Capital asset pricing model (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Capital asset pricing model" in English language version.

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21doi.org

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6jstor.org

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6worldcat.org

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3psu.edu

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1repec.org

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barclayswealth.com

"News and insight | Wealth Management | Barclays" (PDF).

doi.org

Fama, Eugene F; French, Kenneth R (Summer 2004). "The Capital Asset Pricing Model: Theory and Evidence". Journal of Economic Perspectives. 18 (3): 25–46. doi:10.1257/0895330042162430.
French, Jordan (2016). "Back to the Future Betas: Empirical Asset Pricing of US and Southeast Asian Markets". International Journal of Financial Studies. 4 (3): 15. doi:10.3390/ijfs4030015. hdl:10419/167811.
French, Jordan (2016). Estimating Time-Varying Beta Coefficients: An Empirical Study of US & ASEAN Portfolios. Research in Finance. Vol. 32. pp. 19–34. doi:10.1108/S0196-382120160000032002. ISBN 978-1-78635-156-2.
Kraus, Alan; Litzenberger, Robert H. (1976). "Skewness Preference and the Valuation of Risk Assets". The Journal of Finance. 31 (4): 1085–1100. doi:10.2307/2326275. ISSN 0022-1082. JSTOR 2326275.
Post, Thierry; van Vliet, Pim; Levy, Haim (2008-07-01). "Risk aversion and skewness preference". Journal of Banking & Finance. 32 (7): 1178–1187. doi:10.1016/j.jbankfin.2006.02.008. ISSN 0378-4266.
Daniel, Kent D.; Hirshleifer, David; Subrahmanyam, Avanidhar (2001). "Overconfidence, Arbitrage, and Equilibrium Asset Pricing". Journal of Finance. 56 (3): 921–965. doi:10.1111/0022-1082.00350.
Fama, Eugene F.; French, Kenneth R. (1992). "The Cross-Section of Expected Stock Returns". The Journal of Finance. 47 (2): 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x. ISSN 1540-6261.
de Silva, Harindra (2012-01-20). "Exploiting the Volatility Anomaly in Financial Markets". CFA Institute Conference Proceedings Quarterly. 29 (1): 47–56. doi:10.2469/cp.v29.n1.2. ISSN 1930-2703.
Baker, Malcolm; Bradley, Brendan; Wurgler, Jeffrey (2010-12-22). "Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly". Financial Analysts Journal. 67 (1): 40–54. doi:10.2469/faj.v67.n1.4. ISSN 0015-198X. S2CID 12706642.
Blitz, David; Van Vliet, Pim; Baltussen, Guido (2019). "The volatility effect revisited". Journal of Portfolio Management. 46 (1): jpm.2019.1.114. doi:10.3905/jpm.2019.1.114. S2CID 212976159.
Roll, R. (1977). "A Critique of the Asset Pricing Theory's Tests". Journal of Financial Economics. 4 (2): 129–176. doi:10.1016/0304-405X(77)90009-5.
Stambaugh, Robert (1982). "On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis". Journal of Financial Economics. 10 (3): 237–268. doi:10.1016/0304-405X(82)90002-2.
Ibbotson, Roger; Siegel, Lawrence; Love, Kathryn (1985). "World wealth: Market values and returns". Journal of Portfolio Management. 12 (1): 4–23. doi:10.3905/jpm.1985.409036. S2CID 154485834.
Doeswijk, Ronald; Lam, Trevin; Swinkels, Laurens (2014). "The global multi-asset market portfolio, 1960-2012". Financial Analysts Journal. 70 (2): 26–41. doi:10.2469/faj.v70.n2.1. S2CID 704936.
Merton, R.C. (1973). "An Intertemporal Capital Asset Pricing Model". Econometrica. 41 (5): 867–887. doi:10.2307/1913811. JSTOR 1913811.
Breeden, Douglas (September 1979). "An intertemporal asset pricing model with stochastic consumption and investment opportunities". Journal of Financial Economics. 7 (3): 265–296. doi:10.1016/0304-405X(79)90016-3. S2CID 154918812.
Shefrin, H.; Statman, M. (2000). "Behavioral Portfolio Theory". Journal of Financial and Quantitative Analysis. 35 (2): 127–151. CiteSeerX 10.1.1.143.8443. doi:10.2307/2676187. JSTOR 2676187. S2CID 51947571.
De Brouwer, Ph. (2009). "Maslowian Portfolio Theory: An alternative formulation of the Behavioural Portfolio Theory". Journal of Asset Management. 9 (6): 359–365. doi:10.1057/jam.2008.35.
Fama, Eugene F.; French, Kenneth R. (1993). "Common Risk Factors in the Returns on Stocks and Bonds". Journal of Financial Economics. 33 (1): 3–56. CiteSeerX 10.1.1.139.5892. doi:10.1016/0304-405X(93)90023-5.
Fama, Eugene F.; French, Kenneth R. (1992). "The Cross-Section of Expected Stock Returns". Journal of Finance. 47 (2): 427–465. CiteSeerX 10.1.1.556.954. doi:10.2307/2329112. JSTOR 2329112.
Dayala, Roger R.S. (2012). "The Capital Asset Pricing Model: A Fundamental Critique". Business Valuation Review. 31 (1): 23–34. doi:10.5791/BVR-D-12-00001.1.

