-
1
-
-
0013068840
-
Illiquidity and stock returns: Cross-section and time-series effects
-
Amihud, A. "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." Journal of Financial Markets, 5(2002), 31-56.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 31-56
-
-
Amihud, A.1
-
2
-
-
33645087144
-
The cross-section of volatility and expected returns
-
Ang, A.; R. Hodrick; Y. Xing; and X. Zhang. "The Cross-Section of Volatility and Expected Returns." Journal of Finance, 51(2006), 259-299.
-
(2006)
Journal of Finance
, vol.51
, pp. 259-299
-
-
Ang, A.1
Hodrick, R.2
Xing, Y.3
Zhang, X.4
-
3
-
-
78650031900
-
Price momentum and idiosyncratic volatility
-
Arena, M. P.; K. S. Haggard; and X. S. Yan. "Price Momentum and Idiosyncratic Volatility." Financial Review, 43(2008), 159-190.
-
(2008)
Financial Review
, vol.43
, pp. 159-190
-
-
Arena, M.P.1
Haggard, K.S.2
Yan, X.S.3
-
4
-
-
0002443243
-
Problems in measuring portfolio performance: An application to contrarian investment strategies
-
Ball, R.; S. P. Kothari; and J. Shanken. "Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies." Journal of Financial Economics, 38(1995), 79-107.
-
(1995)
Journal of Financial Economics
, vol.38
, pp. 79-107
-
-
Ball, R.1
Kothari, S.P.2
Shanken, J.3
-
6
-
-
66049100177
-
A survey of behavioral finance
-
G. Constantinides, M. Harris, and R. Stulz, eds. Amsterdam: Elsevier
-
Barberis, N., and R. Thaler. "A Survey of Behavioral Finance." In Handbook of the Economics of Finance, Vol. 1 B, G. Constantinides, M. Harris, and R. Stulz, eds. Amsterdam: Elsevier (2003), 1052-1090.
-
(2003)
Handbook of the Economics of Finance
, vol.1 B
, pp. 1052-1090
-
-
Barberis, N.1
Thaler, R.2
-
7
-
-
0007980113
-
Optimal investment, growth options, and security returns
-
Berk, J. B.; R. C. Green; and V. Naik. "Optimal Investment, Growth Options, and Security Returns." Journal of Finance, 54(1999), 1553-1607.
-
(1999)
Journal of Finance
, vol.54
, pp. 1553-1607
-
-
Berk, J.B.1
Green, R.C.2
Naik, V.3
-
8
-
-
76549128539
-
The limits of the limits of arbitrage
-
Brav, A.; J. B. Heaton; and S. Li. "The Limits of the Limits of Arbitrage." Review of Finance, 14(2010), 157-187.
-
(2010)
Review of Finance
, vol.14
, pp. 157-187
-
-
Brav, A.1
Heaton, J.B.2
Li, S.3
-
10
-
-
0038992354
-
-
Working Paper, University of Texas
-
Chui, A. C. W.; S. Titman; and K. C. J. Wei. "Momentum, Ownership Structure, and Financial Crises: An Analysis of Asian Stock Markets." Working Paper, University of Texas (2000).
-
(2000)
Momentum, Ownership Structure, and Financial Crises: An Analysis of Asian Stock Markets
-
-
Chui, A.C.W.1
Titman, S.2
Wei, K.C.J.3
-
11
-
-
0039401916
-
An anatomy of trading strategies
-
Conrad, J., and G. Kaul. "An Anatomy of Trading Strategies." Review of Financial Studies, 3(1998), 489-519. (Pubitemid 128352213)
-
(1998)
Review of Financial Studies
, vol.11
, Issue.3
, pp. 489-519
-
-
Conrad, J.1
Kaul, G.2
-
13
-
-
8744258405
-
Investor Psychology and Security Market Under- and Overreactions
-
Daniel, K.; D. Hirshleifer; and A. Subrahmanyam. "Investor Psychology and Security Market Underand Overreactions." Journal of Finance, 53(1998), 1839-1886. (Pubitemid 128165285)
-
(1998)
Journal of Finance
, vol.53
, Issue.6
, pp. 1839-1886
-
-
Daniel, K.1
Hirshleifep, D.2
Subrahmanyam, A.3
-
14
-
-
84900013243
-
Does the stock market overreact?
-
De Bondt, W. F. M., and R. Thaler. "Does the Stock Market Overreact?" Journal of Finance, 40(1985), 793-805.
-
(1985)
Journal of Finance
, vol.40
, pp. 793-805
-
-
De Bondt, W.F.M.1
Thaler, R.2
-
15
-
-
84977703147
-
Further evidence on investor overreaction and stock market seasonality
-
De Bondt, W. F. M., and R. H. Thaler. "Further Evidence on Investor Overreaction and Stock Market Seasonality." Journal of Finance, 42(1987), 557-581.
