-
1
-
-
0013068840
-
Illiquidity and stock returns: Cross-section and time-series effects
-
Amihud, Y. (2002) Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5, 31-56.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 31-56
-
-
Amihud, Y.1
-
2
-
-
0038992356
-
The interaction of value and momentum strategies
-
March/April
-
Asness, S. C. (1997) The interaction of value and momentum strategies, Financial Analysts Journal, March/April, 29-36.
-
(1997)
Financial Analysts Journal
, pp. 29-36
-
-
Asness, S.C.1
-
3
-
-
0038037439
-
Arbitrage risk and the book-to-market anomaly
-
Ali, A., Hwang, L-S., and Trombley, M. A. (2003) Arbitrage risk and the book-to-market anomaly, Journal of Financial Economics 69, 355-373.
-
(2003)
Journal of Financial Economics
, vol.69
, pp. 355-373
-
-
Ali, A.1
Hwang, L.-S.2
Trombley, M.A.3
-
4
-
-
33645087144
-
The cross-section of volatility and expected returns
-
Ang, A., Hodrick R., Xing Y., and Zhang X. (2006) The cross-section of volatility and expected returns, Journal of Finance 61, 259-299.
-
(2006)
Journal of Finance
, vol.61
, pp. 259-299
-
-
Ang, A.1
Hodrick, R.2
Xing, Y.3
Zhang, X.4
-
5
-
-
0002742759
-
An empirical evaluation of accounting numbers
-
Ball, R. and Brown, P. (1968) An empirical evaluation of accounting numbers, Journal of Accounting Research 6, 159-178.
-
(1968)
Journal of Accounting Research
, vol.6
, pp. 159-178
-
-
Ball, R.1
Brown, P.2
-
6
-
-
0010023511
-
The relationship between return and market value of common stockss
-
Banz, R. (1981) The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
-
(1981)
Journal of Financial Economics
, vol.9
, pp. 3-18
-
-
Banz, R.1
-
7
-
-
55949117180
-
Stocks as lotteries: The implications of probability weighting for security prices
-
Barberis, N. and Huang M. (2008) Stocks as lotteries: the implications of probability weighting for security prices, American Economic Review 98, 2066-2100.
-
(2008)
American Economic Review
, vol.98
, pp. 2066-2100
-
-
Barberis, N.1
Huang, M.2
-
8
-
-
0001949247
-
A model of investor sentiment
-
Barberis, N., Shleifer, A., and Vishny, R. W. (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.W.3
-
9
-
-
66049100177
-
A survey of behavioral finance
-
G. M. Constantinides, M. Harris, and R. M. Stulz (eds.), Elsevier, First edition, Chapter 18
-
Barberis, N. and Thaler, R. (2003). A survey of behavioral finance, in: G. M. Constantinides, M. Harris, and R. M. Stulz (eds.), Handbook of the Economics of Finance, Elsevier, First edition, Volume 1, Chapter 18, pp. 1053-1128.
-
(2003)
Handbook of the Economics of Finance
, vol.1
, pp. 1053-1128
-
-
Barberis, N.1
Thaler, R.2
-
10
-
-
0000909526
-
Evidence that stock prices do not fully reflect the implications of current earnings for future earnings
-
Bernard, V. L. and Thomas, J. K. (1990) Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics 13, 305-340.
-
(1990)
Journal of Accounting and Economics
, vol.13
, pp. 305-340
-
-
Bernard, V.L.1
Thomas, J.K.2
-
11
-
-
0036100914
-
Competing theories of financial anomalies
-
Brav, A. and Heaton, J. B. (2002) Competing theories of financial anomalies, Review of Financial Studies 15, 575-606.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 575-606
-
-
Brav, A.1
Heaton, J.B.2
-
12
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell, J. Y., Lettau, M., Malkiel, B. G., and Xu, Y. (2001) Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56, 1-43. (Pubitemid 33581652)
-
(2001)
Journal of Finance
, vol.56
, Issue.1
, pp. 1-43
-
-
Campbell, J.Y.1
Lettau, M.2
Malkiel, B.G.3
Xu, Y.4
-
13
-
-
0001742935
-
Momentum strategies
-
Chan, L. K. C., Jegadeesh, N., and Lakonishok, J. (1996) Momentum strategies, Journal of Finance 51, 1681-1713. (Pubitemid 126315005)
-
(1996)
Journal of Finance
, vol.51
, Issue.5
, pp. 1681-1713
-
-
Chan, L.K.C.1
Jegadeesh, N.2
Lakonishok, J.3
-
14
-
-
34249797825
-
-
unpublished working paper University of Washington
-
Chordia, T., Goyal, A., Sadka, G., Sadka, R., and Shivakumar, L. (2006) Liquidity and the postearnings-announcement-drift, unpublished working paper, University of Washington.
