphine University.
  145. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9227, C.E.P.R. Discussion Papers.
  146. Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data," Finance, EconWPA 0409056, EconWPA.
  147. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance, EconWPA 0503028, EconWPA, revised 23 Jul 2005.
  148. Zhou, Guofu, 1995. "Small sample rank tests with applications to asset pricing," Journal of Empirical Finance, Elsevier, Elsevier, vol. 2(1), pages 71-93, March.
  149. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, Elsevier, vol. 73(1), pages 245-257, March.
  150. Edward A. Vos, 1992. "Differences in Risk Measurement for Small Unlisted Businesses," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, Pepperdine University, Graziadio School of Business and Management, vol. 1(3), pages 255-267 , Spring.
  151. Ronn, Ehud I. & Senbet, Lemma W., 1995. "Debt and market incompleteness," Journal of Banking & Finance, Elsevier, Elsevier, vol. 19(8), pages 1379-1400, November.
  152. Ayesha Afzal & Nawazish Mirza, 2011. "Size and Value Premium in International Portfolios: Evidence from 15 European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 173-190, June.
  153. Kusdhianto SETIAWAN, 2012. "Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 105-127, December.
  154. Manuel Núñez Nickel & Manuel Cano Rodríguez, 2002. "Las Tres Caras Del Riesgo Estratégico: Riesgo Sistemático, Riesgo Táctico Y Riesgo Idiosincrásico," Documentos de Trabajo de Economía de la Empresa, Universidad Carlos III, Departamento de Economía de la Empresa db021508, Universidad Carlos III, Departamento de Economía de la Empresa.
  155. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted risk capital allocations," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 263-269, October.
  156. Marie-Claude Beaulieu & Lynda Khalaf & Marie-Hélène Gagnon, 2006. "Testing Financial Integration: Finite Sample Motivated Mothods," Computing in Economics and Finance 2006, Society for Computational Economics 233, Society for Computational Economics.
  157. Nikolaos G. Theriou & Vassilios P. Aggelidis & Dimitrios I. Maditinos & Željko Ševic, 2010. "Testing the relation between beta and returns in the Athens stock exchange," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 36(12), pages 1043-1056, December.
  158. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(2), pages 175-194, May.
  159. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt41x4t67m, Anderson Graduate School of Management, UCLA.
  160. Liu, Liping, 2004. "A new foundation for the mean-variance analysis," European Journal of Operational Research, Elsevier, Elsevier, vol. 158(1), pages 229-242, October.
  161. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 117, Federal Reserve Bank of Minneapolis.
  162. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2009. "Finite sample multivariate tests of asset pricing models with coskewness," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 2008-2021, April.
  163. Kan, Raymond & Robotti, Cesare, 2008. "Specification tests of asset pricing models using excess returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(5), pages 816-838, December.
  164. Peter Phillips, 2011. "Terrorists’ Equilibrium Choices When No Attack Method is Riskless," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 39(2), pages 129-141, June.
  165. Fuerst, Michael E., 2006. "Investor risk premia and real macroeconomic fluctuations," Journal of Macroeconomics, Elsevier, Elsevier, vol. 28(3), pages 540-563, September.
  166. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre.
  167. Quentin Wodon, 2007. "Constructing Fama-French Factors from style indexes: Japanese evidence," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-10.
  168. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report, Federal Reserve Bank of Minneapolis 206, Federal Reserve Bank of Minneapolis.
  169. Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter, 2001. "GMM estimation of linear panel data models with time-varying individual effects," Journal of Econometrics, Elsevier, Elsevier, vol. 101(2), pages 219-255, April.
  170. Pandey I M, . "The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis," IIMA Working Papers WP2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  171. Patrick Roger & Maxime Merli, 2001. "Sur une mesure d'efficience relative dans la théorie du portefeuille de Markowitz," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg 2001-01, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  172. D. L. Wilcox & T. J. Gebbie, 2013. "On pricing kernels, information and risk," Papers 1310.4067, arXiv.org, revised Oct 2013.
  173. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(7-8), pages 1159-1193, July.
  174. repec:hal:journl:halshs-00188339 is not listed on IDEAS
  175. Renatas Kizys & Christian Pierdzioch, 2004. "Business Cycle Fluctuations and International Financial Integration," Kiel Working Papers 1197, Kiel Institute for the World Economy.
