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H. Benishay (1973)
Market Preferences for Characteristics of Common StocksThe Economic Journal, 83
U. Ben-Zion, S. Shalit (1975)
SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISKJournal of Finance, 30
E. Fama, James MacBeth (1973)
Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 81
M. Rothkopf (1969)
A Model of Rational Competitive BiddingManagement Science, 15
Richard McEnally (1974)
A NOTE ON THE RETURN BEHAVIOR OF HIGH RISK COMMON STOCKSJournal of Finance, 29
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I. Friend, E. Herman (1964)
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John John (August 1962)
Dividends, Earnings, Leverage, Stock Prices and the Supply of Capital to CorporationsReview of Economics and Statistics, Vol. XLIV
W. Breen, E. Lerner (1973)
CORPORATE FINANCIAL STRATEGIES AND MARKET MEASURES OF RISK AND RETURNJournal of Finance, 28
E. Miller (1978)
Portfolio Selection in a Fluctuating EconomyFinancial Analysts Journal, 34
R. Pettit, R. Westerfield (1974)
Using the Capital Asset Pricing Model and the Market Model to Predict Security ReturnsJournal of Financial and Quantitative Analysis, 9
F. Bell (1974)
The Relation of the Structure of Common Stock Prices to Historical, Expectational and Industrial VariablesJournal of Finance, 29
J. Lintner (1969)
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R. Smith (1967)
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E. Capen, R. Clapp, W. Campbell (1971)
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Lawrence Schall (1972)
Asset Valuation, Firm Investment, and Firm DiversificationThe Journal of Business, 45
Thomas Noddings (1973)
The Dow Jones-Irwin guide to convertible securities
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A Comparative Multivariate Analysis of Factors Affecting Stock ReturnsThe Financial Review, 10
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Barr Rosenberg., W. Mckibben (1973)
The Prediction of Systematic and Specific Risk in Common StocksJournal of Financial and Quantitative Analysis, 8
Edward Edward (July 1972)
Oral and Sealed Bidding, Efficiency versus EquityNatural Resources Journal, 12
Robert Hamada (1972)
THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKSJournal of Finance, 27
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STABILITY OF EFFICIENT PORTFOLIOS UNDER UNCERTAINTYJournal of Finance, 30
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A Note on the Apparent Bias of Net Revenue Estimates for Capital Investment ProjectsJournal of Finance, 29
M. Adelman, P. Bradley, C. Norman (1971)
Alaskan oil: costs and supply
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M. Jensen, F. Black, Myron Scholes (2006)
The Capital Asset Pricing Model: Some Empirical TestsCapital Markets: Asset Pricing & Valuation
P. Robinson (1976)
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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*Journal of Finance, 19
F. Black, Myron Scholes (1973)
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New Issue Stock BehaviorJournal of Finance, Vol. XXVII
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A Random Walk Down Wall Street
Robert Robert, Roger Roger (June 1969)
Risk‐Premium Curve for Different Classes of Long‐Term Securities, 1950–1966Journal of Finance, Vol. XXIV
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Public Regulation of the Securities MarketsThe Journal of Business, 37
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Robert Robert, Heins Heins (December 1975)
Risk and the Rate of Return on Financial Assets, Some Old Wine in New BottlesJournal of Financial and Quantitative Analysis, Vol. X
SEPTEMBER 1977 RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION EDWARD MILLER* M. THE THEORY OF investor behavior in a world of uncertainty has been set out by several writers including Sharpe (1964) and Lintner (Feb. 1965). A key assumption of the now standard capital asset model is what Sharpe calls homothetic expectations. All investors are assumed to have identical estimates of the expected return and probability distribution of return from all securities. However, it is implausible to assume that although the future is very uncertain, and forecasts are very difficult to make, that somehow everyone makes identical estimates of the return and risk from every security. In practice, the very concept of uncertainty implies that reasonable men may differ in their forecasts. This paper will explore some of the implications of a market with restricted short selling in which investors have differing estimates of the returns from investing in a risky security.' Explanations will be offered for the very low returns on the stocks in the highest risk classes, the poor long run results on new issues of stocks, the presence of discounts from net value for closed end investment companies, and the lower than predicted rates of return
The Journal of Finance – Wiley
Published: Sep 1, 1977
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