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A Taxonomy of Anomalies and Their Trading Costs
16 references·16 citing·30 second hopsampled
A Taxonomy of Anomalies and Their Trading Costs (2015)A Taxonomy of Anomalies and Their Trading…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…The other side of value: The gross profitability premium (2013)The other side of value: The …Betting against beta (2013)Betting against betaIn Search of Distress Risk (2008)In Search of Distress RiskAsset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1997)Do Stock Prices Fully Reflect…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability (2022)Machine Learning vs. Economic…Factor Momentum and the Momentum Factor (2022)Factor Momentum and the Momen…ESG, liquidity, and stock returns (2022)ESG, liquidity, and stock ret…Common Risk Factors in Cryptocurrency (2022)Common Risk Factors in Crypto…Prospect Theory and Stock Market Anomalies (2021)Prospect Theory and Stock Mar…ESG Rating Disagreement and Stock Returns (2021)ESG Rating Disagreement and S…Anomalies and False Rejections (2020)Anomalies and False RejectionsAnomalies across the globe: Once public, no longer existent? (2019)Anomalies across the globe: O…A Transaction-Cost Perspective on the Multitude of Firm Characteristics (2019)A Transaction-Cost Perspectiv…Sparse Signals in the Cross‐Section of Returns (2018)Sparse Signals in the Cross‐S…Psychology-Based Models of Asset Prices and Trading Volume (2018)Psychology-Based Models of As…Interpreting Factor Models (2018)Interpreting Factor ModelsAre Financial Constraints Priced? Evidence from Textual Analysis (2018)Are Financial Constraints Pri…The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)The Characteristics that Prov…Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach (2017)Fundamental Analysis and the …A trend factor: Any economic gains from using information over investment horizons? (2016)A trend factor: Any economic …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Forecasting Default with the Merton Distance to Default Model (2008)The economic implications of corporate financial reporting (2005)The market pricing of accruals quality (2005)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)The arbitrage theory of capital asset pricing (1976)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 2008In Search of Distress Risk2,232 cited
  • 1997Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?2,181 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2013Betting against beta2,027 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 2008

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Asset Growth and the Cross‐Section of Stock Returns
1,595 cited

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  • 2018Psychology-Based Models of Asset Prices and Trading Volume218 cited
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  • 2020Anomalies and False Rejections209 cited
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