-
(1987)
Journal of Finance
, vol.42
, pp. 557-581
-
-
De Bondt, W.F.M.1
Thaler, R.H.2
-
17
-
-
65249160377
-
When is stock picking likely to be successful? Evidence from mutual funds
-
Duan, Y.; G. Hu; and R. D. McLean. "When Is Stock Picking Likely to Be Successful? Evidence from Mutual Funds." Financial Analysts Journal, 65(2009), 55-66.
-
(2009)
Financial Analysts Journal
, vol.65
, pp. 55-66
-
-
Duan, Y.1
Hu, G.2
McLean, R.D.3
-
19
-
-
0346898286
-
Does greater firm-specific return variation mean more or less informed stock pricing?
-
Durnev, A.; R. Morck; B. Yeung; and P. Zarowin. "Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?" Journal of Accounting Research, 41(2003), 797-836.
-
(2003)
Journal of Accounting Research
, vol.41
, pp. 797-836
-
-
Durnev, A.1
Morck, R.2
Yeung, B.3
Zarowin, P.4
-
20
-
-
84977737676
-
The cross-section of expected stock returns
-
Fama, E. F., and K. R. French. "The Cross-Section of Expected Stock Returns." Journal of Finance, 47(1992), 427-265.
-
(1992)
Journal of Finance
, vol.47
, pp. 427-265
-
-
Fama, E.F.1
French, K.R.2
-
21
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
Fama, E. F., and K. R. French. "Multifactor Explanations of Asset Pricing Anomalies." Journal of Finance, 51(1996), 55-84.
-
(1996)
Journal of Finance
, vol.51
, pp. 55-84
-
-
Fama, E.F.1
French, K.R.2
-
22
-
-
0000928969
-
Risk, return, and equilibrium: Empirical tests
-
Fama, E., and J. D. MacBeth. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, 81(1973), 607-636.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.1
MacBeth, J.D.2
-
23
-
-
3042630648
-
Liquidity in the futures pits: Inferring market dynamics from incomplete data
-
Hasbrouck, J. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data." Journal of Financial and Quantitative Analysis, 39(2004), 305-326.
-
(2004)
Journal of Financial and Quantitative Analysis
, vol.39
, pp. 305-326
-
-
Hasbrouck, J.1
-
24
-
-
64849086208
-
Trading costs and returns for U. S. equities: Estimating effective costs from daily data
-
Hasbrouck, J. "Trading Costs and Returns for U. S. Equities: Estimating Effective Costs from Daily Data." Journal of Finance, 64(2009), 1445-1477.
-
(2009)
Journal of Finance
, vol.64
, pp. 1445-1477
-
-
Hasbrouck, J.1
-
25
-
-
0039372663
-
Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies
-
Hong, H.; T. Lim; and 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
-
26
-
-
0012166025
-
A unified theory of underreaction, momentum trading, and overreaction in asset markets
-
Hong, H., and J. Stein. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets." Journal of Finance, 54(1999), 2143-2184.
-
(1999)
Journal of Finance
, vol.54
, pp. 2143-2184
-
-
Hong, H.1
Stein, J.2
-
28
-
-
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
-
29
-
-
0041075295
-
Profitability of momentum strategies: An evaluation of alternative explanations
-
Jegadeesh, N., and 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
-
30
-
-
0043172325
-
Rational momentum effects
-
Johnson, T. C. "Rational Momentum Effects." Journal of Finance, 57(2002), 585-608.
-
(2002)
Journal of Finance
, vol.57
, pp. 585-608
-
-
Johnson, T.C.1
-
31
-
-
2942599804
-
Are momentum profits robust to trading costs?
-
Korajczyk, R. A., and R. Sadka. "Are Momentum Profits Robust to Trading Costs?" Journal of Finance, 59(2004), 1039-1082.
-
(2004)
Journal of Finance
, vol.59
, pp. 1039-1082
-
-
Korajczyk, R.A.1
Sadka, R.2
-
32
-
-
0010734388
-
Price momentum and trading volume
-
Lee, C. M. C., and B. Swaminathan. "Price Momentum and Trading Volume." Journal of Finance, 55(2000), 2017-2069.
-
(2000)
Journal of Finance
, vol.55
, pp. 2017-2069
-
-
Lee, C.M.C.1
Swaminathan, B.2
-
35
-
-
84995186518
-
Portfolio selection
-
Markowitz, H. "Portfolio Selection. " Journal of Finance, 7(1952), 99-91.
-
(1952)
Journal of Finance
, vol.7
, pp. 99-91
-
-
Markowitz, H.1
-
37
-
-
0001373089
-
The information content of stock markets: Why do emerging markets have synchronous stock price movements?
