-
1
-
-
0842346751
-
Risks and portfolio decisions involving hedge funds
-
Agarwal, V., and N. Naik, 2004, "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, 17(1), 63-98.
-
(2004)
Review of Financial Studies
, vol.17
, Issue.1
, pp. 63-98
-
-
Agarwal, V.1
Naik, N.2
-
2
-
-
0348159711
-
Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance
-
Ahn, S., and C. Gadarowski, 2004, "Small Sample Properties of the GMM Specification Test Based on the Hansen-Jagannathan Distance," Journal of Empirical Finance, 11(1), 109-132.
-
(2004)
Journal of Empirical Finance
, vol.11
, Issue.1
, pp. 109-132
-
-
Ahn, S.1
Gadarowski, C.2
-
3
-
-
0842294214
-
The theory of syndicates and linear sharing rules
-
Amershi, A., and J. Stoeckenius, 1983, "The Theory of Syndicates and Linear Sharing Rules," Econometrica, 51, 1407-1416.
-
(1983)
Econometrica
, vol.51
, pp. 1407-1416
-
-
Amershi, A.1
Stoeckenius, J.2
-
4
-
-
15744390263
-
Index option prices and stock market momentum
-
Amin, K., J. Coval, and H. Seyhun, 2004, "Index Option Prices and Stock Market Momentum," Journal of Business, 77(4), 835-873.
-
(2004)
Journal of Business
, vol.77
, Issue.4
, pp. 835-873
-
-
Amin, K.1
Coval, J.2
Seyhun, H.3
-
5
-
-
0034412341
-
Do call prices and the underlying stock always move in the same direction?
-
Bakshi, G., C. Cao, and Z. Chen, 2000, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Review of Financial Studies, 13(3), 549-584.
-
(2000)
Review of Financial Studies
, vol.13
, Issue.3
, pp. 549-584
-
-
Bakshi, G.1
Cao, C.2
Chen, Z.3
-
6
-
-
0037839145
-
Delta-hedged gains and the negative market volatility risk premium
-
Bakshi, G., and N. Kapadia, 2003, "Delta-Hedged Gains and the Negative Market Volatility Risk Premium," Review of Financial Studies, 16(2), 527-566.
-
(2003)
Review of Financial Studies
, vol.16
, Issue.2
, pp. 527-566
-
-
Bakshi, G.1
Kapadia, N.2
-
7
-
-
0037266639
-
Stock return characteristics, skew laws, and the differential pricing of individual equity options
-
Bakshi, G., N. Kapadia, and D. Madan, 2003, "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options," Review of Financial Studies, 16(1), 101-143.
-
(2003)
Review of Financial Studies
, vol.16
, Issue.1
, pp. 101-143
-
-
Bakshi, G.1
Kapadia, N.2
Madan, D.3
-
8
-
-
0000570595
-
Spanning and derivative security valuation
-
Bakshi, G., and D. Madan, 2000, "Spanning and Derivative Security Valuation," Journal of Financial Economics, 55, 205-238.
-
(2000)
Journal of Financial Economics
, vol.55
, pp. 205-238
-
-
Bakshi, G.1
Madan, D.2
-
9
-
-
84993921333
-
A new approach to international arbitrage pricing
-
Bansal, R., D. Hsieh, and S. Viswanathan, 1993, "A New Approach to International Arbitrage Pricing," Journal of Finance, 48(5), 1719-1747.
-
(1993)
Journal of Finance
, vol.48
, Issue.5
, pp. 1719-1747
-
-
Bansal, R.1
Hsieh, D.2
Viswanathan, S.3
-
10
-
-
84993918841
-
No arbitrage and arbitrage pricing: A new approach
-
Bansal, R., and S. Viswanathan, 1993, "No Arbitrage and Arbitrage Pricing: A New Approach," Journal of Finance, 48(4), 1231-1262.
-
(1993)
Journal of Finance
, vol.48
, Issue.4
, pp. 1231-1262
-
-
Bansal, R.1
Viswanathan, S.2
-
11
-
-
84974433623
-
Arbitrage equilibrium with skewed asset returns
-
Barone Adesi, G., 1985, "Arbitrage Equilibrium with Skewed Asset Returns," Journal of Financial and Quantitative Analysis, 20(3), 299-313.