duke.edu

ciber.fuqua.duke.edu

"Archived copy" (PDF). Archived from the original (PDF) on 2014-07-25. Retrieved 2012-05-08.{{cite web}}: CS1 maint: archived copy as title (link)

handle.net

hdl.handle.net

French, Jordan (2016). "Back to the Future Betas: Empirical Asset Pricing of US and Southeast Asian Markets". International Journal of Financial Studies. 4 (3): 15. doi:10.3390/ijfs4030015. hdl:10419/167811.

jstor.org

Sharpe, William F. (1991). "Capital Asset Prices with and without Negative Holdings". The Journal of Finance. 46 (2). [American Finance Association, Wiley]: 489–509. ISSN 0022-1082. JSTOR 2328833.
A. D. Roy(1952), "Safety-first and the holding of assets," Econometrica, 20, No. 3, 425-442. [1]. Retrieved June 20, 2021.
Kraus, Alan; Litzenberger, Robert H. (1976). "Skewness Preference and the Valuation of Risk Assets". The Journal of Finance. 31 (4): 1085–1100. doi:10.2307/2326275. ISSN 0022-1082. JSTOR 2326275.
Merton, R.C. (1973). "An Intertemporal Capital Asset Pricing Model". Econometrica. 41 (5): 867–887. doi:10.2307/1913811. JSTOR 1913811.
Shefrin, H.; Statman, M. (2000). "Behavioral Portfolio Theory". Journal of Financial and Quantitative Analysis. 35 (2): 127–151. CiteSeerX 10.1.1.143.8443. doi:10.2307/2676187. JSTOR 2676187. S2CID 51947571.
Fama, Eugene F.; French, Kenneth R. (1992). "The Cross-Section of Expected Stock Returns". Journal of Finance. 47 (2): 427–465. CiteSeerX 10.1.1.556.954. doi:10.2307/2329112. JSTOR 2329112.

macrorisk.com

James Chong; Yanbo Jin; Michael Phillips (April 29, 2013). "The Entrepreneur's Cost of Capital: Incorporating Downside Risk in the Buildup Method" (PDF). Retrieved 25 June 2013.

nyu.edu

archive.nyu.edu

Baker, Malcolm; Bradley, Brendan; Wurgler, Jeffrey (2010-12-22). "Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly". Financial Analysts Journal. 67 (1): 40–54. doi:10.2469/faj.v67.n1.4. ISSN 0015-198X. S2CID 12706642.

psu.edu

citeseerx.ist.psu.edu

Shefrin, H.; Statman, M. (2000). "Behavioral Portfolio Theory". Journal of Financial and Quantitative Analysis. 35 (2): 127–151. CiteSeerX 10.1.1.143.8443. doi:10.2307/2676187. JSTOR 2676187. S2CID 51947571.
Fama, Eugene F.; French, Kenneth R. (1993). "Common Risk Factors in the Returns on Stocks and Bonds". Journal of Financial Economics. 33 (1): 3–56. CiteSeerX 10.1.1.139.5892. doi:10.1016/0304-405X(93)90023-5.
Fama, Eugene F.; French, Kenneth R. (1992). "The Cross-Section of Expected Stock Returns". Journal of Finance. 47 (2): 427–465. CiteSeerX 10.1.1.556.954. doi:10.2307/2329112. JSTOR 2329112.