-
(2006)
Liquidity and the Postearnings-announcement-drift
-
-
Chordia, T.1
Goyal, A.2
Sadka, G.3
Sadka, R.4
Shivakumar, L.5
-
15
-
-
0001368110
-
The Duhem-Quine thesis, Lakatos and the appraisal of theories in macroeconomics
-
Cross, R. (1982) The Duhem-Quine thesis, Lakatos and the appraisal of theories in macroeconomics, The Economic Journal 92, 320-340.
-
(1982)
The Economic Journal
, vol.92
, pp. 320-340
-
-
Cross, R.1
-
16
-
-
8744258405
-
Investor psychology and security market under- and overreactions
-
Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (1998) Investor psychology and security market under-and overreactions, Journal of Finance 53, 1839-1886. (Pubitemid 128165285)
-
(1998)
Journal of Finance
, vol.53
, Issue.6
, pp. 1839-1886
-
-
Daniel, K.1
Hirshleifep, D.2
Subrahmanyam, A.3
-
17
-
-
84936526743
-
Noise trader risk in financial markets
-
DeLong, J. B., Shleifer, A., Summers, L. H., andWaldmann, R. J. (1990) Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
-
(1990)
Journal of Political Economy
, vol.98
, pp. 703-738
-
-
Delong, J.B.1
Shleifer, A.2
Summers, L.H.3
Waldmann, R.J.4
-
18
-
-
0002528209
-
The behavior of stock market prices
-
Fama, E. F. (1965) The behavior of stock market prices, Journal of Business 38, 34-105.
-
(1965)
Journal of Business
, vol.38
, pp. 34-105
-
-
Fama, E.F.1
-
19
-
-
0000029776
-
Efficient capital markets: II
-
Fama, E. F. (1991) Efficient capital markets: II, Journal of Finance 46, 1575-1617.
-
(1991)
Journal of Finance
, vol.46
, pp. 1575-1617
-
-
Fama, E.F.1
-
20
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama, E. F. and French, K. (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.2
-
21
-
-
84993845943
-
Size and book-to-market factors in earnings and returns
-
Fama, E. F. and French, K. (1995) Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155.
-
(1995)
Journal of Finance
, vol.50
, pp. 131-155
-
-
Fama, E.F.1
French, K.2
-
22
-
-
0002849453
-
The case for flexible exchange rates
-
University of Chicago Press, Chicago
-
Friedman, M. (1953) The case for flexible exchange rates, in: Essays in Positive Economics,University of Chicago Press, Chicago.
-
(1953)
Essays in Positive Economics
-
-
Friedman, M.1
-
23
-
-
0000774157
-
Stocks are special too: An analysis of the equity lending market
-
Geczy, C., Musto D. K., and Reed, A. V. (2002) Stocks are special too: an analysis of the equity lending market, Journal of Financial Economics 66, 241-269.
-
(2002)
Journal of Financial Economics
, vol.66
, pp. 241-269
-
-
Geczy, C.1
Musto, D.K.2
Reed, A.V.3
-
24
-
-
0001188867
-
On the impossibility of informationally efficient markets
-
Grossman, S. J. and Stiglitz, J. E. (1980) On the impossibility of informationally efficient markets, American Economic Review 70, 393-408.
-
(1980)
American Economic Review
, vol.70
, pp. 393-408
-
-
Grossman, S.J.1
Stiglitz, J.E.2
-
25
-
-
76549101754
-
Disappearing dividends, catering, and risk
-
Hoberg, G. and Prabhala, N. (2009) Disappearing dividends, catering, and risk, Review of Financial Studies 22, 79-116.
-
(2009)
Review of Financial Studies
, vol.22
, pp. 79-116
-
-
Hoberg, G.1
Prabhala, N.2
-
26
-
-
0012166025
-
A unified theory of underreaction, momentum trading and overreaction in asset markets
-
Hong, H. and Stein, J. (1999) A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143-2184.
-
(1999)
Journal of Finance
, vol.54
, pp. 2143-2184
-
-
Hong, H.1
Stein, J.2
-
27
-
-
33645068448
-
The price impact and survival of irrational traders
-
Kogan, L., Ross, S. A., Wang, J., and Westerfield, M. M. (2006) The price impact and survival of irrational traders, Journal of Finance 61, 195-229.
