-
2
-
-
0001808611
-
Estimating expected return
-
Black, F. "Estimating Expected Return." Financial Analysts Journal, 49 (1993), 36-38.
-
(1993)
Financial Analysts Journal
, vol.49
, pp. 36-38
-
-
Black, F.1
-
6
-
-
84944835230
-
Some empirical tests of the theory of arbitrage pricing
-
Chen, N.-F. "Some Empirical Tests of the Theory of Arbitrage Pricing." Journal of Finance, 38 (1983), 1393-1414.
-
(1983)
Journal of Finance
, vol.38
, pp. 1393-1414
-
-
Chen, N.-F.1
-
8
-
-
0000531103
-
Measuring abnormal performance: Do stocks overreact?
-
Chopra, N.; J. Lakonishok; and J. R. Ritter. "Measuring Abnormal Performance: Do Stocks Overreact?" Journal of Financial Economics, 31 (1992), 235-268.
-
(1992)
Journal of Financial Economics
, vol.31
, pp. 235-268
-
-
Lakonishok, J.1
Ritter, J.R.2
-
9
-
-
0002498759
-
A unified beta pricing theory
-
Connor, G. "A Unified Beta Pricing Theory." Journal of Economic Theory, 34 (1984), 13-31.
-
(1984)
Journal of Economic Theory
, vol.34
, pp. 13-31
-
-
Connor, G.1
-
10
-
-
33646972178
-
Risk and return in an equilibrium APT: Application of a new test methodology
-
Connor, G., and R. A. Korajczyk. "Risk and Return in an Equilibrium APT: Application of a New Test Methodology." Journal of Financial Economics, 21 (1988), 255-289.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 255-289
-
-
Connor, G.1
Korajczyk, R.A.2
-
11
-
-
84993900539
-
A test for the number of factors in an approximate factor model
-
_. "A Test for the Number of Factors in an Approximate Factor Model." Journal of Finance, 48 (1993), 1263-1291.
-
(1993)
Journal of Finance
, vol.48
, pp. 1263-1291
-
-
-
12
-
-
0001882764
-
Admissible uncertainty in the intertemporal asset pricing model
-
Constantinidcs, G. M. "Admissible Uncertainty in the Intertemporal Asset Pricing Model." Journal of Financial Economics, 8 (1980), 71-86.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 71-86
-
-
Constantinidcs, G.M.1
-
13
-
-
0002014264
-
Evidence on the characteristics of cross sectional variation in stock returns
-
Daniel, K., and S. Titman. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns." Journal of Finance, 52 (1997), 1-33.
-
(1997)
Journal of Finance
, vol.52
, pp. 1-33
-
-
Daniel, K.1
Titman, S.2
-
14
-
-
84900013243
-
Does the stock market overreact?
-
DeBondt, W. F. M., and R. H. Thaler. "Does the Stock Market Overreact?" Journal of Finance, 40 (1985), 793-805.
-
(1985)
Journal of Finance
, vol.40
, pp. 793-805
-
-
DeBondt, W.F.M.1
Thaler, R.H.2
-
15
-
-
8344256041
-
A critical reexamination of the empirical evidence on the arbitrage pricing theory
-
Dhrymes, P. J.; I. Friend; and N. B. Gultekin. "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory." Journal of Finance, 39 (1984), 323-346.
-
(1984)
Journal of Finance
, vol.39
, pp. 323-346
-
-
Dhrymes, P.J.1
Friend, I.2
Gultekin, N.B.3
-
16
-
-
21144474059
-
Efficiency with costly information: A reinterpretation of evidence from managed portfolios
-
Elton, E. J.; M. J. Gruber; S. Das; and M. Hlavka. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios." Review of Financial Studies, 6 (1993), 1-22.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 1-22
-
-
Elton, E.J.1
Gruber, M.J.2
Das, S.3
Hlavka, M.4
-
18
-
-
34250890715
-
Business conditions and expected returns on stocks and bonds
-
Fama, E. F., and K. R. French. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics, 25 (1989), 23-49.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 23-49
-
-
Fama, E.F.1
French, K.R.2
-
19
-
-
84977737676
-
The cross-section of expected stock returns
-
_. "The Cross-Section of Expected Stock Returns." Journal of Finance, 47 (1992), 427-465.
