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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. Morelli, David, 2007. "Beta, size, book-to-market equity and returns: A study based on UK data," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 257-272, July.
  2. Mardi Dungey & Renée Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, June.
  3. Lawal A. I. & Oloye M. I. & Otekunrin A. O. & Ajayi S. A., 2013. "Returns on Investments and Volatility Rate in the Nigerian Banking Industry," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(10), pages 1298-1313, October.
  4. Jan Frederik Slijkerman, 2006. "Insurance Sector Risk," Tinbergen Institute Discussion Papers 06-062/2, Tinbergen Institute.
  5. Slade, Margaret E., 2001. "Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments," Journal of Environmental Economics and Management, Elsevier, vol. 41(2), pages 193-233, March.
  6. Fletcher, Jonathan, 2001. "An examination of predictable risk and return in UK stock returns," Journal of Economics and Business, Elsevier, vol. 53(6), pages 527-546.
  7. Jiří Trešl & Dagmar Blatná, 2007. "Dynamic Analysis of Selected European Stock Markets," Prague Economic Papers, University of Economics, Prague, vol. 2007(4), pages 291-302.
  8. Remmers, Lee, 2004. "International financial management: 35 years later--what has changed?," International Business Review, Elsevier, vol. 13(2), pages 155-180, April.
  9. Herings,O. Jean-Jacques & Kubler,Felix, 2000. "The Robustness of CAPM-A Computational Approach," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  10. 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.
  11. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks," Papers 1301.4881, arXiv.org, revised Feb 2013.
  12. De Santis, Roberto A., 2006. "The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks," Working Paper Series 0678, European Central Bank.
  13. Mohamed El Hedi Arouri & Christophe Rault & Frédéric Teulon, 2013. "Equity Risk Premium and Regional Integration," Working Papers hal-00798052, HAL.
  14. Smales, Lee A., 2015. "Time-variation in the impact of news sentiment," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 40-50.
  15. repec:dgr:uvatin:2003090 is not listed on IDEAS
  16. 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, vol. 29(2), pages 89-104, June.
  17. 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.
  18. Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," Research Memorandum 016, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  19. Peter Bossaerts & William R. Zame, 2006. "Risk Aversion in Laboratory Asset Markets," Levine's Bibliography 122247000000001317, UCLA Department of Economics.
  20. Deng, Xiao-Tie & Li, Zhong-Fei & Wang, Shou-Yang, 2005. "A minimax portfolio selection strategy with equilibrium," European Journal of Operational Research, Elsevier, vol. 166(1), pages 278-292, October.
  21. Jouini, Elyès & Napp, Clotilde, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Economics Papers from University Paris Dauphine 123456789/78, Paris Dauphine University.
  22. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
  23. Stefan Lutz, 2013. "Effects of taxation on European multi-nationals’ financing and profits," Documentos de Trabajo del ICAE 2013-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  24. 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.
  25. Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach," Working Papers 2014-214, Department of Research, Ipag Business School.
  26. Gäfgen, Gérard, 1990. "Die Finanzkraft der Großunternehmung als wettbewerbsrelevantes Merkmal der Marktstruktur," Discussion Papers, Series I 248, University of Konstanz, Department of Economics.
  27. Ghattassi, I., 2013. "Surplus Consumption Ratio and Expected Stock Returns," Working papers 417, Banque de France.
  28. Kempf, Alexander & Merkle, Christoph & Niessen-Ruenzi, Alexandra, 2012. "Low risk and high return: Affective attitudes and stock market expectations," CFR Working Papers 09-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
  29. Gharghori, Philip & Chan, Howard & Faff, Robert, 2009. "Default risk and equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 580-593, November.
  30. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
  31. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  32. Kung, James J. & Wu, E-Ching, 2013. "An evaluation of some popular investment strategies under stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 96-108.
  33. John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
  34. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
  35. Radu Titus MARINESCU, 2012. "Romania in the Globalization Context," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 87-93, November.
  36. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
  37. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
  38. Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong, 2014. "A dark side of international capital market integration: Domestic investors' view," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 238-256.
  39. Siriopoulos, Costas & Fassas, Athanasios, 2012. "An investor sentiment barometer — Greek Implied Volatility Index (GRIV)," Global Finance Journal, Elsevier, vol. 23(2), pages 77-93.
  40. Magni, Carlo Alberto, 2005. "Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I," MPRA Paper 7359, University Library of Munich, Germany, revised 27 Feb 2008.
