The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets: A Reply

By J. Lintner. 1969

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Citations in the corpus

Sufficient Forecasting Using Factor Models (2015, background): “…and Watson, 1989; Bernanke et al., 2005), forecasts of the values of market prices and dividends using cross-sectional asset returns (Sharpe, 1964; Lintner, 1965), and studies of association between clinical outcomes and high throughput genomics and genetic information such as microarray gene…”
Expected Returns, Yield Spreads, and Asset Pricing Tests (2005, unknown): “, Sharpe (1964), Lintner (1965), and Merton (1973)).”
A six-factor asset pricing model (2018, background): “The contribution of Black, Jensen, and Scholes (1972), Lintner (1965), Mossin (1966), and Sharpe (1964) in the capital asset pricing literature that develops the understanding between risk-return relationship is impeccable.”
A Conditional Multifactor Analysis of Return Momentum (2002, background): “However, as argued by Fama (1991), the “abnormal” returns found by many researchers may not be reliable evidence against market efficiency if the equilibrium pricing model adopted in tests—typically the static CAPM by Sharpe (1964), Lintner (1965), and Black (1972)—is incorrect.”
Legitimacy, Visibility, and the Antecedents of Corporate Social Performance: An Investigation of the Instrumental Perspective (2011, methodology): “…cost of equity capital (rE) is equal to the expected investor return from holding the firm’s equity, from the capital asset pricing model (CAPM; Littner, 1965; Sharpe, 1964) rE = rF + bE (rM - rF), (2) where rF = the risk-free rate, rM = the return on the market portfolio (risk premium), and…”
On Estimating the Expected Return on the Market: An Exploratory Investigation (1980, background): “Lintner (1965), and Mossin (1966). For an excellent survey article on the Capital Asset Pricing Model, see Jensen (1972).”
Basic Principles of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets (2000, unknown): “We designed the experiments within the framework suggested by two theoretical models, namely, Arrow and Debreu’s complete-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM).”
Sector Investment Growth Rates and the Cross Section of Equity Returns (2006, methodology): “The Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965) has been the”
Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns (1992, background): “Roll (1977), Rudd (1977), Roll and Ross (1977), and Green (1986) examined the conditions under which the minimum-variance frontier contains positively weighted portfolios.”
Quantile coherency: A general measure for dependence between cyclical economic variables (2015, unknown): “We choose to study the joint distribution of portfolio returns and excess returns on the broad market, hence looking at one of the most commonly studied factor structures in the literature as dictated by asset pricing theories; cf. Sharpe (1964) and Lintner (1965).”
Model Comparison with Sharpe Ratios (2019, unknown): “3See, for example, Jobson and Korkie (1981), Memmel (2003), Christie (2005), and Opdyke (2007).”