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Golden CAPM

https://doi.org/10.2139/ssrn.5581513
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(77)90009-5openalex-snapshot
A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory
inferredcites →https://doi.org/10.1016/0304-405x(81)90018-0openalex-snapshot
The relationship between return and market value of common stocks
inferredcites →https://doi.org/10.1016/0304-405x(82)90002-2openalex-snapshot
On the exclusion of assets from tests of the two-parameter model
inferredcites →https://doi.org/10.1016/0304-405x(84)90016-3openalex-snapshot
Risk and return
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jfineco.2009.09.001openalex-snapshot
A skeptical appraisal of asset pricing tests☆
inferredcites →https://doi.org/10.1016/j.jfineco.2013.10.005openalex-snapshot
Betting against beta
inferredcites →https://doi.org/10.1016/j.jfineco.2014.04.005openalex-snapshot
Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2015.08.010openalex-snapshot
Assessing asset pricing models using revealed preference
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.012openalex-snapshot
Choosing factors
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jfineco.2020.06.006openalex-snapshot
Asset Pricing: A Tale of Night and Day
inferredcites →https://doi.org/10.1016/j.jfineco.2021.04.014openalex-snapshot
Lucky factors
inferredcites →https://doi.org/10.1016/s0304-405x(01)00044-7openalex-snapshot
The theory and practice of corporate finance: evidence from the field
inferredcites →https://doi.org/10.1016/s0304-405x(02)00248-9openalex-snapshot
News related to future GDP growth as a risk factor in equity returns
inferredcites →https://doi.org/10.1017/s0022109019000589openalex-snapshot
Model Comparison with Sharpe Ratios
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/295472openalex-snapshot
Capital Market Equilibrium with Restricted Borrowing
inferredcites →https://doi.org/10.1086/296344openalex-snapshot
Economic Forces and the Stock Market
inferredcites →https://doi.org/10.1086/323282openalex-snapshot
Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
inferredcites →https://doi.org/10.1093/restud/rdad013openalex-snapshot
The Lost Capital Asset Pricing Model
inferredcites →https://doi.org/10.1093/rfs/15.3.751openalex-snapshot
Macroeconomic Factors Do Influence Aggregate Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhaa021openalex-snapshot
The Cross-Section of Risk and Returns
inferredcites →https://doi.org/10.1093/rfs/hhj025openalex-snapshot
Asset Pricing Models and Financial Market Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhr013openalex-snapshot
What Factors Drive Global Stock Returns?
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-snapshot
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhw054openalex-snapshot
Which Factors Matter to Investors? Evidence from Mutual Fund Flows
inferredcites →https://doi.org/10.1093/rfs/hhw101openalex-snapshot
Which Alpha?
inferredcites →https://doi.org/10.1093/rfs/hhw107openalex-snapshot
Mispricing Factors
inferredcites →https://doi.org/10.1093/rfs/hhy131openalex-snapshot
Replicating Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhz069openalex-snapshot
Short and Long Horizon Behavioral Factors
inferredcites →https://doi.org/10.1093/rof/rfaa004openalex-snapshot
An Augmented q -Factor Model with Expected Growth
inferredcites →https://doi.org/10.1111/0022-1082.00080openalex-snapshot
Value versus Growth: The International Evidence
inferredcites →https://doi.org/10.1111/1540-6261.00535openalex-snapshot
Pseudo Market Timing and the Long‐Run Underperformance of IPOs
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05166.xopenalex-snapshot
The New Issues Puzzle
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05233.xopenalex-snapshot
The CAPM is Wanted, Dead or Alive
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03806.xopenalex-snapshot
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb04813.xopenalex-snapshot
Assessing Specification Errors in Stochastic Discount Factor Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb04816.xopenalex-snapshot
On Stock Market Returns and Monetary Policy
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-snapshot
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/jofi.12189openalex-snapshot
Financial Intermediaries and the Cross‐Section of Asset Returns
inferredcites →https://doi.org/10.1111/jofi.12431openalex-snapshot
Speculative Betas
inferredcites →https://doi.org/10.1111/jofi.12607openalex-snapshot
Comparing Asset Pricing Models
inferredcites →https://doi.org/10.1111/jofi.12616openalex-snapshot
Margin Requirements and the Security Market Line
inferredcites →https://doi.org/10.1111/jofi.12778openalex-snapshot
What Is the Expected Return on a Stock?
inferredcites →https://doi.org/10.1111/jofi.12975openalex-snapshot
Information Consumption and Asset Pricing
inferredcites →https://doi.org/10.1257/0895330042162430openalex-snapshot
The Capital Asset Pricing Model: Theory and Evidence
inferredcites →https://doi.org/10.1287/mnsc.2022.4381openalex-snapshot
Explaining the Failure of the Unconditional CAPM with the Conditional CAPM
inferredcites →https://doi.org/10.2307/1910098openalex-snapshot
Equilibrium in a Capital Asset Market
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
inferredcites →https://doi.org/10.2307/1913811openalex-snapshot
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2469/faj.v35.n2.24openalex-snapshot
Inflation, Rational Valuation and the Market
inferredcites →https://doi.org/10.2469/faj.v69.n4.1openalex-snapshot
The Golden Dilemma
inferredcites →https://doi.org/10.4337/9781035305476openalex-snapshot
The Golden Constant
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