  41. 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.
  42. Khaled Guesmi & Ilyes Abid & Mohamed Hedi Arouri & Frédéric Teulon, 2014. "On the determinants of equity international risk premium : Are emerging zones different ?," Working Papers 2014-322, Department of Research, Ipag Business School.
  43. Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  44. Bozos, Konstantinos & Nikolopoulos, Konstantinos, 2011. "Forecasting the value effect of seasoned equity offering announcements," European Journal of Operational Research, Elsevier, vol. 214(2), pages 418-427, October.
  45. Tomasz Wisniewski & Geoffrey Lightfoot & Simon Lilley, 2012. "Speculating on presidential success: exploring the link between the price–earnings ratio and approval ratings," Journal of Economics and Finance, Springer, vol. 36(1), pages 106-122, January.
  46. Moshe Levy, 2012. "On the Spurious Correlation Between Sample Betas and Mean Returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 341-360, September.
  47. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
  48. De Giorgi, Enrico & Hens, Thorsten & Rieger, Marc Oliver, 2010. "Financial market equilibria with cumulative prospect theory," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 633-651, September.
  49. Willem H. Buiter & Ricardo Lago & Hélène Rey, 1997. "A portfolio approach to a cross-sectoral and cross-national investment strategy in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 5(1), pages 63-96, 05.
  50. Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.
  51. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2012. "On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions," Papers 1211.4108, arXiv.org.
  52. Levy, Haim & Levy, Moshe, 2002. "Experimental test of the prospect theory value function: A stochastic dominance approach," Organizational Behavior and Human Decision Processes, Elsevier, vol. 89(2), pages 1058-1081, November.
  53. Khaled Guesmi & Jean-Yves Moisseron & Frédéric Teulon, 2014. "Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk," Working Papers 2014-293, Department of Research, Ipag Business School.
  54. repec:hal:journl:halshs-00188339 is not listed on IDEAS
  55. Grauer, Robert R. & Janmaat, Johannus A., 2010. "Cross-sectional tests of the CAPM and Fama-French three-factor model," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 457-470, February.
  56. 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.
  57. Paolo Giordani & Xiuyan Mun & Robert Kohn, 2012. "Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(1), pages 154-192, December.
  58. Lajeri-Chaherli, Fatma, 2003. "Partial derivatives, comparative risk behavior and concavity of utility functions," Mathematical Social Sciences, Elsevier, vol. 46(1), pages 81-99, August.
  59. Rodolfo Apreda, 2003. "Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities," CEMA Working Papers: Serie Documentos de Trabajo. 233, Universidad del CEMA.
  60. Palazzo, Berardino, 2012. "Cash holdings, risk, and expected returns," Journal of Financial Economics, Elsevier, vol. 104(1), pages 162-185.
  61. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
  62. José Soares da Fonseca, 2013. "Innovations in return transmission and performance comparison between the five biggest Euro area stock markets," International Economics and Economic Policy, Springer, vol. 10(3), pages 393-404, September.
  63. Dong Lou & Christopher Polk, . "Inferring Arbitrage Activity from Return Correlations," FMG Discussion Papers dp721, Financial Markets Group.
  64. Michael Drew & Madhu Veeraraghavan, 2002. "Idiosyncratic Volatility: Evidence from Asia," School of Economics and Finance Discussion Papers and Working Papers Series 107, School of Economics and Finance, Queensland University of Technology.
  65. Bernhard Eckwert & Burkhard Drees & Felix Vardy, 2011. "Cheap Money and Risk Taking: Opacity versus Underlying Risk," EcoMod2011 2782, EcoMod.
  66. Joseph Friedman & Herbert E Phillips, 2010. "The Portfolio Implications of Adding Social Security Private Account Options to Ongoing Investments," DETU Working Papers 1004, Department of Economics, Temple University.
  67. 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.
  68. Hooper, Vince & Sim, Ah Boon & Uppal, Asfandyar, 2009. "Governance and stock market performance," Economic Systems, Elsevier, vol. 33(2), pages 93-116, June.
  69. Teresa Chu & In-Mu Haw & Bryan Lee & Woody Wu, 2014. "Cost of equity capital, control divergence, and institutions: the international evidence," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 483-527, October.
  70. 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.
  71. Stefan Lutz, 2012. "Risk premia in multi-national enterprises," The School of Economics Discussion Paper Series 1216, Economics, The University of Manchester.
