-
1
-
-
0000508007
-
Asset pricing and the bid-asked spread
-
Amihud, Yakov, and Haim Mendelson. 1986. Asset pricing and the bid-asked spread. Journal of Financial Economics 17, no. 2:223-49.
-
(1986)
Journal of Financial Economics
, vol.17
, Issue.2
, pp. 223-249
-
-
Amihud, Y.1
Mendelson, H.2
-
2
-
-
38249006507
-
Nonstationary expected returns: Implications for tests of market efficiency and serial correlations in returns
-
Ball, Ray, and S. P. Kothari. 1989. Nonstationary expected returns: Implications for tests of market efficiency and serial correlations in returns. Journal of Financial Economics 25, no. 1:51-74.
-
(1989)
Journal of Financial Economics
, vol.25
, Issue.1
, pp. 51-74
-
-
Ball, R.1
Kothari, S.P.2
-
3
-
-
0002443243
-
Problems in measuring portfolio performance: An application to contrarian investment strategies
-
Ball, Ray, S. P. Kothari, and Jay Shanken. 1995. Problems in measuring portfolio performance: An application to contrarian investment strategies. Journal of Financial Economics 38, no. 1: 79-107.
-
(1995)
Journal of Financial Economics
, vol.38
, Issue.1
, pp. 79-107
-
-
Ball, R.1
Kothari, S.P.2
Shanken, J.3
-
4
-
-
0010023511
-
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 9, no. 1:3-18.
-
(1981)
Journal of Financial Economics
, vol.9
, Issue.1
, pp. 3-18
-
-
Banz, R.W.1
-
5
-
-
0001949247
-
A model of investor sentiment
-
Barberis, Nicholas, Andrei Shleifer, and Robert Vishny. 1998. A model of investor sentiment. Journal of Financial Economics 49, no. 3:307-43.
-
(1998)
Journal of Financial Economics
, vol.49
, Issue.3
, pp. 307-343
-
-
Barberis, N.1
Shleifer, A.2
Vishny, R.3
-
6
-
-
48549108822
-
Differential information and the small firm effect
-
Barry, Christopher B., and Stephen J. Brown. 1984. Differential information and the small firm effect. Journal of Financial Economics 13, no. 2:283-94.
-
(1984)
Journal of Financial Economics
, vol.13
, Issue.2
, pp. 283-294
-
-
Barry, C.B.1
Brown, S.J.2
-
7
-
-
84977715787
-
The January anomaly: Effects of low share price, transaction costs, and bid-ask bias
-
Bhardwaj, Ravinder K., and LeRoy D. Brooks. 1992. The January anomaly: Effects of low share price, transaction costs, and bid-ask bias. Journal of Finance 47, no. 2:553-76.
-
(1992)
Journal of Finance
, vol.47
, Issue.2
, pp. 553-576
-
-
Bhardwaj, R.K.1
Brooks, L.D.2
-
8
-
-
0001651803
-
Biases in computed returns: An application to the size effect
-
Blume, Marshall E., and Robert F. Stambaugh. 1983. Biases in computed returns: An application to the size effect. Journal of Financial Economics 12, no. 3:387-404.
-
(1983)
Journal of Financial Economics
, vol.12
, Issue.3
, pp. 387-404
-
-
Blume, M.E.1
Stambaugh, R.F.2
-
9
-
-
84922463168
-
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, no. 4:1467-84.
-
(1991)
Journal of Finance
, vol.46
, Issue.4
, pp. 1467-1484
-
-
Chan, K.C.1
Chen, N.2
-
10
-
-
0000531103
-
Measuring abnormal performance: Do stocks overreact?
-
Chopra, Navin, Josef Lakonishok, and Jay R. Ritter. 1992. Measuring abnormal performance: Do stocks overreact? Journal of Financial Economics 31, no. 2:235-68.
-
(1992)
Journal of Financial Economics
, vol.31
, Issue.2
, pp. 235-268
-
-
Chopra, N.1
Lakonishok, J.2
Ritter, J.R.3
-
11
-
-
0042594655
-
Momentum, business cycle, and time-varying expected returns
-
Chordia, Tarun, and Lakshmanan Shivakumar. 2002. Momentum, business cycle, and time-varying expected returns. Journal of Finance 57, no. 2:985-1019.
-
(2002)
Journal of Finance
, vol.57
, Issue.2
, pp. 985-1019
-
-
Chordia, T.1
Shivakumar, L.2
-
12
-
-
11044231189
-
The risk and return of venture capital
-
Cochrane, John H. 2005. The risk and return of venture capital. Journal of Financial Economics 75, no. 1:3-52.
-
(2005)
Journal of Financial Economics
, vol.75
, Issue.1
, pp. 3-52
-
-
Cochrane, J.H.1
-
13
-
-
84993918492
-
Long-term market overreaction or biases in computed returns?
