RDP 9802: Systematic Risk Characteristics of Corporate Equity References
February 1998
- Download the Paper 266KB
Banz, R.W. (1981), ‘The Relationship between Return and Market Value of Common Stocks’, Journal of Financial Economics, 9(1), pp. 3–18.
Basu, S. (1977), ‘Investment Performance of Common Stocks in Relation to their Price-earnings Ratios: A Test of the Efficient Markets Hypothesis’, Journal of Finance, 32(3), pp. 663–682.
Black, F. (1972), ‘Capital Market Equilibrium with Restricted Borrowing’, Journal of Business, 45, pp. 444–454.
Black, F., M.C. Jensen and M. Scholes (1972), ‘The Capital Asset-pricing Model: Some Empirical Tests’, in M.C. Jensen (ed.), Studies in the Theory of Capital Markets, Preager Publishing, New York, pp. 79–124.
Blume, M.E. (1970), ‘Portfolio Theory: A Step Toward its Practical Application’, Journal of Business, 43(2), pp. 152–173.
Blume, M.E. (1975), ‘Betas and their Regression Tendencies’, Journal of Finance, 10(3), pp. 785–795.
Blume, M.E. and I. Friend (1973), ‘A New Look at the Capital Asset-pricing Model’, Journal of Finance, 28(1), pp. 19–33.
Blume, M.E. and F. Husic (1973), ‘Price, Beta and Exchange Listing’, Journal of Finance, 28(2), pp. 283–299.
Breeden, D.T. (1979), ‘An Intertemporal Asset-pricing Model with Stochastic Consumption and Investment Opportunities’, Journal of Financial Economics, 7(3), pp. 265–296.
Brock, W.A. (1982), ‘Asset Prices in a Production Economy’, in J. McCall (ed.), The Economics of Uncertainty and Information, University of Chicago Press, Chicago, pp. 1–46.
Chan, K.C. and N. Chen (1988), ‘An Unconditional Asset-pricing Test and the Role of Firm Size as an Instrumental Variable for Risk’, Journal of Finance, 43(2), pp. 309–325.
Cochrane, J.H. (1996), ‘A Cross-sectional Test of an Investment-based Asset-pricing Model’, Journal of Political Economy, 104(3), pp. 572–621.
Fama, E.F. and K.R. French (1992), ‘The Cross-section of Expected Stock Returns’, Journal of Finance, 47(2), pp. 427–465.
Fama, E.F. and J.D. MacBeth (1973), ‘Risk, Return and Equilibrium: Empirical Tests’, Journal of Political Economy, 81(3), pp. 607–636.
Friend, I. and M.E. Blume (1970), ‘Measurement of Portfolio Performance Under Uncertainty’, American Economic Review, 60(4), pp. 561–575.
Gibbons, M.R. (1982), ‘Multivariate Tests of Financial Models: A New Approach’, Journal of Financial Economics, 10(1), pp. 3–27.
Harvey, A.C. (1989), Forecasting Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge.
Jaswinski, A.H. (1970), Stochastic Processes and Filtering Theory, Academic Press, New York.
Klemosky, R.C. and J.D. Martin (1975), ‘The Adjustment of Beta Forecasts’, Journal of Finance, 10(4), pp. 1123–1128.
Kolmogorov, A.N. (1933), ‘Sulla Determinazione Empirica Di Una Legge Di Distribuzione’, Giornale Dell'Instituto Ital. Degli Attuari, 4, pp. 83–91.
Lintner, J. (1969), ‘The Aggregation of Investor's Diverse Judgements and Preferences in Purely Competitive Markets’, Journal of Financial and Quantitative Analysis, 4(4), pp. 346–382.
Litzenberger, R.H. and K. Ramaswamy (1979), ‘The Effects of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence’, Journal of Financial Economics, 7(2), pp. 163–195.
Markowitz, H. (1959), Portfolio Selection, Yale University Press, New Haven.
Miller, M. and M. Scholes (1972), ‘Rates of Return in Relation to Risk: A Re-examination of Some Recent Findings’, in M.C. Jensen (ed.), Studies in the Theory of Capital Markets, Preager Publishing, New York, pp. 47–78.
Mossin, J. (1969), ‘Security Pricing and Investment Criteria in Competitive Markets’, American Economic Review, 59(5), pp. 749–756.
Quah, D. (1996), ‘Empirics for Economic Growth and Convergence’, European Economic Review, 40(6), pp. 1353–1375.
Reinganum, M.R. (1981), ‘The Arbitrage Pricing Theory: Some Empirical Results’, Journal of Finance, 36(2), pp. 313–321.
Roll, R. (1977), ‘A Critique of the Asset-pricing Theory's Tests: Part I, On Past and Potential Testability of the Theory’, Journal of Financial Economics, 4(2), pp. 129–176.
Shanken, J. (1985), ‘Multivariate Tests of the Zero–Beta CAPM’, Journal of Financial Economics, 14(3), pp. 327–348.
Sharpe, W.F. (1964), ‘Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19(3), pp. 425–442.
Silverman, B.W. (1986), Density Estimation for Statistics and Data Analysis, Monographs on Statistics and Applied Probability 26, Chapman and Hall, London.
Smirnov, N. (1939), ‘On the Estimation of the Discrepancy between Empirical Curves of Distribution for Two Independent Samples’, Bulletin Mathèmatique de l'Université de Moscou, 2, fasc. 2.
Stambaugh, R.F. (1982), ‘On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis’, Journal of Financial Economics, 10(3), pp. 237–268.
Treynor, J. (1961), ‘Toward a Theory of the Market Value of Risky Assets’, unpublished manuscript.
Vasicek, O. (1973), ‘A Note on using Cross-sectional Information in Bayesian Estimation of Security Betas’, Journal of Finance, 8(5), pp. 1233–1239.