-
(1985)
Journal of Financial and Quantitative Analysis
, vol.20
, Issue.3
, pp. 299-313
-
-
Barone Adesi, G.1
-
12
-
-
7444242811
-
Testing asset pricing models with coskewness
-
Barone Adesi, G., P. Gagliardini, and G. Urga, 2004, "Testing Asset Pricing Models with Coskewness," Journal of Business and Economic Statistics, 22(4), 474-485.
-
(2004)
Journal of Business and Economic Statistics
, vol.22
, Issue.4
, pp. 474-485
-
-
Barone Adesi, G.1
Gagliardini, P.2
Urga, G.3
-
13
-
-
49449120642
-
Capital market equilibrium in a mean-lower partial moment framework
-
Bawa, V., and E. Lindenberg, 1977, "Capital Market Equilibrium in a Mean-Lower Partial Moment Framework," Journal of Financial Economics, 5, 189-200.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 189-200
-
-
Bawa, V.1
Lindenberg, E.2
-
14
-
-
21844509410
-
A critique of size-related anomalies
-
Berk, J., 1995, "A Critique of Size-Related Anomalies," Review of Financial Studies, 8(2), 275-286.
-
(1995)
Review of Financial Studies
, vol.8
, Issue.2
, pp. 275-286
-
-
Berk, J.1
-
15
-
-
0000516158
-
Prices of state-contingent claims implicit in option prices
-
Breeden, D., and R. Litzenberger, 1978, "Prices of State-Contingent Claims Implicit in Option Prices," Journal of Business, 51(4), 621-651.
-
(1978)
Journal of Business
, vol.51
, Issue.4
, pp. 621-651
-
-
Breeden, D.1
Litzenberger, R.2
-
16
-
-
0040823379
-
Necessary conditions for aggregation in securities markets
-
Brennan, M., and A. Kraus, 1978, "Necessary Conditions for Aggregation in Securities Markets," Journal of Financial and Quantitative Analysis, 13(3), 407-418.
-
(1978)
Journal of Financial and Quantitative Analysis
, vol.13
, Issue.3
, pp. 407-418
-
-
Brennan, M.1
Kraus, A.2
-
17
-
-
0035606570
-
The price of a smile: Hedging and spanning in option markets
-
Buraschi, A., and J. Jackwerth, 2001, "The Price of a Smile: Hedging and Spanning in Option Markets," Review of Financial Studies, 14(2), 495-527.
-
(2001)
Review of Financial Studies
, vol.14
, Issue.2
, pp. 495-527
-
-
Buraschi, A.1
Jackwerth, J.2
-
18
-
-
0002624840
-
On persistence in mutual fund performance
-
Carhart, M., 1997, "On Persistence in Mutual Fund Performance," Journal of Finance, 52(1), 57-82.
-
(1997)
Journal of Finance
, vol.52
, Issue.1
, pp. 57-82
-
-
Carhart, M.1
-
19
-
-
85024005515
-
Optimal positioning in derivative securities
-
Carr, P., and D. Madan, 2001, "Optimal Positioning in Derivative Securities," Quantitative Finance, 1, 19-37.
-
(2001)
Quantitative Finance
, vol.1
, pp. 19-37
-
-
Carr, P.1
Madan, D.2
-
20
-
-
0000904974
-
The structure of investor preferences and asset returns, and separability in portfolio allocation
-
Cass, D., and J. Stiglitz, 1970, "The Structure of Investor Preferences and Asset Returns, and Separability in Portfolio Allocation," Journal of Economic Theory, 2, 122-160.
-
(1970)
Journal of Economic Theory
, vol.2
, pp. 122-160
-
-
Cass, D.1
Stiglitz, J.2
-
21
-
-
0039332070
-
Approximating the asset pricing Kernel
-
Chapman, D., 1997, "Approximating the Asset Pricing Kernel," Journal of Finance, 52(4), 1383-1410.