  72. Estrella, Arturo, 2001. "Mixing and matching: Prospective financial sector mergers and market valuation," Journal of Banking & Finance, Elsevier, vol. 25(12), pages 2367-2392, December.
  73. Virginie Coudert & Mathieu Gex, 2007. "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators," Working Papers 2007-02, CEPII research center.
  74. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, vol. 63(3), pages 315-349, March.
  75. Michael Schuppli & Martin T. Bohl, 2009. "Do Foreign Institutional Investors Destabilize China’s A-Share Markets?," CQE Working Papers 0909, Center for Quantitative Economics (CQE), University of Muenster.
  76. 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.
  77. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," Working Papers in Economics 10/22, University of Canterbury, Department of Economics and Finance.
  78. David K. Musto & Nicholas S. Souleles, 2005. "A Portfolio View of Consumer Credit," NBER Working Papers 11735, National Bureau of Economic Research, Inc.
  79. 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.
  80. J. Piplack & M. Beine & B. Candelon, 2009. "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers 09-10, Utrecht School of Economics.
  81. 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.
  82. 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.
  83. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," Working Papers in Economics 10/18, University of Canterbury, Department of Economics and Finance.
  84. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
  85. Demirer, Rıza & Jategaonkar, Shrikant P., 2013. "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, vol. 22(3), pages 125-134.
  86. Yakov Ben-Haim & Karsten Jeske, 2003. "Home bias in financial markets: robust satisficing with info gaps," Working Paper 2003-35, Federal Reserve Bank of Atlanta.
  87. Demirguc-Kunt, Asli & Huizinga, Harry, 1992. "Barriers to portfolio investments in emerging stock markets," Policy Research Working Paper Series 984, The World Bank.
  88. Lucena, Pierre & Fugueiredo, Antonio Carlos, 2004. "Pressupostos de Eficiência de Mercado: um estudo empírico na Bovespa
    [Assumptions of Market Efficiency: an empirical analysis at Bovespa/Brazil]
    ," MPRA Paper 40884, University Library of Munich, Germany.
  89. Kristin J. Forbes & Menzie D. Chinn, 2003. "A Decomposition of Global Linkages in Financial Markets Over Time," NBER Working Papers 9555, National Bureau of Economic Research, Inc.
  90. Ton van den Bremer & Frederick van der Ploeg & Samuel Wills, 2014. "The elephant in the ground: managing oil and sovereign wealth," CAMA Working Papers 2014-62, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  91. Dimitriou, Dimitrios & Simos, Theodore, 2012. "International portfolio diversification: An ICAPM approach with currency risk," MPRA Paper 42825, University Library of Munich, Germany.
  92. Rudolf F. Klein & K. Victor Chow, 2010. "Orthogonalized Equity Risk Premia and Systematic Risk Decomposition," Working Papers 10-05, Department of Economics, West Virginia University.
  93. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2400-2418, November.
  94. 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.
  95. Smimou, Kamal, 2006. "Estimation of Canadian commodity market risk premiums under price limits: Two-phase fuzzy approach," Omega, Elsevier, vol. 34(5), pages 477-491, October.
  96. Javed Iqbal & Aziz Haider, 2005. "Arbitrage Pricing Theory: Evidence From An Emerging Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 10(1), pages 123-139, Jan-Jun.
  97. Antony Jackson & Daniel Ladley, 2013. "Market Ecologies: The Interaction and Profitability of Technical Trading Strategies," Discussion Papers in Economics 13/02, Department of Economics, University of Leicester.
  98. Zhao, Yonggan, 2007. "A dynamic model of active portfolio management with benchmark orientation," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3336-3356, November.
  99. 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.
  100. Nitschka, Thomas, 2010. "Cashflow news, the value premium and an asset pricing view on European stock market integration," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1406-1423, November.
  101. 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.
  102. Bas Peeters & Cees L. Dert & Andr� Lucas, 2003. "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers 03-090/2, Tinbergen Institute.
  103. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
  104. 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.
  105. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  106. Maria PASCU-NEDELCU, 2011. "Merton Model For Assessing The Cost Of Capital, Mathematical Amount But Not Also Economic Amount Of Capm And Apt Models," Journal of Doctoral Research in Economics, The Bucharest University of Economic Studies, vol. 3(1), pages 47-61, March.
  107. 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, vol. 9(4), pages 257-262.