-
Morck, R.; B. Yeung; and W. Yu. "The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?" Journal of Financial Economics, 58(2000), 215-260.
-
(2000)
Journal of Financial Economics
, vol.58
, pp. 215-260
-
-
Morck, R.1
Yeung, B.2
Yu, W.3
-
38
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K., and K. D. West. "A Simple, Positive Semi-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
-
39
-
-
0039021355
-
Costly arbitrage: Evidence from closed-end funds
-
Pontiff, J. "Costly Arbitrage: Evidence from Closed-End Funds." Quarterly Journal of Economics, 111(1996), 1135-1151.
-
(1996)
Quarterly Journal of Economics
, vol.111
, pp. 1135-1151
-
-
Pontiff, J.1
-
40
-
-
33746885169
-
Costly arbitrage and the myth of idiosyncratic risk
-
Pontiff, J. "Costly Arbitrage and the Myth of Idiosyncratic Risk." Journal of Accounting and Economics, 42(2006), 35-52.
-
(2006)
Journal of Accounting and Economics
, vol.42
, pp. 35-52
-
-
Pontiff, J.1
-
41
-
-
78649983062
-
Long-run seasoned equity offering returns: Data snooping, model misspecification, or mispricing? A costly arbitrage approach
-
Pontiff, J., and M. J. Schill. "Long-Run Seasoned Equity Offering Returns: Data Snooping, Model Misspecification, or Mispricing? A Costly Arbitrage Approach." Working Paper, Boston College (2003).
-
(2003)
Working Paper, Boston College
-
-
Pontiff, J.1
Schill, M.J.2
-
42
-
-
41649097965
-
Share issuance and cross-sectional returns
-
Pontiff, J., and A. Woodgate. "Share Issuance and Cross-Sectional Returns." Journal of Finance, 63(2008), 921-945.
-
(2008)
Journal of Finance
, vol.63
, pp. 921-945
-
-
Pontiff, J.1
Woodgate, A.2
-
43
-
-
84944043652
-
A simple implicit measure of the effective bid-ask spread in an efficient market
-
Roll, R. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market." Journal of Finance, 39(1984), 1127-1139.
-
(1984)
Journal of Finance
, vol.39
, pp. 1127-1139
-
-
Roll, R.1
-
44
-
-
0040165125
-
International momentum strategies
-
Rouwenhorst, K. G. "International Momentum Strategies." Journal of Finance, 53(1998), 267-284.
-
(1998)
Journal of Finance
, vol.53
, pp. 267-284
-
-
Rouwenhorst, K.G.1
-
45
-
-
0012584954
-
Local return factors and turnover in emerging stock markets
-
Rouwenhorst, K. G. "Local Return Factors and Turnover in Emerging Stock Markets." Journal of Finance, 54(1999), 1439-1464.
-
(1999)
Journal of Finance
, vol.54
, pp. 1439-1464
-
-
Rouwenhorst, K.G.1
-
46
-
-
0001531652
-
The market for securities: Substitution versus price pressure and the effects of information on share prices
-
Scholes, M. S. "The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices." Journal of Business, 45(1972), 179-211.
-
(1972)
Journal of Business
, vol.45
, pp. 179-211
-
-
Scholes, M.S.1
-
48
-
-
0000515067
-
Equilibrium short horizons of investors and firms
-
Shleifer, A., and R. W. Vishny. "Equilibrium Short Horizons of Investors and Firms." American Economic Review, 80(1990), 148-153.
-
(1990)
American Economic Review
, vol.80
, pp. 148-153
-
-
Shleifer, A.1
Vishny, R.W.2
-
49
-
-
0002307601
-
The limits of arbitrage
-
Shleifer, A., and R. W. Vishny. "The Limits of Arbitrage." Journal of Finance, 52(1997), 35-55. (Pubitemid 127343962)
-
(1997)
Journal of Finance
, vol.52
, Issue.1
, pp. 35-55
-
-
Shleifer, A.1
Vishny, R.W.2
-
51
-
-
0002787901
-
How to use security analysis to improve portfolio selection
-
Treynor, J. L., and F. Black. "How to Use Security Analysis to Improve Portfolio Selection. " Journal of Business, 46(1973), 66-86.
-
(1973)
Journal of Business
, vol.46
, pp. 66-86
-
-
Treynor, J.L.1
Black, F.2
-
52
-
-
0037775381
-
Does arbitrage flatten demand curves for stocks?
-
Wurgler, J., and E. Zhuravskaya. "Does Arbitrage Flatten Demand Curves for Stocks?" Journal of Business, 75(2002), 583-608.
-
(2002)
Journal of Business
, vol.75
, pp. 583-608
-
-
Wurgler, J.1
Zhuravskaya, E.2
|