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Investor Psychology and Tests of Factor Pricing Models
16 references·0 citing·27 second hop
Investor Psychology and Tests of Factor Pricing Models (2005)Investor Psychology and Tests of Factor P…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsProspect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Managerial Decisions and Long‐Term Stock Price Performance (2000)Managerial Decisions and Long…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…A model of investor sentiment /A model of investor sentiment…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)
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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
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1997Evidence on the Characteristics of Cross Sectional Variation in Stock Returns1,665 cited
  • 2000Managerial Decisions and Long‐Term Stock Price Performance1,573 cited
  • 1998Optimal Investment, Growth Options, and Security Returns

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