-
(1997)
Journal of Finance
, vol.52
, Issue.4
, pp. 1383-1410
-
-
Chapman, D.1
-
22
-
-
33644909070
-
Asset pricing when returns are non-normal: Fama-French factors vs. higher-order systematic co-moments
-
Chung, Y., H. Johnson, and M. Schill, 2006, "Asset Pricing When Returns are Non-Normal: Fama-French Factors vs. Higher-Order Systematic Co-Moments," Journal of Business, 79(2), 923-940.
-
(2006)
Journal of Business
, vol.79
, Issue.2
, pp. 923-940
-
-
Chung, Y.1
Johnson, H.2
Schill, M.3
-
23
-
-
0041030608
-
Expected option returns
-
Coval, J., and T. Shumway, 2001, "Expected Option Returns," Journal of Finance, 56(3), 983-1009.
-
(2001)
Journal of Finance
, vol.56
, Issue.3
, pp. 983-1009
-
-
Coval, J.1
Shumway, T.2
-
24
-
-
0001125608
-
A general equilibrium analysis of option and stock market interactions
-
Detemple, J., and L. Selden, 1991, "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, 32, 279-303.
-
(1991)
International Economic Review
, vol.32
, pp. 279-303
-
-
Detemple, J.1
Selden, L.2
-
25
-
-
0042674102
-
Nonlinear pricing kernels, kurtosis preference, and evidence from the cross-section of equity returns
-
Dittmar, R., 2002, "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross-Section of Equity Returns," Journal of Finance, 57(1), 369-403.
-
(2002)
Journal of Finance
, vol.57
, Issue.1
, pp. 369-403
-
-
Dittmar, R.1
-
26
-
-
0000205143
-
Two-person dynamic equilibrium in the capital market
-
Dumas, B., 1989, "Two-Person Dynamic Equilibrium in the Capital Market," Review of Financial Studies, 2(2), 157-188.
-
(1989)
Review of Financial Studies
, vol.2
, Issue.2
, pp. 157-188
-
-
Dumas, B.1
-
27
-
-
84977737676
-
The cross-section of expected stock returns
-
Fama, E., and K. French, 1992, "The Cross-Section of Expected Stock Returns," Journal of Finance, 47, 427-465.
-
(1992)
Journal of Finance
, vol.47
, pp. 427-465
-
-
Fama, E.1
French, K.2
-
28
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama, E., and K. French, 1993, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics, 33, 3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.1
French, K.2
-
29
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
Fama, E., and K. French, 1996, "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, 51(1), 55-84.
-
(1996)
Journal of Finance
, vol.51
, Issue.1
, pp. 55-84
-
-
Fama, E.1
French, K.2
-
30
-
-
0031066567
-
Industry costs of equity
-
Fama, E., and K. French, 1997, "Industry Costs of Equity," Journal of Financial Economics, 43, 153-193.
-
(1997)
Journal of Financial Economics
, vol.43
, pp. 153-193
-
-
Fama, E.1
French, K.2
-
31
-
-
0000444183
-
Co-kurtosis and capital asset pricing
-
Fang, H., and T. Lai, 1997, "Co-Kurtosis and Capital Asset Pricing," The Financial Review, 32(2), 293-307.
-
(1997)
The Financial Review
, vol.32
, Issue.2
, pp. 293-307
-
-
Fang, H.1
Lai, T.2
-
32
-
-
84977414952
-
Co-skewness and capital asset pricing
-
Friend, I., and R. Westerfield, 1980, "Co-Skewness and Capital Asset Pricing," Journal of Finance, 35(4), 897-913.
-
(1980)
Journal of Finance
, vol.35
, Issue.4
, pp. 897-913
-
-
Friend, I.1
Westerfield, R.2
-
33
-
-
0001534103
-
A test of the efficiency of a given portfolio
-
Gibbons, M., S. Ross, and J. Shanken, 1989, "A Test of the Efficiency of a Given Portfolio," Econometrica, 57, 1121-1152.
-
(1989)
Econometrica
, vol.57
, pp. 1121-1152
-
-
Gibbons, M.1
Ross, S.2
Shanken, J.3
-
34
-
-
38149144646
-
A contingent claim approach to performance evaluation
-
Glosten, L., and R. Jagannathan, 1994, "A Contingent Claim Approach to Performance Evaluation," Journal of Empirical Finance, 1, 133-160.
