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The Elusive CAPM: Idiosyncratic News and the Tilt of the Security Market Line
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.003openalex-snapshot
Investor attention, overconfidence and category learning
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.2020.06.006openalex-snapshot
Asset Pricing: A Tale of Night and Day
inferredcites →https://doi.org/10.1016/j.jfineco.2021.06.022openalex-snapshot
Asset pricing on earnings announcement days
inferredcites →https://doi.org/10.1016/j.jfineco.2021.08.002openalex-snapshot
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
inferredcites →https://doi.org/10.1016/j.jfineco.2023.05.003openalex-snapshot
Economic uncertainty and investor attention
inferredcites →https://doi.org/10.1017/s0022109021000090openalex-snapshot
Investor Attention and Stock Returns
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/10.1093/rapstu/raae007openalex-snapshot
Equity Return Predictability with the ICAPM
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-snapshot
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhx031openalex-snapshot
It Depends on Where You Search: Institutional Investor Attention and Underreaction to News
inferredcites →https://doi.org/10.1093/rfs/hhy083openalex-snapshot
Information, Trading, and Volatility: Evidence from Firm-Specific News
inferredcites →https://doi.org/10.1111/j.1467-937x.2006.00397.xopenalex-snapshot
Information Markets and the Comovement of Asset Prices
inferredcites →https://doi.org/10.1111/j.1475-679x.2008.00318.xopenalex-snapshot
Do Managers Withhold Bad News?
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.1540-6261.2009.01493.xopenalex-snapshot
Media Coverage and the Cross‐section of Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12361openalex-snapshot
Earnings Announcements and Systematic Risk
inferredcites →https://doi.org/10.1111/jofi.12616openalex-snapshot
Margin Requirements and the Security Market Line
inferredcites →https://doi.org/10.1111/jofi.12975openalex-snapshot
Information Consumption and Asset Pricing
inferredcites →https://doi.org/10.1257/aer.101.7.2955openalex-snapshot
Endogenous Information Flows and the Clustering of Announcements
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/10.2307/3595365openalex-snapshot
Law, Share Price Accuracy, and Economic Performance: The New Evidence
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