메뉴 건너뛰기




Volumn 52, Issue 1, 1997, Pages 1-33

Evidence on the characteristics of cross sectional variation in stock returns

(2)  Daniel, Kent a   Titman, Sheridan a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0002014264     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1997.tb03806.x     Document Type: Article
Times cited : (1093)

References (35)
  • 2
    • 0007929265 scopus 로고
    • The relationship between return and the market value of common stocks
    • Banz, Rolf W., 1981, The relationship between return and the market value of common stocks, Journal of Financial and Quantitative Analysis 14, 421-441.
    • (1981) Journal of Financial and Quantitative Analysis , vol.14 , pp. 421-441
    • Banz, R.W.1
  • 3
    • 0040197221 scopus 로고
    • The relationship between earnings yield, market value, and return for NYSE common stocks
    • Basu, S., 1983, The relationship between earnings yield, market value, and return for NYSE common stocks. Journal of Financial Economics 12, 126-156.
    • (1983) Journal of Financial Economics , vol.12 , pp. 126-156
    • Basu, S.1
  • 4
    • 84977705340 scopus 로고
    • Debt/equity ratios and expected common stock returns: Empirical evidence
    • Bhandari, Laxmi C., 1988, Debt/equity ratios and expected common stock returns: Empirical evidence, Journal of Finance 43, 507-528.
    • (1988) Journal of Finance , vol.43 , pp. 507-528
    • Bhandari, L.C.1
  • 5
    • 84922463168 scopus 로고
    • Structural and return characteristics of small and large firms
    • Chan, K. C., and Nai-Fu Chen, 1991, Structural and return characteristics of small and large firms, Journal of Finance 46, 1467-1484.
    • (1991) Journal of Finance , vol.46 , pp. 1467-1484
    • Chan, K.C.1    Chen, N.-F.2
  • 7
    • 0039341185 scopus 로고
    • Issues in evaluating the performance of value versus glamour stocks: Selection bias, risk adjustment and data snooping
    • Chan, Louis K. C., Narasimhan Jegadeesh, and Josef Lakonishok, 1995, Issues in evaluating the performance of value versus glamour stocks: Selection bias, risk adjustment and data snooping, Journal of Financial Economics 38, 269-296.
    • (1995) Journal of Financial Economics , vol.38 , pp. 269-296
    • Chan, L.K.C.1    Jegadeesh, N.2    Lakonishok, J.3
  • 8
    • 0000496978 scopus 로고
    • Economic forces and the stock market
    • Chen, Nai-Fu, Richard Roll, and Stephen A. Ross, 1986, Economic forces and the stock market, Journal of Business 59, 383-403.
    • (1986) Journal of Business , vol.59 , pp. 383-403
    • Chen, N.-F.1    Roll, R.2    Ross, S.A.3
  • 11
    • 33646972178 scopus 로고
    • Risk and return in an equilibrium apt: Application of a new test methodology
    • Connor, Gregory, and Robert A. Korajczyk, 1988, Risk and return in an equilibrium apt: Application of a new test methodology, Journal of Financial Economics 21, 255-289.
    • (1988) Journal of Financial Economics , vol.21 , pp. 255-289
    • Connor, G.1    Korajczyk, R.A.2
  • 12
    • 84993906169 scopus 로고
    • The cross-section of realized stock returns: The pre-COMPUSTAT evidence
    • Davis, James L., 1994, The cross-section of realized stock returns: The pre-COMPUSTAT evidence, Journal of Finance 50, 1579-1593.
    • (1994) Journal of Finance , vol.50 , pp. 1579-1593
    • Davis, J.L.1
  • 13
    • 84900013243 scopus 로고
    • Does the stock market overreact?
    • DeBondt, Werner, F. M., and Richard H. Thaler, 1985, Does the stock market overreact?, Journal of Finance 40, 793-808.
    • (1985) Journal of Finance , vol.40 , pp. 793-808
    • DeBondt, W.F.M.1    Thaler, R.H.2
  • 14
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 15
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 17
    • 84993845943 scopus 로고
    • Size and book-to-market factors in earnings and returns
    • Fama, Eugene F., and Kenneth R. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-156.
    • (1995) Journal of Finance , vol.50 , pp. 131-156
    • Fama, E.F.1    French, K.R.2
  • 18
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanations of asset pricing anomalies
    • Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.F.1    French, K.R.2
  • 23
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 24
    • 48749147730 scopus 로고
    • Size related anomalies and stock return seasonality: Further evidence
    • Keim, Donald B., 1983, Size related anomalies and stock return seasonality: Further evidence, Journal of Financial Economics 12, 13-32.
    • (1983) Journal of Financial Economics , vol.12 , pp. 13-32
    • Keim, D.B.1
  • 25
    • 84993888629 scopus 로고
    • Another look at the cross-section of expected returns
    • Kothari, S. P., Jay Shanken, and Richard Sloan, 1995, Another look at the cross-section of expected returns Journal of Finance 50, 185-224.
    • (1995) Journal of Finance , vol.50 , pp. 185-224
    • Kothari, S.P.1    Shanken, J.2    Sloan, R.3
  • 27
    • 84993869066 scopus 로고
    • Contrarian investment, extrapolation, and risk
    • Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
    • (1994) Journal of Finance , vol.49 , pp. 1541-1578
    • Lakonishok, J.1    Shleifer, A.2    Vishny, R.W.3
  • 28
    • 0000288739 scopus 로고
    • Empirical foundations of the arbitrage pricing theory
    • Lehmann, Bruce, and David Modest, 1988, Empirical foundations of the arbitrage pricing theory, Journal of Financial Economics 21, 213-254.
    • (1988) Journal of Financial Economics , vol.21 , pp. 213-254
    • Lehmann, B.1    Modest, D.2
  • 29
    • 0007740284 scopus 로고
    • Multifactor models do not explain deviations from the CAPM
    • MacKinlay, A. Craig, 1995, Multifactor models do not explain deviations from the CAPM. Journal of Financial Economics 38, 3-28.
    • (1995) Journal of Financial Economics , vol.38 , pp. 3-28
    • MacKinlay, A.C.1
  • 30
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 31
    • 0000294096 scopus 로고
    • The cost of capital, corporation finance, and the theory of investment
    • Modigliani, Franco, and Merton Miller, 1958, The cost of capital, corporation finance, and the theory of investment, American Economic Review 53, 261-297.
    • (1958) American Economic Review , vol.53 , pp. 261-297
    • Modigliani, F.1    Miller, M.2
  • 34
    • 49549135545 scopus 로고
    • The arbitrage theory of capital asset pricing
    • Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
    • (1976) Journal of Economic Theory , vol.13 , pp. 341-360
    • Ross, S.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.