-
2
-
-
38949092058
-
Finite bubbles with short-sale constraints and asymmetric information
-
F. Allen S. Morris A. Postlewaite Finite bubbles with short-sale constraints and asymmetric information Journal of Economic Theory 61 1993 206-229
-
(1993)
Journal of Economic Theory
, vol.61
, pp. 206-229
-
-
Allen, F.1
Morris, S.2
Postlewaite, A.3
-
4
-
-
27244445702
-
The cross-section of volatility and expected returns
-
forthcoming
-
Ang, A., Hodrick, R.J., Xing, Y., Zhang, X., 2004. The cross-section of volatility and expected returns. Journal of Finance, forthcoming.
-
(2004)
Journal of Finance
-
-
Ang, A.1
Hodrick, R.J.2
Xing, Y.3
Zhang, X.4
-
5
-
-
85040391949
-
Market structure and reported trading volume: Nasdaq versus the NYSE
-
A.B. Atkins E.A. Dyl Market structure and reported trading volume: Nasdaq versus the NYSE Journal of Financial Research 20 1997 291-304
-
(1997)
Journal of Financial Research
, vol.20
, pp. 291-304
-
-
Atkins, A.B.1
Dyl, E.A.2
-
6
-
-
0000069353
-
Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
-
M.J. Brennan T. Chordia A. Subrahmanyam Alternative factor specifications, security characteristics, and the cross-section of expected stock returns Journal of Financial Economics 49 1998 345-373
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 345-373
-
-
Brennan, M.J.1
Chordia, T.2
Subrahmanyam, A.3
-
8
-
-
0000433727
-
A variance decomposition for stock returns
-
J.Y. Campbell A variance decomposition for stock returns Economic Journal 101 1991 157-179
-
(1991)
Economic Journal
, vol.101
, pp. 157-179
-
-
Campbell, J.Y.1
-
9
-
-
0040291438
-
Asset pricing at the millennium
-
J.Y. Campbell Asset pricing at the millennium Journal of Finance 55 2000 1515-1567
-
(2000)
Journal of Finance
, vol.55
, pp. 1515-1567
-
-
Campbell, J.Y.1
-
10
-
-
0034403599
-
The value of active mutual fund management: An examination of the stock holdings and trades of fund managers
-
H.-L. Chen N. Jegadeesh R. Wermers The value of active mutual fund management: An examination of the stock holdings and trades of fund managers Journal of Financial and Quantitative Analysis 35 2000 343-368
-
(2000)
Journal of Financial and Quantitative Analysis
, vol.35
, pp. 343-368
-
-
Chen, H.-L.1
Jegadeesh, N.2
Wermers, R.3
-
12
-
-
27244435132
-
The link between short sale constraints and stock prices
-
Unpublished working paper. London Business School, London, UK
-
Cohen, L., Diether, K.B., Malloy, C., 2004. The link between short sale constraints and stock prices. Unpublished working paper. London Business School, London, UK.