-
(1992)
Journal of Finance
, vol.47
, pp. 427-465
-
-
-
20
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
_. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), 3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
-
21
-
-
84993845943
-
Size and book-to-market factors in earnings and returns
-
_. "Size and Book-to-Market Factors in Earnings and Returns." Journal of Finance, 50 (1995), 131-155.
-
(1995)
Journal of Finance
, vol.50
, pp. 131-155
-
-
-
22
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
_. "Multifactor Explanations of Asset Pricing Anomalies." Journal of Finance, 51 (1996a), 55-84.
-
(1996)
Journal of Finance
, vol.51
, pp. 55-84
-
-
-
23
-
-
0012932442
-
The CAPM is wanted, dead or alive
-
_. "The CAPM is Wanted, Dead or Alive." Journal of Finance, 51 (1996b), 1947-1958.
-
(1996)
Journal of Finance
, vol.51
, pp. 1947-1958
-
-
-
24
-
-
0031066567
-
Industry costs of equity
-
_. "Industry Costs of Equity." Journal of Financial Economics, 43 (1997), 153-193.
-
(1997)
Journal of Financial Economics
, vol.43
, pp. 153-193
-
-
-
27
-
-
21344486016
-
The risk and predictability of international equity returns
-
_. "The Risk and Predictability of International Equity Returns." Review of Financial Studies, 6 (1993), 527-566.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 527-566
-
-
-
28
-
-
84971947408
-
A study of monthly mutual fund returns and performance evaluation techniques
-
Grinblatt, M., and S. Titman. "A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques." Journal of Financial and Quantitative Analysis, 29 (1994), 419-444.
-
(1994)
Journal of Financial and Quantitative Analysis
, vol.29
, pp. 419-444
-
-
Grinblatt, M.1
Titman, S.2
-
29
-
-
84977717050
-
Earnings yields, market values, and stock returns
-
Jaffe, J.; D. B. Keim; and R. Westerfield. "Earnings Yields, Market Values, and Stock Returns." Journal of Finance, 44 (1989), 135-148.
-
(1989)
Journal of Finance
, vol.44
, pp. 135-148
-
-
Jaffe, J.1
Keim, D.B.2
Westerfield, R.3
-
30
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for stock market efficiency
-
Jegadeesh, N., and S. Titman. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, 48 (1993), 65-91.
-
(1993)
Journal of Finance
, vol.48
, pp. 65-91
-
-
Jegadeesh, N.1
Titman, S.2
-
31
-
-
46149129689
-
Predicting returns in the stock and bond markets
-
Keim, D. B., and R. F. Stambaugh. "Predicting Returns in the Stock and Bond Markets." Journal of Financial Economics, 17 (1986), 357-390.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 357-390
-
-
Keim, D.B.1
Stambaugh, R.F.2
-
32
-
-
0000113873
-
An empirical investigation of international asset pricing
-
Korajczyk, R. A., and C. J. Viallet. "An Empirical Investigation of International Asset Pricing." Review of Financial Studies, 2 (1989), 553-585.
-
(1989)
Review of Financial Studies
, vol.2
, pp. 553-585
-
-
Korajczyk, R.A.1
Viallet, C.J.2
-
34
-
-
84993869066
-
Contrarian investment, extrapolation, and risk
-
Lakonishok, J.; A. Shleifer; and R. W. Vishny. "Contrarian Investment, Extrapolation, and Risk." Journal of Finance, 49 (1994), 1541-1578.
-
(1994)
Journal of Finance
, vol.49
, pp. 1541-1578
-
-
Lakonishok, J.1
Shleifer, A.2
Vishny, R.W.3
-
35
-
-
0000288739
-
The empirical foundations of the arbitrage pricing theory
-
Lehmann, B. N., and D. M. Modest. "The Empirical Foundations of the Arbitrage Pricing Theory." Journal of Financial Economics, 21 (1988), 213-254.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 213-254
-
-
Lehmann, B.N.1
Modest, D.M.2
-
36
-
-
84977714155
-
Industrial structure and the comparative behavior of international stock indexes
-
Roll, R. "Industrial Structure and the Comparative Behavior of International Stock Indexes." Journal of Finance, 47 (1992), 3-41.