  108. Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics.
  109. G. Charles-Cadogan, 2012. "Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM," Papers 1206.4562, arXiv.org.
  110. Galvani, Valentina & Gubellini, Stefano, 2013. "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, vol. 10(3), pages 142-150.
  111. Morelli, David, 2011. "Joint conditionality in testing the beta-return relationship: Evidence based on the UK stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 1-13, February.
  112. Fuertes, Ana-Maria & Kalotychou, Elena & Saka, Orkun, 2014. "ECB Policy and Eurozone Fragility: Was De Grauwe Right?," CEPS Papers 9414, Centre for European Policy Studies.
  113. repec:cup:cbooks:9780521779654 is not listed on IDEAS
  114. Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers 6673, National Bureau of Economic Research, Inc.
  115. Will Gans & Beat Hintermann, 2011. "Market Effects of Voluntary Climate Action by Firms: Evidence from the Chicago Climate Exchange," CESifo Working Paper Series 3445, CESifo Group Munich.
  116. Chauveau, Thierry & Gatfaoui, Hayette, 2002. "Systematic risk and idiosyncratic risk: a useful distinction for valuing European options," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 305-321.
  117. Maria PASCU-NEDELCU, 2011. "Gaps Identified In Econometric Models For Cost Of Capital Estimation Already Built," Journal of Doctoral Research in Economics, The Bucharest University of Economic Studies, vol. 3(2), pages 49-58, June.
  118. Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly & Bernard Herskovic, 2014. "The Common Factor in Idiosyncratic Volatility," 2014 Meeting Papers 810, Society for Economic Dynamics.
  119. Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
  120. Câmara, António & Popova, Ivilina & Simkins, Betty, 2012. "A comparative study of the probability of default for global financial firms," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 717-732.
  121. Sirtaine, Sophie & Pinglo, Maria Elena & Guasch, J. Luis & Foster, Vivien, 2005. "How profitable are private infrastructure concessions in Latin America?: Empirical evidence and regulatory implications," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(2-3), pages 380-402, May.
  122. Bley, Jorg & Saad, Mohsen, 2012. "Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 538-554.
  123. Andrew Clare & Richard Priestley, . "Risk factors in the Malaysian stock market," CERF Discussion Paper Series 97-03, Economics and Finance Section, School of Social Sciences, Brunel University.
  124. J. de Dreu & J.A. Bikker, 2009. "Pension fund sophistication and investment policy," Working Papers 09-13, Utrecht School of Economics.
  125. Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010. "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers 10-116/2/DSF 3, Tinbergen Institute.
  126. Dariusz Filip, 2013. "Returns and Persistence of Investment Fund Performance in the Czech Republic," Prague Economic Papers, University of Economics, Prague, vol. 2013(3), pages 324-342.
  127. Hooi Lean & Kok Phoon & Wing-Keung Wong, 2013. "Stochastic dominance analysis of CTA funds," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 155-170, January.
  128. Xing Jin & Leping Wang & Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers wpn06-19, Warwick Business School, Finance Group.
  129. Anderson, Keith & Brooks, Chris, 2014. "Speculative bubbles and the cross-sectional variation in stock returns," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 20-31.
  130. Till Strohsal & Enzo Weber, 2011. "Mean-Variance Cointegration and the Expectations Hypothesis," SFB 649 Discussion Papers SFB649DP2011-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  131. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
  132. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June.
  133. 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.
  134. Stefan Lutz, 2011. "Simultaneous determination of market value and risk premium in the valuation of firms," ICER Working Papers 15-2011, ICER - International Centre for Economic Research.
  135. Lean, H.H. & McAleer, M.J. & Wong, W.K., 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," Econometric Institute Research Papers EI 2010-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  136. Bellalah, Mondher, 2006. "On derivatives and information costs," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 30-51.
  137. Jian Zhou, 2012. "Multiscale Analysis of International Linkages of REIT Returns and Volatilities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1062-1087, November.
  138. Yury Dranev & Sofya Fomkina, 2013. "An asymmetric approach to the cost of equity estimation: empirical evidence from Russia," HSE Working papers WP BRP 12/FE/2013, National Research University Higher School of Economics.
  139. 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, vol. 109(6), pages 1238-1287, December.
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  981. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston.
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  987. Wu, Xueping, 2002. "A conditional multifactor analysis of return momentum," Journal of Banking & Finance, Elsevier, vol. 26(8), pages 1675-1696, August.
