Capital Market Equilibrium with Restricted Borrowing
1972/01/01 by Fischer Black · 23 citations
Economics, Econometrics and Finance · #Economic theories and models
paper · doi:10.1086/295472
Cited by
- Risk, Return, and Equilibrium: Empirical Tests
- Voluntary Disclosure, Earnings Quality, and Cost of Capital
- A Simple Model of Capital Market Equilibrium with Incomplete Information
- Volatility‐Managed Portfolios
- Two‐Pass Tests of Asset Pricing Models with Useless Factors
- Conditioning Variables and the Cross Section of Stock Returns
- A Lottery-Demand-Based Explanation of the Beta Anomaly
- Intra-Industry Effects of the Accident at Three Mile Island
- An estimator for predictive regression: reliable inference for financial economics
- Betting against beta
- Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars
- Robustifying Conditional Portfolio Decisions via Optimal Transport
- Reference-dependent preferences and the risk–return trade-off
- Risk appetite and (mis)pricing
- A New Look on Financial Markets Co-Movement through Cooperative Dynamics in Many-Body Physics. [europepmc]
- Portfolio Optimization with a Mean-Entropy-Mutual Information Model. [europepmc]
- Research on interaction of innovation spillovers in the AI, Fin-Tech, and IoT industries: considering structural changes accelerated by COVID-19. [europepmc]
- Contextualist model evaluation: models in financial economics and index funds. [europepmc]
- Predictive effect of investor sentiment on current and future returns in emerging equity markets. [europepmc]
- Volatility and the Cross-Section of Real Estate Equity Returns during Covid-19. [europepmc]
- A heuristic model for the cost of capital of healthcare facilities: estimates for five countries. [europepmc]
- How the pandemic taught us to turn smart beta into real alpha [europepmc]
- Factor investing and asset allocation strategies: a comparison of factor versus sector optimization [europepmc]