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Capital asset pricing model
OpenAlex concept - C181236170
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OpenAlex
C181236170
Smeal faculty
Timothy T. Simin
- score 3.4
Joel M. Vanden
- score 2.1
Mihail Velikov
- score 1.1
Charles Whiteman
- score 0.6
Giang Nguyen
- score 0.5
Papers
Habit formation: a resolution of the equity premium puzzle?
(2002)
- cites 159
The alpha factor asset pricing model: A parable
(1999)
- cites 131
The Alpha Factor Asset Pricing Model: A Parable
(1998)
- cites 127
The Poor Predictive Performance of Asset Pricing Models
(2008)
- cites 111
Model Comparison with Transaction Costs
(2023)
- cites 84
Option Coskewness and Capital Asset Pricing
(2006)
- cites 69
Options Trading and the CAPM
(2003)
- cites 62
Liquidity Risk and Asset Pricing
(2019)
- cites 53
Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
(2008)
- cites 52
The (Poor) Predictive Performance of Asset Pricing Models
(2006)
- cites 15
The Low-Risk Anomaly Revisited on High-Frequency Data
(2015)
- cites 2
Equilibrium asset pricing and the cross section of expected returns
(2021)
- cites 1