This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

Most empirical studies of the static CAPM assume that betas remain constant over time and
that the return on the value‐weighted portfolio of all stocks is a proxy for the return on …

Even the best Wall Street investors make mistakes. No matter how savvy or experienced, all
financial practitioners eventually let bias, overconfidence, and emotion cloud their …

The number of published event studies exceeds 500, and the literature continues to grow.
We provide an overview of event study methods. Short-horizon methods are quite reliable …

We find that the determinants of the cross-section of expected stock returns are stable in
their identity and influence from period to period and from country to country. Out-of-sample …

Our examination of the cross‐section of expected returns reveals economically and
statistically significant compensation (about 6 to 9 percent per annum) for beta risk when …

For over half a century, financial experts have regarded the movements of markets as a
random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this …

This paper develops a capital asset pricing theory in a market where noise traders interact
with information traders. Noise traders are traders who commit cognitive errors while …

ABSTRACT Kothari, Shanken, and Sloan (1995) claim that βs from annual returns produce a
stronger positive relation between β and average return than βs from monthly returns. They …

A number of studies have presented evidence rejecting the validity of the Sharpe-Lintner
capital asset pricing model (CAPM). Possible alternatives include risk-based models, such …