IDEAS home Printed from https://ideas.repec.org/r/nbr/nberwo/23226.html
   My bibliography  Save this item

The Investment CAPM

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
  2. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
  3. Wikrom Prombutr & Chanwit Phengpis & Ying Zhang, 2023. "Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory," International Real Estate Review, Global Social Science Institute, vol. 26(1), pages 43-71.
  4. Lin, Qi, 2022. "Understanding idiosyncratic momentum in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  5. Cao, Viet Nga & Gray, Philip & Zhong, Angel, 2019. "Investment-related anomalies in Australia: Evidence and explanations," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 97-109.
  6. Gregory Nazaire & Maria Pacurar & Oumar Sy, 2020. "Betas versus characteristics: A practical perspective," European Financial Management, European Financial Management Association, vol. 26(5), pages 1385-1413, November.
  7. Di Li & Erica X. N. Li, 2018. "Corporate Governance and Costs of Equity: Theory and Evidence," Management Science, INFORMS, vol. 64(1), pages 83-101, January.
  8. I-Cheng Yeh, 2023. "Synergy frontier of multi-factor stock selection model," OPSEARCH, Springer;Operational Research Society of India, vol. 60(1), pages 445-480, March.
  9. Avdhesh Kumar Shukla & Tara Shankar Shaw, 2023. "Long-run Stock Return of IPO Firms in India: Examining Investment and Profitability Hypothesis," Vikalpa: The Journal for Decision Makers, , vol. 48(1), pages 21-38, March.
  10. Altieri, Michela & Schnitzler, Jan, 2023. "Quarterly investment spikes, stock returns, and the investment factor," Journal of Financial Markets, Elsevier, vol. 66(C).
  11. Chue, Timothy K. & Xu, Jin Karen, 2022. "Profitability, asset investment, and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 143(C).
  12. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
  13. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
  14. Te‐Feng Chen & Lei Sun & K. C. John Wei & Feixue Xie, 2018. "The profitability effect: Insights from international equity markets," European Financial Management, European Financial Management Association, vol. 24(4), pages 545-580, September.
  15. Danilo Leal & Rodrigo Jiménez & Marco Riquelme & Víctor Leiva, 2023. "Elliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationale," Mathematics, MDPI, vol. 11(6), pages 1-27, March.
  16. Belo, Frederico & Gala, Vito D. & Salomao, Juliana & Vitorino, Maria Ana, 2022. "Decomposing firm value," Journal of Financial Economics, Elsevier, vol. 143(2), pages 619-639.
  17. Chen, Jia & Xu, Xin & Yao, Tong, 2023. "Capital mobility and the long-run return–risk trade-offs of industry portfolios," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 123-143.
  18. Andrew Detzel & Philipp Schaberl & Jack Strauss, 2018. "There are two very different accruals anomalies," European Financial Management, European Financial Management Association, vol. 24(4), pages 581-609, September.
  19. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
  20. Bianchi, Francesco, 2020. "The Great Depression and the Great Recession: A view from financial markets," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
  21. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Which Factors?," Review of Finance, European Finance Association, vol. 23(1), pages 1-35.
  22. David, Joel M. & Schmid, Lukas & Zeke, David, 2022. "Risk-adjusted capital allocation and misallocation," Journal of Financial Economics, Elsevier, vol. 145(3), pages 684-705.
  23. Lin, Qi & Lin, Xi, 2019. "Expected profitability and the cross-section of stock returns," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
  24. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
  25. Guo, Bin & Huang, Fuzhe & Li, Kai, 2022. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  26. Zhimin (Jimmy) Yu, 2023. "Cross-Section of Returns, Predictors Credibility, and Method Issues," JRFM, MDPI, vol. 16(1), pages 1-12, January.
  27. Pan, Shuiyang & Long, Suwan(Cheng) & Wang, Yiming & Xie, Ying, 2023. "Nonlinear asset pricing in Chinese stock market: A deep learning approach," International Review of Financial Analysis, Elsevier, vol. 87(C).
  28. Yu, Hsin-Yi & Chen, Li-Wen & Chen, Chang-Yi, 2022. "The profitability effect: An evaluation of alternative explanations," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  29. Priyank Gandhi, 2018. "The relation between bank credit growth and the expected returns of bank stocks," European Financial Management, European Financial Management Association, vol. 24(4), pages 610-649, September.
  30. Qi Lin, 2020. "Idiosyncratic momentum and the cross‐section of stock returns: Further evidence," European Financial Management, European Financial Management Association, vol. 26(3), pages 579-627, June.
  31. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
  32. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
  33. Samuel Xin Liang, 2019. "What drives stock returns in Japan?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 39-69, March.
  34. George, Thomas J. & Hwang, Chuan-Yang & Li, Yuan, 2018. "The 52-week high, q-theory, and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 128(1), pages 148-163.
  35. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
  36. Bianchi, Francesco, 2008. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," MPRA Paper 20831, University Library of Munich, Germany, revised 01 Jan 2010.
  37. Min, Byoung-Kyu & Qiu, Buhui & Roh, Tai-Yong, 2022. "What drives the dispersion anomaly?," Journal of Banking & Finance, Elsevier, vol. 138(C).
  38. Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
  39. Jian Wang & Yanhuang Huang & Hongrui Feng & Xingjian Li & Shu Yan, 2023. "CEO incentive compensation and stock price momentum," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 975-1028, April.
  40. Kilic, Mete & Yang, Louis & Zhang, Miao Ben, 2022. "The cross-section of investment and profitability: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 145(3), pages 706-724.
  41. Jun Li, 2019. "Explaining Momentum and Value Simultaneously," Management Science, INFORMS, vol. 64(9), pages 4239-4260, September.
  42. Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.
  43. Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.