repec.org

ideas.repec.org

Jansen, D. W., K.G. Koedijk and C. G. de Vries (2000), "Portfolio selection with limited downside risk," Journal of Empirical Finance, 7, 247-269.[2]. Retrieved June 20, 2021.

researchgate.net

Lai, Tsong-Yue; Stohs, Mark H. (2015). "Yes, CAPM is dead". International Journal of Business. 20 (2): 144–158.

sciencedirect.com

Post, Thierry; van Vliet, Pim; Levy, Haim (2008-07-01). "Risk aversion and skewness preference". Journal of Banking & Finance. 32 (7): 1178–1187. doi:10.1016/j.jbankfin.2006.02.008. ISSN 0378-4266.

semanticscholar.org

api.semanticscholar.org

Baker, Malcolm; Bradley, Brendan; Wurgler, Jeffrey (2010-12-22). "Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly". Financial Analysts Journal. 67 (1): 40–54. doi:10.2469/faj.v67.n1.4. ISSN 0015-198X. S2CID 12706642.
Blitz, David; Van Vliet, Pim; Baltussen, Guido (2019). "The volatility effect revisited". Journal of Portfolio Management. 46 (1): jpm.2019.1.114. doi:10.3905/jpm.2019.1.114. S2CID 212976159.
Ibbotson, Roger; Siegel, Lawrence; Love, Kathryn (1985). "World wealth: Market values and returns". Journal of Portfolio Management. 12 (1): 4–23. doi:10.3905/jpm.1985.409036. S2CID 154485834.
Doeswijk, Ronald; Lam, Trevin; Swinkels, Laurens (2014). "The global multi-asset market portfolio, 1960-2012". Financial Analysts Journal. 70 (2): 26–41. doi:10.2469/faj.v70.n2.1. S2CID 704936.
Breeden, Douglas (September 1979). "An intertemporal asset pricing model with stochastic consumption and investment opportunities". Journal of Financial Economics. 7 (3): 265–296. doi:10.1016/0304-405X(79)90016-3. S2CID 154918812.
Shefrin, H.; Statman, M. (2000). "Behavioral Portfolio Theory". Journal of Financial and Quantitative Analysis. 35 (2): 127–151. CiteSeerX 10.1.1.143.8443. doi:10.2307/2676187. JSTOR 2676187. S2CID 51947571.

ssrn.com

papers.ssrn.com

French, Craig W. (2003). "The Treynor Capital Asset Pricing Model". Journal of Investment Management. 1 (2): 60–72. SSRN 447580.
Baltussen, Guido; van Vliet, Bart; van Vliet, Pim (2024-06-11). "The Cross-Section of Stock Returns before CRSP". SSRN Working Paper. SSRN 3969743.

web.archive.org

"Archived copy" (PDF). Archived from the original (PDF) on 2014-07-25. Retrieved 2012-05-08.{{cite web}}: CS1 maint: archived copy as title (link)

worldcat.org

search.worldcat.org

Sharpe, William F. (1991). "Capital Asset Prices with and without Negative Holdings". The Journal of Finance. 46 (2). [American Finance Association, Wiley]: 489–509. ISSN 0022-1082. JSTOR 2328833.
Kraus, Alan; Litzenberger, Robert H. (1976). "Skewness Preference and the Valuation of Risk Assets". The Journal of Finance. 31 (4): 1085–1100. doi:10.2307/2326275. ISSN 0022-1082. JSTOR 2326275.
Post, Thierry; van Vliet, Pim; Levy, Haim (2008-07-01). "Risk aversion and skewness preference". Journal of Banking & Finance. 32 (7): 1178–1187. doi:10.1016/j.jbankfin.2006.02.008. ISSN 0378-4266.
Fama, Eugene F.; French, Kenneth R. (1992). "The Cross-Section of Expected Stock Returns". The Journal of Finance. 47 (2): 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x. ISSN 1540-6261.
de Silva, Harindra (2012-01-20). "Exploiting the Volatility Anomaly in Financial Markets". CFA Institute Conference Proceedings Quarterly. 29 (1): 47–56. doi:10.2469/cp.v29.n1.2. ISSN 1930-2703.
Baker, Malcolm; Bradley, Brendan; Wurgler, Jeffrey (2010-12-22). "Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly". Financial Analysts Journal. 67 (1): 40–54. doi:10.2469/faj.v67.n1.4. ISSN 0015-198X. S2CID 12706642.