A delegated-agent asset-pricing model

Financial Analysts Journal

Volumn 61, Issue 1, 2005, Pages 57-69

  Cornell, Bradford ^a   Roll, Richard ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 13844272402     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v61.n1.2684     Document Type: Article

References (40)

1. Admati, Anat R., and Paul Pfleiderer. 1997. "Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers." Journal of Business, vol. 70, no. 3 (July):323-350.
2. Allen, Franklin. 2001. "Do Financial Institutions Matter?" Journal of Finance, vol. 56, no. 4 (August):1165-75.
3. Antunovich, Peter, and David Laster. 1998. "Do Investors Mistake a Good Company for a Good Investment?" Unpublished working paper, New York Federal Reserve Bank.
4. Banz, Rolf W. 1981. "The Relationship between Return and Market Value of Common Stocks." Journal of Financial Economics, vol. 9, no. 1 (March):3-18.
5. Barberis, Nicholas, and Richard Thaler. 2004. "A Survey of Behavioral Finance." In Handbook of the Economics of Finance. Edited by George M. Constantinides, Milton Harris, and René M. Stulz. Boston, MA: Elsevier Science.
6. Basu, S. 1977. "The Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis." Journal of Finance, vol. 32, no. 3 (June):663-682.
7. Bhattacharya, Sudipto, and Paul Pfleiderer. 1985. "Delegated Portfolio Management." Journal of Economic Theory, vol. 36, no. 1 (June):l-25.
8. Breeden, Douglas T. 1979. "An Intertemporal Asset-Pricing Model with Stochastic Consumption and Investment Opportunities." Journal of Financial Economics, vol. 7, no. 3 (September):265-296.
9. Brennan, Michael J. 1993. "Agency and Asset Pricing." Working paper, University of California at Los Angeles (May).
10. Brennan, Michael J., editor. 1996. The Theory of Corporate Finance. International Library of Critical Writings in Financial Economics, Vol. I and Vol. II. Cheltenham, U.K.: Elgar.
11. Campbell, John Y. 1996. "Understanding Risk and Return." Journal of Political Economy, vol. 104, no. 2 (April):298-345.
12. Campbell, John Y., and John H. Cochrane. 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." Journal of Political Economy, vol. 107, no. 2 (April):205-251.
13. Cochrane, John H. 2001. Asset Pricing. Princeton, NJ: Princeton University Press.
14. Constantinides, George M., and Darrell Duffie. 1996. "Asset Pricing with Heterogeneous Consumers. Journal of Political Economy, vol. 104, no. 2 (April):219-240.
15. Diamond, Douglas W., and Robert E. Verrecchia. 1982. "Optimal Managerial Contracts and Equilibrium Security Prices." Journal of Finance, vol. 37, no. 2 (December):275-287.
16. Dybvig, Phillip H., Heber K. Farnsworth, and Jennifer N. Carpenter. 2004. "Portfolio Performance and Agency." Unpublished working paper, Washington University.
17. Fama, Eugene F. 1998. "Market Efficiency, Long-Term Returns, and Behavioral Finance." Journal of Financial Economics, vol. 49, no. 3 (September):283-306.
18. Fama, Eugene F., and Kenneth R. French. 1992. "The Cross-Section of Expected Stock Returns." Journal of Finance, vol. 47, no. 2 (June):427-465.
19. _. 1993. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, vol. 33, no. 1 (January):3-56.
20. Fama, Eugene F., and James D. MacBeth. 1973. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, vol. 81, no. 3 (May/June):607-636.
21. Friedman, Milton. 1953. "The Case for Flexible Exchange Rates." In Essays in Positive Economics. Chicago, IL: University of Chicago Press.
22. Goldman, Eitan, and Steve L. Slezak. 2003. "Delegated Portfolio Management and Rational Prolonged Mispricing." Journal of Finance, vol. 58, no. 2 (February):283-311.
23. Gompers, Paul A., and Andrew Metrick. 2001. "Institutional Investors and Equity Prices." Quarterly Journal of Economics, vol. 116, no. 1 (February):229-259.
24. Grossman, Sanford J., and Robert J. Shiller. 1981. "The Determinants of the Variability of Stock Market Prices." American Economic Review, vol. 71, no. 3 (May):222-227.
25. Grossman, Sanford J., and Joseph E. Stiglitz. 1980. "On the Impossibility of Informationally Efficient Markets." American Economic Review, vol. 70, no. 3 (June):393-408.
26. Hansen, Lars P., and Kenneth J. Singleton. 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns." Journal of Political Economy, vol. 91, no. 2 (April):249-265.
27. Harvey, Campbell R. 1989. "Time-Varying Conditional Covariances in Tests of Asset-Pricing Models." Journal of Financial Economics, vol. 24, no. 2 (October):289-318.
28. Jagannathan, Ravi, and Zhenyu Wang. 1996. "The Conditional CAPM and the Cross-Section of Stock Returns." Journal of Finance, vol. 51, no. 1 (March):3-53.
29. Jensen, Michael. 1967. "Determinants of Mutual Fund Performance." In Proceedings of the Seminar on the Analysis of Security Prices. Chicago, IL: University of Chicago Press.
30. Lintner, John. 1965. "The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios in Capital Budgets." Review of Economics and Statistics, vol. 47, no. 1 (February):13-37.
31. Lo, Andrew W., and A. Craig MacKinlay. 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models." Review of Financial Studies, vol. 3, no. 3:431-467.
32. Merton, Robert C. 1973. "An Intertemporal Capital Asset Pricing Model." Econometrica, vol. 41, no. 4 (October):867-887.
33. Petajisto, Antti. 2004. "Why Do Demand Curves for Stocks Slope Down?" Working paper, Yale School of Management (September).
34. Roll, Richard. 1977. "A Critique of the Asset Pricing Theory's Tests." Journal of Financial Economics, vol. 4, no. 2 (March):129-176.
35. _. 1992. "A Mean-Variance Analysis of Tracking Error." Journal of Portfolio Management, vol. 18, no. 4 (Summer):13-23.
36. Ross, Stephen A. 1976. "The Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory, vol. 13, no. 2 (December):341-360.
37. _. 2000. "Markets for Agents: Fund Management." Working paper, Sloan School of Management, MIT (May).
38. Sharpe, William F. 1964. "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance, vol. 19, no. 3 (September):425-442.
39. Simon, Ruth. 2004. "Financial Plans: Selling for In-House Gains." Wall Street Journal (9 February):C1.
40. Xu, Yexiao, and Burton G. Malkiel. 2003. "Investigating the Behavior of Idiosyncratic Volatility." Journal of Business, vol. 76, no. 4 (October):613-644.