-
(1992)
Journal of Finance
, vol.47
, pp. 3-41
-
-
Roll, R.1
-
37
-
-
0010179854
-
Style return differentials; illusions, risk premiums, or investment opportunities?
-
T. D. Coggin and F. J. Fabozzi, eds. New Hope, PA: Frank J. Fabozzi Associates
-
_. "Style Return Differentials; Illusions, Risk Premiums, or Investment Opportunities?" In The Handbook of Equity Style Management, T. D. Coggin and F. J. Fabozzi, eds. New Hope, PA: Frank J. Fabozzi Associates (1995).
-
(1995)
The Handbook of Equity Style Management
-
-
-
38
-
-
84977397160
-
An empirical investigation of the arbitrage pricing theory
-
Roll, R., and S. A. Ross. "An Empirical Investigation of the Arbitrage Pricing Theory." Journal of Finance, 35 (1980), 1073-1103.
-
(1980)
Journal of Finance
, vol.35
, pp. 1073-1103
-
-
Roll, R.1
Ross, S.A.2
-
39
-
-
84974487407
-
Extra-market components of covariance in security returns
-
Rosenberg, B. "Extra-Market Components of Covariance in Security Returns." Journal of Financial and Quantitative Analysis, 9 (1974), 263-273.
-
(1974)
Journal of Financial and Quantitative Analysis
, vol.9
, pp. 263-273
-
-
Rosenberg, B.1
-
40
-
-
0000822231
-
Tests of capital asset pricing hypotheses
-
Rosenberg, B., and V. Marathe. "Tests of Capital Asset Pricing Hypotheses." Research in Finance, 1 (1979), 115-223.
-
(1979)
Research in Finance
, vol.1
, pp. 115-223
-
-
Rosenberg, B.1
Marathe, V.2
-
42
-
-
49549135545
-
The arbitrage theory of capital asset pricing
-
Ross, S. A. "The Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory, 13 (1976), 341-360.
-
(1976)
Journal of Economic Theory
, vol.13
, pp. 341-360
-
-
Ross, S.A.1
-
43
-
-
0001783260
-
On the estimation of beta pricing models
-
Shanken, J. "On the Estimation of Beta Pricing Models." Review of Financial Studies, 5 (1992), 1-33.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 1-33
-
-
Shanken, J.1
-
45
-
-
0010805076
-
The capital asset pricing model: A "multi-beta" interpretation
-
H. Levy and M. Sarnat, eds. New York, NY: Academic Press
-
Sharpe, W. F. "The Capital Asset Pricing Model: A "Multi-Beta" Interpretation." In Financial Decision Making under Uncertainty, H. Levy and M. Sarnat, eds. New York, NY: Academic Press (1977).
-
(1977)
Financial Decision Making under Uncertainty
-
-
Sharpe, W.F.1
-
46
-
-
0001912233
-
Factors in NYSE security returns, 1931-1979
-
_. "Factors in NYSE Security Returns, 1931-1979." Journal of Portfolio Management, 8 (1982), 5-19.
-
(1982)
Journal of Portfolio Management
, vol.8
, pp. 5-19
-
-
-
47
-
-
0002716956
-
Asset allocation: Management style and performance measurement
-
_. "Asset Allocation: Management Style and Performance Measurement." Journal of Portfolio Management, 18 (1992), 7-19.
-
(1992)
Journal of Portfolio Management
, vol.18
, pp. 7-19
-
-
-
48
-
-
48549112534
-
Risk and return: January vs. the rest of the year
-
Tinic, S. M., and R. R. West. "Risk and Return: January vs. the Rest of the Year." Journal of Financial Economics, 13 (1984), 561-574.
-
(1984)
Journal of Financial Economics
, vol.13
, pp. 561-574
-
-
Tinic, S.M.1
West, R.R.2
-
49
-
-
0001540236
-
On the number of factors in the arbitrage pricing model
-
Trzcinka, C. "On the Number of Factors in the Arbitrage Pricing Model." Journal of Finance, 41 (1986), 347-368.
-
(1986)
Journal of Finance
, vol.41
, pp. 347-368
-
-
Trzcinka, C.1
|