Risk, Return, and Equilibrium

An introduction to probability theory and its applications

(1958) · Journal of the Franklin Institute · doi:10.1016/0016-0032(58)90688-4 · Cited by 29,269

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 Behavior of Stock-Market Prices

Fama, E. F. (1965) · The Journal of Business · doi:10.1086/294743 · Cited by 8,664

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

Equilibrium in a Capital Asset Market

Mossin, J. (1966) · Econometrica · doi:10.2307/1910098 · Cited by 4,910

Limit Distributions for Sums of Independent Random Variables.

Hoeffding, W., Gnedenko, B. V., Kolmogorov, A. N., Chung, K. L., & Doob, J. L. (1955) · Journal of the American Statistical Association · doi:10.2307/2281234 · Cited by 2,177

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

Jensen, M. C. (1969) · The Journal of Business · doi:10.1086/295182 · Cited by 942

Market and Industry Factors in Stock Price Behavior

King, B. F. (1966) · The Journal of Business · doi:10.1086/294847 · Cited by 836

Calcul des probabilités

Levy, P. E. (1925) · Virtual Defense Library (Ministerio de Defensa) · Cited by 612

Some Properties of Symmetric Stable Distributions

Fama, E. F., & Roll, R. (1968) · Journal of the American Statistical Association · doi:10.1080/01621459.1968.11009311 · Cited by 436

Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices

Chen, J., Hong, H., & Stein, J. C. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00066-6 · Cited by 1,907

The use of equity grants to manage optimal equity incentive levels

Core, J., & Guay, W. (1999) · Journal of Accounting and Economics · doi:10.1016/s0165-4101(99)00019-1 · Cited by 1,456

Equity Volatility and Corporate Bond Yields

Campbell, J. Y., & Taksler, G. B. (2003) · The Journal of Finance · doi:10.1046/j.1540-6261.2003.00607.x · Cited by 1,206

Market expectations in the cross-section of present values

KELLY, B., & PRUITT, S. (2013) · The Journal of Finance · doi:10.1111/jofi.12060 · Cited by 584

Mean‐Variance Spanning

HUBERMAN, G., & KANDEL, S. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb03917.x · Cited by 580