-
(1994)
Journal of Empirical Finance
, vol.1
, pp. 133-160
-
-
Glosten, L.1
Jagannathan, R.2
-
35
-
-
84914513057
-
The determinants of the variability of stock market prices
-
Grossman, S., and R. Shiller, 1981, "The Determinants of the Variability of Stock Market Prices," American Economic Review, 71(2), 222-227.
-
(1981)
American Economic Review
, vol.71
, Issue.2
, pp. 222-227
-
-
Grossman, S.1
Shiller, R.2
-
36
-
-
40849105983
-
Stochastic consumption, risk aversion, and the temporal behavior of asset returns
-
Hansen, L., and K. Singleton, 1983, "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, 91(2), 249-265.
-
(1983)
Journal of Political Economy
, vol.91
, Issue.2
, pp. 249-265
-
-
Hansen, L.1
Singleton, K.2
-
37
-
-
0010274340
-
Assessing specification errors in stochastic discount factor models
-
Hansen, L., and R. Jagannathan, 1997, "Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, 52(2), 557-590.
-
(1997)
Journal of Finance
, vol.52
, Issue.2
, pp. 557-590
-
-
Hansen, L.1
Jagannathan, R.2
-
38
-
-
0040186059
-
Conditional skewness in asset pricing tests
-
Harvey, C., and A. Siddique, 2000a, "Conditional Skewness in Asset Pricing Tests," Journal of Finance, 55(3), 1263-1295.
-
(2000)
Journal of Finance
, vol.55
, Issue.3
, pp. 1263-1295
-
-
Harvey, C.1
Siddique, A.2
-
39
-
-
0347779590
-
Time-varying conditional skewness and the market risk premium
-
Harvey, C., and A. Siddique, 2000b, "Time-Varying Conditional Skewness and the Market Risk Premium," Research in Banking and Finance, 1, 25-58.
-
(2000)
Research in Banking and Finance
, vol.1
, pp. 25-58
-
-
Harvey, C.1
Siddique, A.2
-
40
-
-
0000191140
-
S&P 100 index option volatility
-
Harvey, C., and R. Whaley, 1991, "S&P 100 Index Option Volatility," Journal of Finance, 46(4), 1551-1561.
-
(1991)
Journal of Finance
, vol.46
, Issue.4
, pp. 1551-1561
-
-
Harvey, C.1
Whaley, R.2
-
41
-
-
33750450085
-
-
working paper, Fisher College of Business, Ohio State University, Columbus, OH
-
Hou, K., and D. Robinson, 2003, "Industry Concentration and Average Stock Returns," working paper, Fisher College of Business, Ohio State University, Columbus, OH.
-
(2003)
Industry Concentration and Average Stock Returns
-
-
Hou, K.1
Robinson, D.2
-
43
-
-
0010962742
-
The conditional CAPM and the cross-section of expected returns
-
Jagannathan, R., and Z. Wang, 1996, "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, 51(1), 3-53.
-
(1996)
Journal of Finance
, vol.51
, Issue.1
, pp. 3-53
-
-
Jagannathan, R.1
Wang, Z.2
-
44
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for stock market efficiency
-
Jegadeesh, N., and S. Titman, 1993, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, 48(1), 65-91.
-
(1993)
Journal of Finance
, vol.48
, Issue.1
, pp. 65-91
-
-
Jegadeesh, N.1
Titman, S.2
-
45
-
-
1842777638
-
-
working paper, Marshall School of Business, University of Southern California, Los Angeles, CA
-
Jones, C., 2001, "A Nonlinear Factor Analysis of S&P 500 Index Option Returns," working paper, Marshall School of Business, University of Southern California, Los Angeles, CA.
-
(2001)
A Nonlinear Factor Analysis of S&P 500 Index Option Returns
-
-
Jones, C.1
-
46
-
-
28044439290
-
-
working paper, Washington University, St. Louis
-
Kan, R., and G. Zhou, 2004, "Hansen-Jagannathan Distance: Geometry and Exact Distribution," working paper, Washington University, St. Louis.
-
(2004)
Hansen-Jagannathan Distance: Geometry and Exact Distribution
-
-
Kan, R.1
Zhou, G.2
-
47
-
-
84944838305
-
Skewness preference and the valuation of risk assets
-
Kraus, A., and R. Litzenberger, 1976, "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, 31(4), 1085-1100.
