A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS

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

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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.]

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Applied Statistical Decision Theory.

Roberts, H. V., Raiffa, H., & Schlaifer, R. (1962) · Journal of the American Statistical Association · doi:10.2307/2282452 · Cited by 1,443

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Risk measurement when shares are subject to infrequent trading

Dimson, E. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90013-8 · Cited by 2,754

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The valuation effects of stock splits and stock dividends

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Scale and skill in active management

Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.11.008 · Cited by 547

The Valuation of Cash Flow Forecasts: An Empirical Analysis

KAPLAN, S. N., & RUBACK, R. S. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04050.x · Cited by 512