THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS

By J. Lintner. 1965

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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…”
An Alternative Three-Factor Model (2011, unknown): “Although an elegant theoretical contribution, the empirical performance of the Sharpe (1964) and Lintner (1965) Capital Asset Pricing Model (CAPM) has been abysmal.”
Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19* (2020, unknown): “However, CAPM, as proposed by financial economists such as [52, 53] Treynor (1961, 1962) [54], Sharpe (1964) [55], Lintner (1965) and [56] Mossin (1966), has failed numerous empirical tests as investors in the market often display herding behaviour such that individual stock returns deviate signific”
Modeling the bid/ask spread: measuring the inventory-holding premium ☆ (2004, unknown): “(CAPM) of Sharpe (1964) and Lintner (1965).”
Marketing and Firm Value: Metrics, Methods, Findings, and Future Directions (2009, unknown): “The previously stated propositions establish that investors interpret many marketing initiatives, and therefore marketers may want to incorporate investor behavior in their actions.”
A Conditional Multifactor Analysis of Return Momentum (2002, unknown): “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.”
Credit Ratings and the Cross-Section of Stock Returns (2009, methodology): “We risk-adjust raw returns in time-series regressions using the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965) as well as the Fama and French (1993) three factor model.”
Applications of news analytics in finance: A review (2012, background): “The Capital Asset Pricing Model (CAPM) is the classical approach to pricing equities (Sharpe, 1964; Lintner, 1965).”
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…”
Valuation of CCS-ready coal-fired power plants: a multi-dimensional real options approach (2011, methodology): “…the derivation of McDonald and Siegel (1986) for the two-factor 10 case, the discount rate δ for the three-factor model is δ̃ = δCO2 + χδel + γδCTS, (21) According to the Capital Asset Pricing Model (CAPM; Sharpe, 1964; Lintner, 1965) the discount rate δi for asset i is given by δi = r + βρi,mσi.”