Capital asset prices with heterogeneous beliefs

Williams, Joseph T.

doi:10.1016/0304-405x(77)90019-8

Cited by 301

The DOI matches its Crossref record; 20 of the 20 references it cites were found in a registry or an index.

Capital asset prices with heterogeneous beliefs

Williams, Joseph T.·1977·Journal of Financial Economics

DOI 10.1016/0304-405x(77)90019-8

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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
Lintner, J. (1965) · The Review of Economics and Statistics · doi:10.2307/1924119 · Cited by 6,877
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.]
Lintner, J. (1975) · Stochastic Optimization Models in Finance · doi:10.1016/b978-0-12-780850-5.50018-6 · Cited by 6,743
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
Optimum consumption and portfolio rules in a continuous-time model
Merton, R. C. (1971) · Journal of Economic Theory · doi:10.1016/0022-0531(71)90038-x · Cited by 5,958
Equilibrium in a Capital Asset Market
Mossin, J. (1966) · Econometrica · doi:10.2307/1910098 · Cited by 4,910
Capital Market Equilibrium with Restricted Borrowing
Black, F. (1972) · The Journal of Business · doi:10.1086/295472 · Cited by 3,093
The capital asset pricing model: Some empirical tests
Black, F., Jensen, M. C., & Scholes, M. S. (1972) · Cited by 2,707
An Introduction to Bayesian Inference in Econometrics.
Sargan, J. D., & Zellner, A. (1974) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2344559 · Cited by 1,914
An Introduction to Bayesian Inference in Econometrics.
Aigner, D., & Zellner, A. (1972) · Journal of the American Statistical Association · doi:10.2307/2284674 · Cited by 1,653

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Investing for the Long Run when Returns Are Predictable
Barberis, N. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00205 · Cited by 1,372
Disagreement, tastes, and asset prices
Fama, E. F., & French, K. R. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2006.01.003 · Cited by 689
Managerial Traits and Capital Structure Decisions
Hackbarth, D. (2008) · Journal of Financial and Quantitative Analysis · doi:10.1017/s002210900001437x · Cited by 540
The Role of Learning in Dynamic Portfolio Decisions
Brennan, M. J. (1998) · Review of Finance · doi:10.1023/a:1009725805128 · Cited by 388
Learning, Asset‐Pricing Tests, and Market Efficiency
Lewellen, J., & Shanken, J. (2002) · The Journal of Finance · doi:10.1111/1540-6261.00456 · Cited by 377

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Authors: Williams, J. T.
Venue: Journal of Financial Economics
Publisher: Elsevier BV
Published: 1977-11
Volume: 5
Issue: 2
Pages: 219-239
ISSN: 0304-405X (ISSN-L)
DOI: 10.1016/0304-405x(77)90019-8
OpenAlex: W2014290939
Cited by: 301
References: 20
FWCI: 3.47
Type: journal article
Language: en
Open access: closed

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This page: CoChat. (2026). Citation check: Capital asset prices with heterogeneous beliefs. https://app.cochat.ai/papers/10.1016/0304-405x(77)90019-8
The paper: Williams, J. T. (1977). Capital asset prices with heterogeneous beliefs. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(77)90019-8

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Capital asset prices with heterogeneous beliefs

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