  176. Raymond Kan & Guofu Zhou, 1999. "A Critique of the Stochastic Discount Factor Methodology," Journal of Finance, American Finance Association, American Finance Association, vol. 54(4), pages 1221-1248, 08.
  177. Wang, Zitian & Wang, Lili & Tan, Shaohua, 2008. "Emergent and spontaneous computation of factor relationships from a large factor set," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(12), pages 3939-3959, December.
  178. Nawazish Mirza, 2008. "Size and value premium in Karachi stock exchange," CREB Working papers, Centre for Research in Economics and Business, The Lahore School of Economics 1-2008, Centre for Research in Economics and Business, The Lahore School of Economics, revised 2008.
  179. Woodward, George & Marisetty, Vijaya B., 2005. "Introducing non-linear dynamics to the two-regime market model: Evidence," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 45(4-5), pages 559-581, September.
  180. Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, American Finance Association, vol. 61(6), pages 2805-2840, December.
  181. Magdalena Morgese Borys, 2007. "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," CERGE-EI Working Papers wp323, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  182. Levent Alkan, 1997. "Forecasting of Corporate Performances on the Basis of Financial Indicators," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, Research and Business Development Department, Borsa Istanbul, vol. 1(4), pages 39-72.
  183. Grauer, Robert R. & Janmaat, Johannus A., 2009. "On the power of cross-sectional and multivariate tests of the CAPM," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(5), pages 775-787, May.
  184. Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, Elsevier, vol. 13(2), pages 129-144, March.
  185. J. Benson Durham, 2003. "Estimates of the term premium on near-dated federal funds futures contracts," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-19, Board of Governors of the Federal Reserve System (U.S.).
  186. Blair Comley & David Turvey, 2005. "Debt Management in a Low Debt Environment: The Australian Government's Debt Management Framework," Treasury Working Papers, Treasury, Australian Government 2005-02, Treasury, Australian Government, revised Feb 2005.
  187. Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
  188. Chenghu Ma, 2013. "MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps," Papers 2013-10-14, Working Paper.
  189. Yuenan Wang & Amalia Di Iorio, 2007. "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 29(2), pages 181-203, August.
  190. Kozo Omori, 2013. "The Risk Parity Portfolio and the Low-Risk Asset Anomaly," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, Policy Research Institute, Ministry of Finance Japan, vol. 9(3), pages 491-514, September.
  191. Faff, Robert & Chan, Howard, 1998. "A test of the intertemporal CAPM in the Australian equity market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 8(2), pages 175-188, June.
  192. Polk, Christopher & Thompson, Samuel & Vuolteenaho, Tuomo, 2006. "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(1), pages 101-141, July.
  193. Campbell R. Harvey, 1994. "Conditional Asset Allocation in Emerging Markets," NBER Working Papers 4623, National Bureau of Economic Research, Inc.
  194. Răzvan Ştefănescu & Costel Nistor & Ramona Dumitriu, 2009. "Asymmetric Responses of CAPM - Beta to the Bull and Bear Markets on the Bucharest Stock Exchange," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, University of Petrosani, Romania, vol. 9(4), pages 257-262.
  195. Pradosh Simlai, 2009. "Stock returns, size, and book-to-market equity," Studies in Economics and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 26(3), pages 198-212, August.
  196. Phelim P. Boyle & Chenghu Ma, 2013. "Mean-Preserving-Spread Risk Aversion and The CAPM," Papers 2013-10-14, Working Paper.
  197. Ning Sun & Zaifu Yang, 2003. "Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 51-71, May.
  198. Liu, Shinhua, 2008. "Commission deregulation and performance of securities firms: Further evidence from Japan," Journal of Economics and Business, Elsevier, Elsevier, vol. 60(4), pages 355-368.
  199. Jacoby, Gady & Fowler, David J. & Gottesman, Aron A., 2000. "The capital asset pricing model and the liquidity effect: A theoretical approach," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(1), pages 69-81, February.
  200. Keith Lam & Frank Li & Simon So, 2010. "On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 35(1), pages 89-111, July.
  201. G. P. Diacogiannis, 1999. "A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(3), pages 225-235.
  202. Chang, Eric C. & Cheng, Joseph W. & Khorana, Ajay, 2000. "An examination of herd behavior in equity markets: An international perspective," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(10), pages 1651-1679, October.