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  989. Gustavo A. Marrero & Luis A. Puch & Francisco J. Ramos-Real, 2013. "Mean-variance portfolio methods for energy policy risk management," Documentos de Trabajo del ICAE 2013-41, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  990. Tomáš Buus, 2012. "What is Self-Influential Economic Theory?," European Financial and Accounting Journal, University of Economics, Prague, vol. 2012(1), pages 28-40.
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  995. Buckland, Roger & Fraser, Patricia, 2002. "The scale and patterns of abnormal returns to equity investment in UK electricity distribution," Global Finance Journal, Elsevier, vol. 13(1), pages 39-62.
  996. Gaggero, Alberto A., 2007. "Regulatory risk in the utilities industry: An empirical study of the English-speaking countries," Utilities Policy, Elsevier, vol. 15(3), pages 191-205, September.
  997. Nicola Comincioli & Laura Poddi & Sergio Vergalli, 2012. "Corporate Social Responsibility and Firms’ Performance: A Stratigraphical Analysis," Working Papers 2012.77, Fondazione Eni Enrico Mattei.
  998. Ruddock, Les, 2001. "The Portfolio strategy of UK Property Companies. "Style" Analysis and Portfolio Performance," ERES eres2001_211, European Real Estate Society (ERES).
  999. Brian Payne & John Geppert, 2015. "Health care and the cross-section of US stock returns," Journal of Economics and Finance, Springer, vol. 39(1), pages 153-170, January.
  1000. Andrés Mauricio Gómez Sánchez & José Gabriel Astaiza Gómez, 2015. "Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters," REVISTA FINANZAS Y POLÍTICA ECONÓMICA, UNIVERSIDAD CATOLICA DE COLOMBIA.
  1001. Eduardo Ariel Corso, 2013. "Cross Fertilizations and Controversies in the Origins and Evolution of Portfolio Selection Models," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(68), pages 43-74, June.
  1002. Julia, Knolle, 2014. "An Empirical Comparison of Interest and Growth Rates," MPRA Paper 59520, University Library of Munich, Germany.
  1003. Jean-Pierre Allegret & Hélène Raymond & Houda Rharrabti, 2014. "The impact of the global and eurozone crises on European banks stocks Some evidence of shift contagion," EconomiX Working Papers 2014-24, University of Paris West - Nanterre la Défense, EconomiX.
  1004. 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.
  1005. Enzo Defilippi Angeldonis, 2013. "¿Puerto o playa? Un análisis económico del conflicto entre la ciudad de Trujillo y el puerto de Salaverry," Working Papers 13-08, Departamento de Economía, Universidad del Pacífico, revised Oct 2013.
  1006. Lally, Martin, 2000. "Valuation of companies and projects under differential personal taxation," Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 115-133, March.
  1007. St. Pierre, Eileen F., 1998. "Estimating EGARCH-M models: Science or art?," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 167-180.
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  1009. Ehnts, Dirk & Carrión Álvarez, Miguel, 2013. "The theory of reflexivity: A non-stochastic randomness theory for business schools only?," IPE Working Papers 28/2013, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
  1010. Sainan Jin & Liangjun Su & Yonghui Zhang, 2014. "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers 09-2014, Singapore Management University, School of Economics.
  1011. Ormos, Mihály & Erdős, Péter, 2011. "Borok mint alternatív befektetési lehetőségek
    [Wines as an alternative investment]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 158-172.
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  1013. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
  1014. Schinckus, Christophe, 2009. "Economic uncertainty and econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4415-4423.
  1015. 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).
  1016. Huij, Joop & Derwall, Jeroen, 2008. ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 559-572, April.
  1017. Aníbal Báez-Díaz & Pervaiz Alam, 2013. "Tax conformity of earnings and the pricing of accruals," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 509-538, April.
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  1023. Hooper, Vincent J. & Ng, Kevin & Reeves, Jonathan J., 2008. "Quarterly beta forecasting: An evaluation," International Journal of Forecasting, Elsevier, vol. 24(3), pages 480-489.
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  1027. Tiberiu Cristian Avramescu, 2008. "Romanian Tourism: A Regional Approach," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
  1028. Tomáš Buus, 2014. "Cost of Financial Distress in the Cash Flow Model of Capital Structure," Český finanční a účetní časopis, University of Economics, Prague, vol. 2014(3), pages 46-58.
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.