Works cited by this work

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Work: Temporal Aggregation and the Continuous‐Time Capital Asset Pricing Model

Large Sample Properties of Generalized Method of Moments Estimators
Lars Peter Hansen
Article198224 citations
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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
William F. Sharpe
Article196418 citations
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Halbert White
Article198011 citations
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
Article19878 citations
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Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama, James D. MacBeth
Article19737 citations
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On the exclusion of assets from tests of the two-parameter model
Robert F. Stambaugh
Article19825 citations
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THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]
John Lintner
Chapter19754 citations
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Capital Market Equilibrium with Restricted Borrowing
Fischer Black
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Economic Forces and the Stock Market
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Stock Returns, Real Activity, Inflation, and Money
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Stochastic Differential Equations and Diffusion Processes
Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe
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Other3 citations
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Optimum consumption and portfolio rules in a continuous-time model
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A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
Report19862 citations
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Multivariate tests of financial models
Michael R. Gibbons
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Expected stock returns and volatility
Kenneth R. French, G. William Schwert, Robert F. Stambaugh
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An Intertemporal Capital Asset Pricing Model
Robert C. Merton
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The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
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