Работы, на которые ссылается эта работа

Работ: 44

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

Large Sample Properties of Generalized Method of Moments Estimators
Lars Peter Hansen
Статья1982Цитирований: 24
ABI
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
William F. Sharpe
Статья1964Цитирований: 18
ABI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Halbert White
Статья1980Цитирований: 11
ABI
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
Статья1987Цитирований: 8
ABI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama, James D. MacBeth
Статья1973Цитирований: 7
ABI
On the exclusion of assets from tests of the two-parameter model
Robert F. Stambaugh
Статья1982Цитирований: 5
ABI
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
Глава1975Цитирований: 4
ABI
Capital Market Equilibrium with Restricted Borrowing
Fischer Black
Статья1972Цитирований: 4
ABI
Economic Forces and the Stock Market
Nai‐Fu Chen, Richard Roll, Stephen A. Ross
Статья1986Цитирований: 4
ABI
Stock Returns, Real Activity, Inflation, and Money
Eugene F. Fama
Статья1981Цитирований: 3
ABI
Stochastic Differential Equations and Diffusion Processes
Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe
Статья1983Цитирований: 3
ABI
Без названия
ДругоеЦитирований: 3
ABI
Optimum consumption and portfolio rules in a continuous-time model
Robert C. Merton
Статья1971Цитирований: 2
ABI
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
Отчёт1986Цитирований: 2
ABI
Multivariate tests of financial models
Michael R. Gibbons
Статья1982Цитирований: 2
ABI
Expected stock returns and volatility
Kenneth R. French, G. William Schwert, Robert F. Stambaugh
Статья1987Цитирований: 2
ABI
An Intertemporal Capital Asset Pricing Model
Robert C. Merton
Статья1973Цитирований: 2
ABI
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
John Lintner
Статья1965Цитирований: 2
ABI
Без названия
ДругоеЦитирований: 2
ABI
Без названия
ДругоеЦитирований: 1
ABI
Без названия
ДругоеЦитирований: 1
ABI
Без названия
ДругоеЦитирований: 1
ABI
Без названия
ДругоеЦитирований: 1
ABI
Без названия
ДругоеЦитирований: 1
ABI
Без названия
ДругоеЦитирований: 1
ABI