The role of shorting, firm size, and time on market anomalies

Journal of Financial Economics

Volumn 108, Issue 2, 2013, Pages 275-301

  Israel, Ronen ^a   Moskowitz, Tobias J ^b  

^a AQR Capital Management ^*  (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Asset pricing; Market anomalies; Market efficiency; Momentum; Size; Value

Indexed keywords

EID: 84876318740     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2012.11.005     Document Type: Article

References (49)

1. Asness, C., 1994. Variables that explain stock returns. Ph.D. dissertation. University of Chicago, Chicago, IL.
2. Asness, C., 2011. Momentum in Japan: the exception that proves the rule. Unpublished working paper. AQR Capital Management, Greenwich, CT.
3. Asness, C., Frazzini, A., 2012. The devil in HML's details. Unpublished working paper. AQR Capital Management, Greenwich, CT.
4. Asness, C., Moskowitz, T., Pedersen, L. Value and momentum everywhere. Journal of Finance, forthcoming.
5. Avramov D., Chordia T., Jostova G., Philipov A. Momentum and credit rating. Journal of Finance 2007, 62:2503-2520.
6. Avramov, D., Chordia, T., Jostova, G., Philipov, A., 2012. Anomalies and financial distress. Unpublished working paper. Emory University, Atlanta, GA.
7. Banz R. The relationship between return and market value of common stocks. Journal of Financial Economics 1981, 9:3-18.
8. Carhart M. On persistence in mutual fund performance. Journal of Finance 1997, 52:57-82.
9. Chan L., Hamao Y., Lakonishok J. Fundamentals and stock returns in Japan. Journal of Finance 1991, 46:1739-1764.
10. Chordia, T., Subrahmanyam, A., Tong, Q., 2012. Whither cross-sectional return predictability. Unpublished working paper. University of California, Los Angeles, CA.
11. Daniel, K., Moskowitz, T., 2012. Momentum crashes. Unpublished working paper. University of Chicago, Chicago, IL.
12. DeBondt W., Thaler R. Does the stock market overreact?. Journal of Finance 1985, 40:793-805.
13. DeBondt W., Thaler R. Further evidence on investor overreaction and stock market seasonality. Journal of Finance 1987, 42:557-581.
14. Fama E. Foundations of Finance 1976, Basic Books, New York, NY.
15. Fama E., French K. The cross section of expected stock returns. Journal of Finance 1992, 47:427-465.
16. Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
17. Fama E., French K. Multifactor explanations of asset pricing anomalies. Journal of Finance 1996, 51:55-84.
18. Fama E., French K. Value versus growth: the international evidence. Journal of Finance 1998, 53:1975-1999.
19. Fama E., French K. Dissecting anomalies. Journal of Finance 2008, 63:1653-1678.
20. Fama, E., French, K., 2012. Size, value, and momentum in international stock returns. Unpublished working paper. University of Chicago, Chicago, IL.
21. Fama E., MacBeth J. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 1973, 81(3):607-636.
22. Frazzini A. The disposition effect and under-reaction to news. Journal of Finance 2006, 61(4):2017-2046.
23. Frazzini, A., Israel, R., Moskowitz, T., 2012. Trading costs of asset pricing anomalies. Unpublished working paper. University of Chicago, Chicago, IL.
24. French, K., 2012. Data library. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.
25. Gompers P., Metrick A. Institutional investors and equity prices. Quarterly Journal of Economics 2001, 116:229-259.
26. Goyal, A., Wahal, S., 2012. Is momentum an echo? Unpublished working paper. Arizona State University, Tempe, AZ.
27. Griffin J., Ji S., Martin S. Momentum investing and business cycle risk: evidence from pole to pole. Journal of Finance 2003, 58:1547-2515.
28. Grinblatt M., Han B. Prospect theory, mental accounting, and momentum. Journal of Financial Economics 2005, 78:311-339.
29. Grinblatt M., Moskowitz T. Predicting stock price movements from past returns: the role of consistency and tax-loss selling. Journal of Financial Economics 2004, 71:541-579.
30. Hasbrouck J. Trading costs and returns for U.S. equities: estimating effective costs from daily data. Journal of Finance 2009, 64:1445-1477.
31. Hawawini G., Keim D.B. On the predictability of common stock returns: world-wide evidence. Handbooks in Operations Research and Management Science, Vol. 9, Finance, North-Holland 1995, 497-537. R.A. Jarrow, V. Maksimovic, W.T. Ziemba (Eds.).
32. Hong H., Lim T., Stein J. Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies. Journal of Finance 2000, 55:265-295.
33. Hong H., Stein J. A unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance 1999, 54:2143-2184.
34. Israel, R., Moskowitz, T., 2012, How tax efficient are equity styles? Unpublished working paper. University of Chicago, Chicago, IL.
35. Jegadeesh N., Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 1993, 48:65-91.
36. Jegadeesh N., Titman S. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 2001, 56:699-720.
37. Jegadeesh N., Titman S. Momentum: a review. Advances in Behavioral Finance 2005, Princeton Press, Princeton, NJ. R. Thaler (Ed.).
38. Jones, C., 2002. A century of stock market liquidity and trading costs. Unpublished working paper. Columbia University, New York, NY.
39. Lakonishok J., Shleifer A., Vishny R.W. Contrarian investment, extrapolation, and risk. Journal of Finance 1994, 49:1541-1578.
40. Lee C., Swaminathan B. Price momentum and trading volume. Journal of Finance 2000, 55:2017-2070.
41. McLean, R.D., Pontiff, J., 2012. Does academic research destroy stock return predictability? Unpublished working paper. Boston College, Boston, MA.
42. Moskowitz T.J., Grinblatt M. Do industries explain momentum?. Journal of Finance 1999, 54:1249-1290.
43. Novy-Marx R. Is momentum really momentum?. Journal of Financial Economics 2012, 103:429-453.
44. Roll R. Vas ist das? the turn-of-the-year effect and the return premia of small firms. Journal of Portfolio Management 1983, 9:18-28.
45. Rosenberg B., Reid K., Lanstein R. Persuasive evidence of market inefficiency. Journal of Portfolio Management 1985, 11:9-17.
46. Rouwenhorst K.G. International momentum strategies. Journal of Finance 1998, 53:267-284.
47. Schwert W. Anomalies and market efficiency. Handbook of the Economics of Finance, Elsevier Science 2003, 937-972. G. Constantinides, M. Harris, R.M. Stulz (Eds.).
48. Sharpe W.F. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 1964, 19:425-442.
49. Stattman D. Book values and stock returns. Chicago MBA: A Journal of Selected Papers 1980, 5:25-45.