-
Conrad, Jennifer, and Gautam Kaul. 1993. Long-term market overreaction or biases in computed returns? Journal of Finance 48, no. 1:39-64.
-
(1993)
Journal of Finance
, vol.48
, Issue.1
, pp. 39-64
-
-
Conrad, J.1
Kaul, G.2
-
14
-
-
8744258405
-
Investor psychology and security market under- and overreactions
-
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998. Investor psychology and security market under- and overreactions. Journal of Finance 53, no. 6:1839-85.
-
(1998)
Journal of Finance
, vol.53
, Issue.6
, pp. 1839-1885
-
-
Daniel, K.1
Hirshleifer, D.2
Subrahmanyam, A.3
-
15
-
-
0002014264
-
Evidence on the characteristics of cross sectional variation in stock returns
-
Daniel, Kent, and Sheridan Titman. 1997. Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance 52, no. 1:1-33.
-
(1997)
Journal of Finance
, vol.52
, Issue.1
, pp. 1-33
-
-
Daniel, K.1
Titman, S.2
-
16
-
-
84900013243
-
Does the stock market overreact?
-
De Bondt, Werner F. M., and Richard Thaler. 1985. Does the stock market overreact? Journal of Finance 40, no. 3:793-805.
-
(1985)
Journal of Finance
, vol.40
, Issue.3
, pp. 793-805
-
-
De Bondt, W.F.M.1
Thaler, R.2
-
17
-
-
84977703147
-
Further evidence on investor overreaction and stock market seasonality
-
_. 1987. Further evidence on investor overreaction and stock market seasonality. Journal of Finance 42, no. 3:557-81.
-
(1987)
Journal of Finance
, vol.42
, Issue.3
, pp. 557-581
-
-
De Bondt, W.F.M.1
Thaler, R.2
-
18
-
-
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, no. 2:427-66.
-
(1992)
Journal of Finance
, vol.47
, Issue.2
, pp. 427-466
-
-
Fama, E.F.1
French, K.R.2
-
19
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
_. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, no. 1:3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, Issue.1
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
20
-
-
0013413658
-
Multifactor explanation of asset pricing anomalies
-
_. 1996. Multifactor explanation of asset pricing anomalies. Journal of Finance 51, no. 1: 55-84.
-
(1996)
Journal of Finance
, vol.51
, Issue.1
, pp. 55-84
-
-
Fama, E.F.1
French, K.R.2
-
21
-
-
11544342489
-
Value versus growth: The international evidence
-
_. 1998. Value versus growth: The international evidence. Journal of Finance 53, no. 6: 1975-99.
-
(1998)
Journal of Finance
, vol.53
, Issue.6
, pp. 1975-1999
-
-
Fama, E.F.1
French, K.R.2
-
22
-
-
0344153902
-
-
Griffin, John M., Xiuqing Ji, and J. Spencer Martin. 2003. Momentum investing and business cycle risk: Evidence from pole to pole. Journal of Finance 58, no. 6:2515-47.
-
Griffin, John M., Xiuqing Ji, and J. Spencer Martin. 2003. Momentum investing and business cycle risk: Evidence from pole to pole. Journal of Finance 58, no. 6:2515-47.
-
-
-
-
23
-
-
0035581626
-
Understanding the nature of the risks and the source of the rewards to momentum investing
-
Grundy, Bruce D., and J. Spencer Martin. 2001. Understanding the nature of the risks and the source of the rewards to momentum investing. Review of Financial Studies 14, no. 1:29-78.
-
(2001)
Review of Financial Studies
, vol.14
, Issue.1
, pp. 29-78
-
-
Grundy, B.D.1
Spencer Martin, J.2
-
24
-
-
0012166025
-
A unified theory of underreaction, momentum trading, and overreaction in asset markets
-
Hong, Harrison, and Jeremy C. Stein. 1999. A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance 54, no. 6:2143-84.
-
(1999)
Journal of Finance
, vol.54
, Issue.6
, pp. 2143-2184
-
-
Hong, H.1
Stein, J.C.2
-
25
-
-
0010962742
-
The conditional CAPM and the cross-section of expected returns
-
Jagannathan, Ravi, and Zhenyu Wang. 1996. The conditional CAPM and the cross-section of expected returns. Journal of Finance 51, no. 1:3-53.
-
(1996)
Journal of Finance
, vol.51
, Issue.1
, pp. 3-53
-
-
Jagannathan, R.1
Wang, Z.2
-
26
-
-
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, no. 1:65-92.
-
(1993)
Journal of Finance
, vol.48
, Issue.1
, pp. 65-92
-
-
Jegadeesh, N.1
Titman, S.2
-
27
-
-
0041075295
-
Profitability of momentum strategies: An evaluation of alternative explanations
-
_. 2001. Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance 56, no. 2:699-720.