-
(2004)
-
-
Cohen, L.1
Diether, K.B.2
Malloy, C.3
-
13
-
-
74949097020
-
Who underreacts to cash-flow news? Evidence from trading between individuals and institutions
-
R.B. Cohen P.A. Gompers T. Vuolteenaho Who underreacts to cash-flow news? Evidence from trading between individuals and institutions Journal of Financial Economics 66 2002 409-462
-
(2002)
Journal of Financial Economics
, vol.66
, pp. 409-462
-
-
Cohen, R.B.1
Gompers, P.A.2
Vuolteenaho, T.3
-
16
-
-
0001675669
-
Constraints on short-selling and asset price adjustment to private information
-
D.W. Diamond R.E. Verrechia Constraints on short-selling and asset price adjustment to private information Journal of Financial Economics 18 1987 277-311
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 277-311
-
-
Diamond, D.W.1
Verrechia, R.E.2
-
17
-
-
0041669468
-
Differences of opinion and the cross-section of stock returns
-
K.B. Diether K.B. Malloy A. Scherbina Differences of opinion and the cross-section of stock returns Journal of Finance 57 2002 2113-2141
-
(2002)
Journal of Finance
, vol.57
, pp. 2113-2141
-
-
Diether, K.B.1
Malloy, K.B.2
Scherbina, A.3
-
18
-
-
0038693107
-
Special repo rates
-
D. Duffie Special repo rates Journal of Finance 51 1996 493-526
-
(1996)
Journal of Finance
, vol.51
, pp. 493-526
-
-
Duffie, D.1
-
20
-
-
84977737676
-
The cross-section of expected stock returns
-
E.F. Fama K.R. French The cross-section of expected stock returns Journal of Finance 47 1992 427-465
-
(1992)
Journal of Finance
, vol.47
, pp. 427-465
-
-
Fama, E.F.1
French, K.R.2
-
21
-
-
38549147867
-
Common risk factors in the returns to stocks and bonds
-
E.F. Fama K.R. French Common risk factors in the returns to stocks and bonds Journal of Financial Economics 33 1993 3-56
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
24
-
-
0001534103
-
A test of the efficiency of a given portfolio
-
M.R. Gibbons S.A. Ross J. Shanken A test of the efficiency of a given portfolio Econometrica 57 1989 1121-1152
-
(1989)
Econometrica
, vol.57
, pp. 1121-1152
-
-
Gibbons, M.R.1
Ross, S.A.2
Shanken, J.3
-
26
-
-
0043172419
-
Book-to-market equity, distress risk, and stock returns
-
M.J. Griffin M.L. Lemmon Book-to-market equity, distress risk, and stock returns Journal of Finance 57 2002 2317-2336
-
(2002)
Journal of Finance
, vol.57
, pp. 2317-2336
-
-
Griffin, M.J.1
Lemmon, M.L.2
-
27
-
-
84959812265
-
Speculative investor behavior in a stock market with heterogeneous expectations
-
M.J. Harrison D.M. Kreps Speculative investor behavior in a stock market with heterogeneous expectations Quarterly Journal of Economics 92 1978 323-336
-
(1978)
Quarterly Journal of Economics
, vol.92
, pp. 323-336
-
-
Harrison, M.J.1
Kreps, D.M.2
-
28
-
-
27244456997
-
Seasonality in the cross-section of expected stock returns
-
Unpublished working paper. University of Washington, Seattle, WA
-
Heston, S.L., Sadka, R., 2004. Seasonality in the cross-section of expected stock returns. Unpublished working paper. University of Washington, Seattle, WA.
-
(2004)
-
-
Heston, S.L.1
Sadka, R.2
-
29
-
-
0039372663
-
Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies
-
H. Hong T. Lim J.C. Stein Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies Journal of Finance 55 2000 265-295
-
(2000)
Journal of Finance
, vol.55
, pp. 265-295
-
-
Hong, H.1
Lim, T.2
Stein, J.C.3
-
30
-
-
7544231495
-
Can investors capture the value premium?
-
Unpublished working paper. University of Notre Dame, Notre Dame, IN
-
Houge, T., Loughran, T, 2004. Can investors capture the value premium? Unpublished working paper. University of Notre Dame, Notre Dame, IN.