-
(1976)
Journal of Finance
, vol.31
, Issue.4
, pp. 1085-1100
-
-
Kraus, A.1
Litzenberger, R.2
-
48
-
-
0010803127
-
On the distributional conditions for a consumption-oriented three moment CAPM
-
Kraus, A., and R. Litzenberger, 1983, "On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM," Journal of Finance, 38(5), 1381-1391.
-
(1983)
Journal of Finance
, vol.38
, Issue.5
, pp. 1381-1391
-
-
Kraus, A.1
Litzenberger, R.2
-
49
-
-
0001206751
-
Who should buy portfolio insurance?
-
Leland, H., 1980, "Who Should Buy Portfolio Insurance?," Journal of Finance, 35(2), 581-594.
-
(1980)
Journal of Finance
, vol.35
, Issue.2
, pp. 581-594
-
-
Leland, H.1
-
50
-
-
84980092111
-
A utility function depending on the first three moments
-
Levy, H., 1969, "A Utility Function Depending on the First Three Moments," Journal of Finance, 24(4), 715-719.
-
(1969)
Journal of Finance
, vol.24
, Issue.4
, pp. 715-719
-
-
Levy, H.1
-
51
-
-
21344497630
-
Absolute and relative risk aversion: An experimental study
-
Levy, H., 1994, "Absolute and Relative Risk Aversion: An Experimental Study," Journal of Risk and Uncertainty, 8, 289-307.
-
(1994)
Journal of Risk and Uncertainty
, vol.8
, pp. 289-307
-
-
Levy, H.1
-
52
-
-
84974277984
-
A new test of the three-moment capital asset pricing model
-
Lim, K., 1989, "A New Test of the Three-Moment Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, 24(2), 205-216.
-
(1989)
Journal of Financial and Quantitative Analysis
, vol.24
, Issue.2
, pp. 205-216
-
-
Lim, K.1
-
53
-
-
0003114587
-
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
-
Lintner, J., 1965, "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets," Review of Economics and Statistics, 47, 13-37.
-
(1965)
Review of Economics and Statistics
, vol.47
, pp. 13-37
-
-
Lintner, J.1
-
54
-
-
84977715008
-
Using generalized method of moments to test mean-variance efficiency
-
MacKinlay, A., and M. Richardson, 1991, "Using Generalized Method of Moments to Test Mean-Variance Efficiency," Journal of Finance, 46(2), 511-527.
-
(1991)
Journal of Finance
, vol.46
, Issue.2
, pp. 511-527
-
-
MacKinlay, A.1
Richardson, M.2
-
55
-
-
0039064917
-
Do industries explain momentum?
-
Moskowitz, T., and M. Grinblatt, 1999, "Do Industries Explain Momentum?," Journal of Finance, 54(4), 1249-1290.
-
(1999)
Journal of Finance
, vol.54
, Issue.4
, pp. 1249-1290
-
-
Moskowitz, T.1
Grinblatt, M.2
-
56
-
-
84974274985
-
An analytical comparison of variance and semi-variance capital market theories
-
Nantell, T., and B. Price, 1979, "An Analytical Comparison of Variance and Semi-variance Capital Market Theories," Journal of Financial and Quantitative Analysis, 14(2), 221-242.
-
(1979)
Journal of Financial and Quantitative Analysis
, vol.14
, Issue.2
, pp. 221-242
-
-
Nantell, T.1
Price, B.2
-
57
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W., and K. West, 1987, "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55(3), 703-708.
-
(1987)
Econometrica
, vol.55
, Issue.3
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
58
-
-
33750440605
-
An empirical investigation of UK option returns: Overpricing and the role of higher systematic moments
-
O'Brien, F., and M. Shackleton, 2005, "An Empirical Investigation of UK Option Returns: Overpricing and the Role of Higher Systematic Moments," Derivatives Use, Trading & Regulation, 10(4), 3004-3030.
