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Trading Costs of Asset Pricing Anomalies · Study

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PreprintTrading Costs of Asset Pricing Anomalies

Andrea Frazzini2012

OA

Preprintgreen2012

Trading Costs of Asset Pricing Anomalies

Andrea Frazzini · Ronen Israel · Tobias J. Moskowitz

222 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 222 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1996Multifactor Explanations of Asset Pricing Anomalies 1993The journal of financial economics 1998Value versus Growth: The International Evidence 2012Size, value, and momentum in international stock returns

Cited by

2018Psychology-Based Models of Asset Prices and Trading Volume 2012The role of shorting, firm size, and time on market anomalies 2018Size matters, if you control your junk 2017Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach 2017Do Investors Benefit from Selective Access to Management?2019A Transaction-Cost Perspective on the Multitude of Firm Characteristics 2016Return Seasonalities 2019Factor Momentum Everywhere

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations222

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.2294498

openalex_workW1532430735

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