-
(2004)
-
-
Houge, T.1
Loughran, T.2
-
31
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for stock market efficiency
-
N. Jegadeesh 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
-
32
-
-
0041075295
-
Profitability of momentum strategies: An evaluation of alternative explanations
-
N. Jegadeesh S. Titman Profitability of momentum strategies: An evaluation of alternative explanations Journal of Finance 56 2001 699-720
-
(2001)
Journal of Finance
, vol.56
, pp. 699-720
-
-
Jegadeesh, N.1
Titman, S.2
-
33
-
-
6344285031
-
Forecast dispersion and the cross-section of expected returns
-
T.C. Johnson Forecast dispersion and the cross-section of expected returns Journal of Finance 59 2004 1957-1978
-
(2004)
Journal of Finance
, vol.59
, pp. 1957-1978
-
-
Johnson, T.C.1
-
35
-
-
0001314074
-
An analysis of mutual fund design: The case of investing in small-cap stocks
-
D. Keim An analysis of mutual fund design: The case of investing in small-cap stocks Journal of Financial Economics 51 1999 173-194
-
(1999)
Journal of Financial Economics
, vol.51
, pp. 173-194
-
-
Keim, D.1
-
37
-
-
12344302861
-
Going down fighting: Short sellers vs. firms
-
Unpublished working paper. Yale School of Management, New Haven, CT
-
Lamont, O., 2004. Going down fighting: Short sellers vs. firms. Unpublished working paper. Yale School of Management, New Haven, CT.
-
(2004)
-
-
Lamont, O.1
-
39
-
-
25444520216
-
The conditional CAPM does not explain asset pricing anomalies
-
Unpublished working paper. Stanford University, Stanford, CA
-
Lewellen, J., Nagel, S., 2005. The conditional CAPM does not explain asset pricing anomalies. Unpublished working paper. Stanford University, Stanford, CA.
-
(2005)
-
-
Lewellen, J.1
Nagel, S.2
-
40
-
-
0031536727
-
Book-to-market across firm size, exchange, and seasonality: Is there an effect?
-
T. Loughran Book-to-market across firm size, exchange, and seasonality: is there an effect? Journal of Financial and Quantitative Analysis 32 1997 249-268
-
(1997)
Journal of Financial and Quantitative Analysis
, vol.32
, pp. 249-268
-
-
Loughran, T.1
-
41
-
-
84916929634
-
Risk, uncertainty, and divergence of opinion
-
E. Miller Risk, uncertainty, and divergence of opinion Journal of Finance 32 1977 1151-1168
-
(1977)
Journal of Finance
, vol.32
, pp. 1151-1168
-
-
Miller, E.1
-
42
-
-
0000706085
-
A simple, positive definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
W.K. Newey K.D. West A simple, positive definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703-708
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
43
-
-
7444245569
-
Limited arbitrage and short sales restrictions: Evidence from the options markets
-
E. Ofek M. Richardson R.F. Whitelaw Limited arbitrage and short sales restrictions: Evidence from the options markets Journal of Financial Economics 74 2004 305-342
-
(2004)
Journal of Financial Economics
, vol.74
, pp. 305-342
-
-
Ofek, E.1
Richardson, M.2
Whitelaw, R.F.3
-
44
-
-
27244455658
-
What drives the value premium?
-
Unpublished working paper. University of Amsterdam, Amsterdam, Netherlands
-
Phalippou, L., 2004. What drives the value premium? Unpublished working paper. University of Amsterdam, Amsterdam, Netherlands.
-
(2004)
-
-
Phalippou, L.1
-
45
-
-
0003405121
-
Costly short-selling and stock price adjustments to earnings announcements
-
Working Paper, University of North Carolina, Chapel Hill, NC
-
Reed, A., 2003. Costly short-selling and stock price adjustments to earnings announcements. Working Paper, University of North Carolina, Chapel Hill, NC.
-
(2003)
-
-
Reed, A.1
-
48
-
-
0010960285
-
The delisting bias in CRSP data
-
T. Shumway The delisting bias in CRSP data Journal of Finance 52 1997 327-340
-
(1997)
Journal of Finance
, vol.52
, pp. 327-340
-
-
Shumway, T.1
-
49
-
-
0041488892
-
What drives firm-level stock returns?
-
T. Vuolteenaho What drives firm-level stock returns? Journal of Finance 57 2002 233-264
-
(2002)
Journal of Finance
, vol.57
, pp. 233-264
-
-
Vuolteenaho, T.1
|