-
(2005)
Derivatives Use, Trading & Regulation
, vol.10
, Issue.4
, pp. 3004-3030
-
-
O'Brien, F.1
Shackleton, M.2
-
59
-
-
33750491335
-
-
working paper, Erasmus University Rotterdam, The Netherlands
-
Post, T., H. Levy, and P. van Vliet, 2004, "Risk Aversion and Skewness Preference," working paper, Erasmus University Rotterdam, The Netherlands.
-
(2004)
Risk Aversion and Skewness Preference
-
-
Post, T.1
Levy, H.2
Van Vliet, P.3
-
60
-
-
33750440866
-
-
working paper, Dublin City University Business School, Ireland
-
Poti, V., 2005, "Coskewness and Conditional Asset Pricing," working paper, Dublin City University Business School, Ireland.
-
(2005)
Coskewness and Conditional Asset Pricing
-
-
Poti, V.1
-
61
-
-
0034476535
-
Efficient risk sharing: The last frontier
-
Pratt, J., 2000, "Efficient Risk Sharing: The Last Frontier," Management Science, 46(12), 1545-1553.
-
(2000)
Management Science
, vol.46
, Issue.12
, pp. 1545-1553
-
-
Pratt, J.1
-
63
-
-
84974249859
-
The fundamental theorem of parameter-preference security valuation
-
Rubinstein, M., 1973, "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, 8(1), 61-69.
-
(1973)
Journal of Financial and Quantitative Analysis
, vol.8
, Issue.1
, pp. 61-69
-
-
Rubinstein, M.1
-
64
-
-
0001048997
-
An aggregation theorem for securities markets
-
Rubinstein, M., 1974, "An Aggregation Theorem for Securities Markets," Journal of Financial Economics, 1, 225-244.
-
(1974)
Journal of Financial Economics
, vol.1
, pp. 225-244
-
-
Rubinstein, M.1
-
65
-
-
33750478423
-
-
working paper, UCLA, Los Angeles, CA
-
Santa-Clara, P., and A. Saretto, 2004, "Option Strategies: Good Deals and Margin Calls," working paper, UCLA, Los Angeles, CA.
-
(2004)
Option Strategies: Good Deals and Margin Calls
-
-
Santa-Clara, P.1
Saretto, A.2
-
66
-
-
84977397409
-
On the direction of preference for moments of higher order than the variance
-
Scott, R., and P. Horvath, 1980, "On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, 35(4), 915-919.
-
(1980)
Journal of Finance
, vol.35
, Issue.4
, pp. 915-919
-
-
Scott, R.1
Horvath, P.2
-
67
-
-
0013292692
-
Asset pricing, higher moments, and the market risk premium: A note
-
Sears, R., and K. Wei, 1985, "Asset Pricing, Higher Moments, and the Market Risk Premium: A Note," Journal of Finance, 40(4), 1251-1253.
-
(1985)
Journal of Finance
, vol.40
, Issue.4
, pp. 1251-1253
-
-
Sears, R.1
Wei, K.2
-
68
-
-
84980092818
-
Capital asset prices: A theory of capital market equilibrium under conditions of risk
-
Sharpe, W., 1964, "Capital Asset Prices: A Theory of Capital Market Equilibrium Under Conditions of Risk," Journal of Finance, 19, 425-442.
-
(1964)
Journal of Finance
, vol.19
, pp. 425-442
-
-
Sharpe, W.1
-
69
-
-
0842346748
-
Options trading and the CAPM
-
Vanden, J., 2004, "Options Trading and the CAPM," Review of Financial Studies, 17(4), 207-238.
-
(2004)
Review of Financial Studies
, vol.17
, Issue.4
, pp. 207-238
-
-
Vanden, J.1
-
70
-
-
0030137587
-
The term structure of interest rates in a pure exchange economy with heterogeneous investors
-
Wang, J., 1996, "The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors," Journal of Financial Economics, 41(1), 75-110.
-
(1996)
Journal of Financial Economics
, vol.41
, Issue.1
, pp. 75-110
-
-
Wang, J.1
-
71
-
-
0000112188
-
The theory of syndicates
-
Wilson, R., 1968, "The Theory of Syndicates," Econometrica, 36, 119-132.
-
(1968)
Econometrica
, vol.36
, pp. 119-132
-
-
Wilson, R.1
|