-
3
-
-
0003163002
-
The relationship between return and market value of common stocks
-
Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 6, 103-126.
-
(1981)
Journal of Financial Economics
, vol.6
, pp. 103-126
-
-
Banz, R.W.1
-
4
-
-
0001949247
-
A model of investor sentiment
-
Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307-343.
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 307-343
-
-
Barberis, N.1
Shleifer, A.2
Vishny, R.3
-
5
-
-
0007980113
-
Optimal investment, growth options, and security returns
-
forthcoming
-
Berk, Jonathan, Richard Green, and Vasant Naik, 1999, Optimal investment, growth options, and security returns, Journal of Finance, forthcoming.
-
(1999)
Journal of Finance
-
-
Berk, J.1
Green, R.2
Naik, V.3
-
6
-
-
21844499145
-
A tale of three schools: Insights on auto correlations of short-horizon stock returns
-
Boudoukh, Jacob, Matthew Richardson, and Robert Whitelaw, 1994a, A tale of three schools: Insights on auto correlations of short-horizon stock returns, Review of Financial Studies 7, 539-573.
-
(1994)
Review of Financial Studies
, vol.7
, pp. 539-573
-
-
Boudoukh, J.1
Richardson, M.2
Whitelaw, R.3
-
7
-
-
84993897536
-
Industry returns and the fisher effect
-
Boudoukh, Jacob, Matthew Richardson, and Robert Whitelaw, 1994b, Industry returns and the Fisher effect, Journal of Finance 49, 1595-1615.
-
(1994)
Journal of Finance
, vol.49
, pp. 1595-1615
-
-
Boudoukh, J.1
Richardson, M.2
Whitelaw, R.3
-
8
-
-
0002624840
-
On persistence in mutual fund performance
-
Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
-
(1997)
Journal of Finance
, vol.52
, pp. 57-82
-
-
Carhart, M.M.1
-
9
-
-
0001265109
-
Mean reversion in short-horizon expected returns
-
Conrad, Jennifer, and Gautum Kaul, 1989, Mean reversion in short-horizon expected returns, Review of Financial Studies 2, 225-240.
-
(1989)
Review of Financial Studies
, vol.2
, pp. 225-240
-
-
Conrad, J.1
Kaul, G.2
-
10
-
-
0039401916
-
An anatomy of trading strategies
-
Conrad, Jennifer, and Gautum Kaul, 1998, An anatomy of trading strategies, Review of Financial Studies 11, 489-520.
-
(1998)
Review of Financial Studies
, vol.11
, pp. 489-520
-
-
Conrad, J.1
Kaul, G.2
-
11
-
-
0039561990
-
Measuring mutual fund performance with characteristic-based benchmarks
-
Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russell Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.
-
(1997)
Journal of Finance
, vol.52
, pp. 1035-1058
-
-
Daniel, K.1
Grinblatt, M.2
Titman, S.3
Wermers, R.4
-
12
-
-
8744258405
-
A theory of overconfidence, self-attribution, and security market under-and overreactions
-
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, A theory of overconfidence, self-attribution, and security market under-and overreactions, Journal of Finance 53, 1839-1886.
-
(1998)
Journal of Finance
, vol.53
, pp. 1839-1886
-
-
Daniel, K.1
Hirshleifer, D.2
Subrahmanyam, A.3
-
13
-
-
0002014264
-
Evidence on the characteristics of cross-sectional variation in common stock returns
-
Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross-sectional variation in common stock returns, Journal of Finance 52, 1-34.
-
(1997)
Journal of Finance
, vol.52
, pp. 1-34
-
-
Daniel, K.1
Titman, S.2
-
14
-
-
84900013243
-
Does the stock market overreact?
-
DeBondt, Werner F. M., and Richard 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.2
-
15
-
-
84977737676
-
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
-
16
-
-
0002553566
-
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 53, 427-465.
-
(1993)
Journal of Financial Economics
, vol.53
, pp. 427-465
-
-
Fama, E.F.1
French, K.R.2
-
17
-
-
0013413658
-
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
-
18
-
-
0031066567
-
Industry costs of equity
-
Fama, Eugene F., and Kenneth R. French, 1997, Industry costs of equity, Journal of Financial Economics 43, 153-193.
-
(1997)
Journal of Financial Economics
, vol.43
, pp. 153-193
-
-
Fama, E.F.1
French, K.R.2
-
19
-
-
0000928969
-
Risk, return, and equilibrium: Empirical tests
-
Fama, Eugene F., and James MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 71, 607-636.
-
(1973)
Journal of Political Economy
, vol.71
, pp. 607-636
-
-
Fama, E.F.1
MacBeth, J.2
-
20
-
-
0001534103
-
A test of the efficiency of a given portfolio
-
Gibbons, Michael, Stephen Ross, and Jay Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121-1152.
-
(1989)
Econometrica
, vol.57
, pp. 1121-1152
-
-
Gibbons, M.1
Ross, S.2
Shanken, J.3
-
21
-
-
0000660071
-
Another look at the role of the industrial structure of markets for international diversification strategies
-
Griffin, John M., and G. Andrew Karolyi, 1998, Another look at the role of the industrial structure of markets for international diversification strategies, Journal of Financial Economics 50, 351-373.
