Cash holdings, risk, and expected returns

Common risk factors in the returns on stocks and bonds

Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754

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 Cross‐Section of Expected Stock Returns

FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278

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

Statistical Inference

Casella, G., & Berger, R. (2024) · Chapman & Hall/CRC eBooks · doi:10.1201/9781003456285 · Cited by 5,711

The determinants and implications of corporate cash holdings

Opler, T. (1999) · Journal of Financial Economics · doi:10.1016/s0304-405x(99)00003-3 · Cited by 3,914

The Cash Flow Sensitivity of Cash

Almeida, H., Campello, M., & Weisbach, M. S. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00679.x · Cited by 3,496

… and the Cross-Section of Expected Returns

Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119

Replicating Anomalies

Hou, K., Xue, C., & Zhang, L. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhy131 · Cited by 989

Dissecting Characteristics Nonparametrically

Freyberger, J., Neuhierl, A., & Weber, M. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhz123 · Cited by 619

Climate risk: The price of drought

Huynh, T. D., Nguyen, T. H., & Truong, C. (2020) · Journal of Corporate Finance · doi:10.1016/j.jcorpfin.2020.101750 · Cited by 328

Corporate social responsibility and corporate cash holdings

Cheung, A. (. K. (2016) · Journal of Corporate Finance · doi:10.1016/j.jcorpfin.2016.01.008 · Cited by 304