  203. John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley, 2012. "An Intertemporal CAPM with Stochastic Volatility," NBER Working Papers 18411, National Bureau of Economic Research, Inc.
  204. 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.
  205. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
  206. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper 25349, University Library of Munich, Germany, revised May 2007.
  207. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal of Monetary Economics, Elsevier, Elsevier, vol. 53(7), pages 1631-1660, October.
  208. Joseph Ooi & Jingliang Wang & James Webb, 2009. "Idiosyncratic Risk and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 38(4), pages 420-442, May.
  209. Khan, Muhammad Irfan, 2009. "Price Earning Ratio and Market to Book Ratio," MPRA Paper 23969, University Library of Munich, Germany.
  210. repec:wyi:journl:002093 is not listed on IDEAS
  211. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 3/08, Monash University, Department of Econometrics and Business Statistics.
  212. Aníbal Báez-Díaz & Pervaiz Alam, 2013. "Tax conformity of earnings and the pricing of accruals," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 40(3), pages 509-538, April.
  213. Tepla, Lucie, 2000. "Optimal portfolio policies with borrowing and shortsale constraints," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(11-12), pages 1623-1639, October.
  214. Ali K. Ozdagli, 2009. "Financial leverage, corporate investment, and stock returns," Working Papers, Federal Reserve Bank of Boston 09-13, Federal Reserve Bank of Boston.
  215. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn.
  216. Jan Wenzelburger, 2010. "The two-fund separation theorem revisited," Annals of Finance, Springer, Springer, vol. 6(2), pages 221-239, March.
  217. Pınar, Mustafa Ç., 2014. "Equilibrium in an ambiguity-averse mean–variance investors market," European Journal of Operational Research, Elsevier, Elsevier, vol. 237(3), pages 957-965.
  218. Ravi Jagnnathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17.
  219. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, American Finance Association, vol. 50(2), pages 403-44, June.
  220. Hancock, G.D., 2005. "A text book treatment of calculating returns on non-traditional portfolios," Review of Financial Economics, Elsevier, Elsevier, vol. 14(2), pages 173-186.
  221. Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.
  222. 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, Elsevier, vol. 16(3), pages 199-214, July.
  223. Viceira, Luis & Serfaty-de Medeiros, Karine & Campbell, John, 2009. "Global Currency Hedging," Scholarly Articles 3153308, Harvard University Department of Economics.
  224. Lajili, Souad, 2007. "Explaining the Cross-Section of Stock Returns in France : Characteristics or Risk Factors?," Economics Papers from University Paris Dauphine 123456789/4169, Paris Dauphine University.
  225. Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004.
  226. Grau-Grau, Alfredo Juan, 2014. "¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish St," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 32, pages 705-736, Mayo.
  227. Marcelo, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2006. "The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(2), pages 254-267, May.
  228. Wang, Jinan & Chen, Langnan, 2012. "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, Elsevier, vol. 29(2), pages 361-368.
  229. Velu, Raja & Zhou, Guofu, 1999. "Testing multi-beta asset pricing models," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(3), pages 219-241, September.
  230. Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 18(3), pages 25-46, Summer.
  231. Bart Frijns & Dimitris Margaritis & Maria Psillaki, 2012. "Firm efficiency and stock returns," Journal of Productivity Analysis, Springer, Springer, vol. 37(3), pages 295-306, June.
  232. Chee Wooi Hooy, 2008. "Does trade regionalism increase stock market segmentation within a trading bloc?," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 22(1), pages 113-126.
  233. Campbell, John & Calvert, Lauren E. & Sodini, Paolo, 2009. "Fight or Flight? Portfolio Rebalancing by Individual Investors," Scholarly Articles 2617031, Harvard University Department of Economics.
  234. Hyunbae Chun & Jung-Wook Kim & Randall Morck, 2013. "Productivity Growth and Stock Returns: Firm- and Aggregate-Level Analyses," NBER Working Papers 19462, National Bureau of Economic Research, Inc.
  235. Huang, Hung-Hsi & Wang, Ching-Ping, 2013. "Portfolio selection and portfolio frontier with background risk," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 177-196.
  236. Ayse Yuce, 1997. "Effects of Turkish Liberalization Measures on Stock Prices," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, Research and Business Development Department, Borsa Istanbul, vol. 1(4), pages 1-14.