-
(2001)
Journal of Finance
, vol.56
, Issue.2
, pp. 699-720
-
-
Jegadeesh, N.1
Titman, S.2
-
28
-
-
48749147730
-
Size-related anomalies and stock return seasonality: Further empirical evidence
-
Keim, Donald B. 1983. Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics 12, no. 1:13-32.
-
(1983)
Journal of Financial Economics
, vol.12
, Issue.1
, pp. 13-32
-
-
Keim, D.B.1
-
29
-
-
1342343771
-
Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points
-
_. 1989. Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points. Journal of Financial Economics 25, no. 1:75-98.
-
(1989)
Journal of Financial Economics
, vol.25
, Issue.1
, pp. 75-98
-
-
Keim, D.B.1
-
30
-
-
0002507239
-
On the robustness of size and book-to-market in cross-sectional regressions
-
Knez, Peter J., and Mark J. Ready. 1997. On the robustness of size and book-to-market in cross-sectional regressions. Journal of Finance 52, no. 4:1355-82.
-
(1997)
Journal of Finance
, vol.52
, Issue.4
, pp. 1355-1382
-
-
Knez, P.J.1
Ready, M.J.2
-
31
-
-
84993869066
-
Contrarian investment, extrapolation, and risk
-
Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny. 1994. Contrarian investment, extrapolation, and risk. Journal of Finance 49, no. 5:1541-78.
-
(1994)
Journal of Finance
, vol.49
, Issue.5
, pp. 1541-1578
-
-
Lakonishok, J.1
Shleifer, A.2
Vishny, R.W.3
-
32
-
-
0007741128
-
The time-series relations among expected return, risk, and book-to-market
-
Lewellen, Jonathan. 1999. The time-series relations among expected return, risk, and book-to-market. Journal of Financial Economics 54, no. 1:5-43.
-
(1999)
Journal of Financial Economics
, vol.54
, Issue.1
, pp. 5-43
-
-
Lewellen, J.1
-
33
-
-
0000473546
-
Can book-to-market, size and momentum be risk factors that predict economic growth?
-
Liew, Jimmy, and Maria Vassalou. 2000. Can book-to-market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics 57, no. 2:221-45.
-
(2000)
Journal of Financial Economics
, vol.57
, Issue.2
, pp. 221-245
-
-
Liew, J.1
Vassalou, M.2
-
34
-
-
0010955677
-
Long-term market overreaction: The effect of low-price stocks
-
Loughran, Tim, and Jay R. Ritter. 1996. Long-term market overreaction: The effect of low-price stocks. Journal of Finance 51, no. 5:1959-70.
-
(1996)
Journal of Finance
, vol.51
, Issue.5
, pp. 1959-1970
-
-
Loughran, T.1
Ritter, J.R.2
-
35
-
-
0000630954
-
On computing mean returns and the small firm premium
-
Roll, Richard. 1983. On computing mean returns and the small firm premium. Journal of Financial Economics 12, no. 3:371-86.
-
(1983)
Journal of Financial Economics
, vol.12
, Issue.3
, pp. 371-386
-
-
Roll, R.1
-
36
-
-
0040165125
-
International momentum strategies
-
Rouwenhorst, K. Geert. 1998. International momentum strategies. Journal of Finance 53, no. 1: 267-84.
-
(1998)
Journal of Finance
, vol.53
, Issue.1
, pp. 267-284
-
-
Rouwenhorst, K.G.1
-
37
-
-
0010960285
-
The delisting bias in CRSP data
-
Shumway, Tyler. 1997. The delisting bias in CRSP data. Journal of Finance 52, no. 1:327-40.
-
(1997)
Journal of Finance
, vol.52
, Issue.1
, pp. 327-340
-
-
Shumway, T.1
-
38
-
-
0038850169
-
The delisting bias in CRSP's Nasdaq data and its implications for the size effect
-
Shumway, Tyler, and Vincent A. Warther. 1999. The delisting bias in CRSP's Nasdaq data and its implications for the size effect. Journal of Finance 54, no. 6:2361-79.
-
(1999)
Journal of Finance
, vol.54
, Issue.6
, pp. 2361-2379
-
-
Shumway, T.1
Warther, V.A.2
-
39
-
-
0000342340
-
Credit rationing in markets with imperfect information
-
Stiglitz, Joseph, and Andrew Weiss. 1981. Credit rationing in markets with imperfect information. American Economic Review 71, no. 3:393-410.
-
(1981)
American Economic Review
, vol.71
, Issue.3
, pp. 393-410
-
-
Stiglitz, J.1
Weiss, A.2
-
40
-
-
48749147195
-
Transaction costs and the small firm effect
-
Stoll, Hans R., and Robert E. Whaley. 1983. Transaction costs and the small firm effect. Journal of Financial Economics 12, no. 1:57-80.
-
(1983)
Journal of Financial Economics
, vol.12
, Issue.1
, pp. 57-80
-
-
Stoll, H.R.1
Whaley, R.E.2
|