-
(1998)
Journal of Financial Economics
, vol.50
, pp. 351-373
-
-
Griffin, J.M.1
Karolyi, G.A.2
-
24
-
-
0002268752
-
Does industrial structure explain the benefits of international diversification?
-
Heston, S. L., and Rouwenhorst, K. G., 1994, Does industrial structure explain the benefits of international diversification?, Journal of Financial Economics 36, 3-27.
-
(1994)
Journal of Financial Economics
, vol.36
, pp. 3-27
-
-
Heston, S.L.1
Rouwenhorst, K.G.2
-
25
-
-
0000056303
-
Residual risk, trading costs, and commodity futures risk premia
-
Hirshleifer, David, 1988, Residual risk, trading costs, and commodity futures risk premia, Review of Financial Studies 1, 173-193.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 173-193
-
-
Hirshleifer, D.1
-
26
-
-
0041114443
-
Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies
-
forthcoming
-
Hong, Harrison, Terence Lim, and Jeremy C. Stein, 1999, Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies, Journal of Finance, forthcoming.
-
(1999)
Journal of Finance
-
-
Hong, H.1
Lim, T.2
Stein, J.C.3
-
27
-
-
0012166025
-
A unified theory of underreaction, momentum trading and overreaction in asset markets
-
forthcoming
-
Hong, Harrison, and Jeremy C. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance, forthcoming.
-
(1999)
Journal of Finance
-
-
Hong, H.1
Stein, J.C.2
-
28
-
-
84977718628
-
Evidence of predictable behavior of security returns
-
Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 881-898.
-
(1990)
Journal of Finance
, vol.45
, pp. 881-898
-
-
Jegadeesh, N.1
-
29
-
-
84993907227
-
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
-
30
-
-
0040988620
-
Short horizon return reversals and the bid-ask spread
-
Jegadeesh, Narasimhan, and Sheridan Titman, 1995a, Short horizon return reversals and the bid-ask spread, Journal of Financial Intermediation 4, 116-132.
-
(1995)
Journal of Financial Intermediation
, vol.4
, pp. 116-132
-
-
Jegadeesh, N.1
Titman, S.2
-
31
-
-
21844526648
-
Overreaction, delayed reaction, and contrarian profits
-
Jegadeesh, Narasimhan, and Sheridan Titman, 1995b, Overreaction, delayed reaction, and contrarian profits, Review of Financial Studies 8, 973-993.
-
(1995)
Review of Financial Studies
, vol.8
, pp. 973-993
-
-
Jegadeesh, N.1
Titman, S.2
-
32
-
-
84959689656
-
The pricing of exchange rate risk in the stock market
-
Jorion, Phillipe, 1991, The pricing of exchange rate risk in the stock market, Journal of Financial and Quantitative Analysis 26, 363-376.
-
(1991)
Journal of Financial and Quantitative Analysis
, vol.26
, pp. 363-376
-
-
Jorion, P.1
-
33
-
-
0002927733
-
Price reversals: Bid-ask errors or market overreaction?
-
Kaul, Gautum, and M. Nimalendran, 1990, Price reversals: Bid-ask errors or market overreaction?, Journal of Financial Economics 28, 67-83.
-
(1990)
Journal of Financial Economics
, vol.28
, pp. 67-83
-
-
Kaul, G.1
Nimalendran, M.2
-
35
-
-
84993869066
-
Contrarian investment, extrapolation, and risk
-
Lakonishok, Josef, Andrei Shleifer, and Robert 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.3
-
36
-
-
84963088616
-
Fads, martingales, and market efficiency
-
Lehman, Bruce, 1990, Fads, martingales, and market efficiency, Quarterly Journal of Economics 105, 1-28.
-
(1990)
Quarterly Journal of Economics
, vol.105
, pp. 1-28
-
-
Lehman, B.1
-
37
-
-
0002484986
-
Stock market prices do not follow random walks: Evidence from a simple specification test
-
Lo, Andrew W., and A. Craig MacKinlay, 1988, Stock market prices do not follow random walks: Evidence from a simple specification test, Review of Financial Studies 1, 41-66.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 41-66
-
-
Lo, A.W.1
MacKinlay, A.C.2
-
38
-
-
0001173683
-
When are contrarian profits due to stock market overreaction?
-
Lo, Andrew W., and A. Craig MacKinlay, 1990, When are contrarian profits due to stock market overreaction?, Review of Financial Studies 3, 175-205.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 175-205
-
-
Lo, A.W.1
MacKinlay, A.C.2
-
39
-
-
84977714155
-
Industrial structure and the comparative behavior of international stock market indexes
-
Roll, Richard, 1992, Industrial structure and the comparative behavior of international stock market indexes, Journal of Finance 47, 3-41.
-
(1992)
Journal of Finance
, vol.47
, pp. 3-41
-
-
Roll, R.1
-
40
-
-
0002624427
-
Persuasive evidence of market inefficiency
-
Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 11, 9-17.
-
(1985)
Journal of Portfolio Management
, vol.11
, pp. 9-17
-
-
Rosenberg, B.1
Reid, K.2
Lanstein, R.3
-
41
-
-
0040165125
-
International momentum strategies
-
Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Finance 53, 267-284.
-
(1998)
Journal of Finance
, vol.53
, pp. 267-284
-
-
Rouwenhorst, K.G.1
|