  237. Toshiki Honda, 2013. "Risk and Return in Japanese Equity Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, Policy Research Institute, Ministry of Finance Japan, vol. 9(3), pages 515-530, September.
  238. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc.
  239. Isakov, D., 1997. "Is Beta Still Alive? Conclusive Evidence from the Swiss Stock market," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve- 97.17, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
  240. David DeBoskey & Peter Gillett, 2013. "The impact of multi-dimensional corporate transparency on us firms’ credit ratings and cost of capital," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 40(1), pages 101-134, January.
  241. Gharghori, Philip & Chan, Howard & Faff, Robert, 2009. "Default risk and equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(5), pages 580-593, November.
  242. Pasaribu, Rowland Bismark Fernando, 2009. "Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham
    [Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange]
    ," MPRA Paper 36982, University Library of Munich, Germany.
  243. Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012. "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(12), pages 3382-3398.
  244. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers, Pakistan Institute of Development Economics 2000:179, Pakistan Institute of Development Economics.
  245. Kivilcim Metin & Gulnur Muradoglu & Bilgehan Yazici, 1997. "An Analysis of the “Day of the Week Effect” on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, Research and Business Development Department, Borsa Istanbul, vol. 1(4), pages 15-26.
  246. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24481, London School of Economics and Political Science, LSE Library.
  247. Liu, Liping, 1999. "Approximate portfolio analysis," European Journal of Operational Research, Elsevier, Elsevier, vol. 119(1), pages 35-49, November.
  248. Giovanni Ferri & Doris Neuberger, 2014. "The Banking Regulatory Bubble and How to Get out of It," Rivista di Politica Economica, SIPI Spa, SIPI Spa, issue 2, pages 39-69, April-Jun.
  249. Shieh, Shwu-Jane & Lin, Chih-Yung & Ho, Po-Hsin, 2012. "Large changes in stock prices: Market, liquidity, and momentum effect," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(2), pages 183-197.
  250. Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, Elsevier, vol. 23(12), pages 1745-1769, December.
  251. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(3), pages 775-796.
  252. Bagella, Michele & Becchetti, Leonardo & Carpentieri, Andrea, 2000. ""The first shall be last". Size and value strategy premia at the London Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(6), pages 893-919, June.
  253. Lourdes Trevino, 2009. "Diversified returns, aggregate wealth and varying market risk premium: testing the CAPM with data for Mexico," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 6(1), pages 127-136, Julio - D.
  254. Arthur, Bruno & Katchova, Ani L., 2012. "Momentum Anomaly in Agriculture Financial Economics," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association 125275, Agricultural and Applied Economics Association.
  255. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 775, Board of Governors of the Federal Reserve System (U.S.).
  256. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers, Reserve Bank of Australia rdp9802, Reserve Bank of Australia.
  257. 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.
  258. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, Programme National Persée, vol. 81(4), pages 107-132.
  259. Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB, ULB -- Universite Libre de Bruxelles 12-003, ULB -- Universite Libre de Bruxelles.
  260. Nitzan Weiss, 1984. "Reply to a Paradigmatic Comment: Capital Markets, Output, and the Demand for Inputs under Uncertainty," Eastern Economic Journal, Eastern Economic Association, vol. 10(1), pages 79-85, Jan-Mar.
  261. Lajili, Souad, 2004. "Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre," Economics Papers from University Paris Dauphine 123456789/3013, Paris Dauphine University.
  262. Phylaktis, Kate & Ravazzolo, Fabiola, 2004. "Currency risk in emerging equity markets," Emerging Markets Review, Elsevier, Elsevier, vol. 5(3), pages 317-339, September.
  263. Bick, Avi, 2004. "The mathematics of the portfolio frontier: a geometry-based approach," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 44(2), pages 337-361, May.
  264. "Kamoike, Osamu", 1981. "Theory of Demand for a Mutual Fund under Asymmetric Information," Economic Review, Hitotsubashi University, Hitotsubashi University, vol. 32(4), pages 332-346, January.
  265. repec:pra:mprapa:37981 is not listed on IDEAS
  266. John Leusner & Jalal D. Akhavein & P.A.V.B. Swamy, 1996. "Solving an empirical puzzle in the capital asset pricing model," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-14, Board of Governors of the Federal Reserve System (U.S.).