-
(2006)
Journal of Finance
, vol.61
, pp. 195-229
-
-
Kogan, L.1
Ross, S.A.2
Wang, J.3
Westerfield, M.M.4
-
28
-
-
84993869066
-
Contrarian investment, extrapolation, and risk
-
Lakonishok, J., Shleifer, A., and Vishny, R. (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
-
29
-
-
0034148029
-
Uniformly least powerful tests of market efficiency
-
Loughran, T. and Ritter, J. R. (2000) Uniformly least powerful tests of market efficiency, Journal of Financial Economics 55, 361-389.
-
(2000)
Journal of Financial Economics
, vol.55
, pp. 361-389
-
-
Loughran, T.1
Ritter, J.R.2
-
32
-
-
33746863357
-
Why is the accrual anomaly not arbitraged away? the role of idiosyncratic risk and transaction costs
-
Mashruwala, C., Rajgopal, S., and Shevlin, T. (2006) Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs, Journal of Accounting and Economics 42, 3-33.
-
(2006)
Journal of Accounting and Economics
, vol.42
, pp. 3-33
-
-
Mashruwala, C.1
Rajgopal, S.2
Shevlin, T.3
-
33
-
-
15744394806
-
Arbitrage risk and post-earnings-announcement drift
-
Mendenhall, R. (2004) Arbitrage risk and post-earnings-announcement drift, Journal of Business 77, 875-894.
-
(2004)
Journal of Business
, vol.77
, pp. 875-894
-
-
Mendenhall, R.1
-
34
-
-
0039021355
-
Costly arbitrage: Evidence from closed-end funds
-
Pontiff, J. (1996) Costly arbitrage: evidence from closed-end funds, The Quarterly Journal of Economics 111, 1135-1151.
-
(1996)
The Quarterly Journal of Economics
, vol.111
, pp. 1135-1151
-
-
Pontiff, J.1
-
35
-
-
33746885169
-
Costly arbitrage and the myth of idiosyncratic risk
-
Pontiff, J. (2006) Costly arbitrage and the myth of idiosyncratic risk, Journal of Accounting and Economics 42, 35-52.
-
(2006)
Journal of Accounting and Economics
, vol.42
, pp. 35-52
-
-
Pontiff, J.1
-
36
-
-
84977717063
-
The long-run performance of initial public offerings
-
Ritter, J. R. (1991) The long-run performance of initial public offerings, Journal of Finance 46, 3-27.
-
(1991)
Journal of Finance
, vol.46
, pp. 3-27
-
-
Ritter, J.R.1
-
37
-
-
0002307601
-
The limits of arbitrage
-
Shleifer, A. and Vishny, R. (1997) The limits of arbitrage, Journal of Finance 52, 35-55. (Pubitemid 127343962)
-
(1997)
Journal of Finance
, vol.52
, Issue.1
, pp. 35-55
-
-
Shleifer, A.1
Vishny, R.W.2
-
39
-
-
0030305172
-
Do stock prices fully reflect information in accruals and cash flows about future earnings?
-
Sloan, R. (1996) Do stock prices fully reflect information in accruals and cash flows about future earnings?, The Accounting Review 71, 289-315. (Pubitemid 126174078)
-
(1996)
Accounting Review
, vol.71
, Issue.3
, pp. 289-315
-
-
Sloan, R.G.1
-
40
-
-
0037775381
-
Does arbitrage flatten demand curves for stocks
-
Wurgler, J., and Zhuravskaya, E. V. (2002) Does arbitrage flatten demand curves for stocks?, Journal of Business 75, 583-608.
-
(2002)
Journal of Business
, vol.75
, pp. 583-608
-
-
Wurgler, J.1
Zhuravskaya, E.V.2
-
41
-
-
76549100474
-
On posterior odds ratios for sharp null hypotheses and one-sided alternatives
-
Graduate School of Business, University of Chicago
-
Zellner, A. and Siow, A. (1979) On posterior odds ratios for sharp null hypotheses and one-sided alternatives, H.G.B. Alexander Research Foundation, Graduate School of Business, University of Chicago.
-
(1979)
H.G.B. Alexander Research Foundation
-
-
Zellner, A.1
Siow, A.2
-
42
-
-
33645072225
-
Information uncertainty and stock returns
-
Zhang, X. F. (2006) Information uncertainty and stock returns, Journal of Finance 61, 105-136.
-
(2006)
Journal of Finance
, vol.61
, pp. 105-136
-
-
Zhang, X.F.1
|