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The Significance of Market Capitalization in Portfolio Management over Time
16 references·5 citing·31 second hop
The Significance of Market Capitalization in Portfolio Management over Time (1999)The Significance of Market Capitalization…The Inconsistency of Small-Firm and Value Stock Premiums (1998)The Inconsistency of Small-Fi…Return autocorrelation and institutional investors (1997)Return autocorrelation and in…Momentum Strategies (1996)Momentum StrategiesSize and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Revival of the Small-Firm Effect (1992)A Revival of the Small-Firm E…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…The Effect of Financial Ratios Toward Stock Returns Among Indonesian Manufacturing Companies (2015)The Effect of Financial Ratio…Quantitative or momentum-based multi-style rotation? UK experience (2010)Quantitative or momentum-base…A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination (2009)A Required Yield Theory of St…Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes (2007)Equity-style timing: A multi-…Tactical Style Allocation—A New Form of Market Neutral Strategy (2003)Tactical Style Allocation—A N…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Judgment Under Uncertainty: Heuristics and Biases. (1984)An Intertemporal Capital Asset Pricing Model (1973)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)A five-factor asset pricing model (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Inefficient Markets (2000)Are Insider Trades Informative? (2001)The Value Premium (2005)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1994Contrarian Investment, Extrapolation, and Risk1,354 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1997Return autocorrelation and institutional investors388 cited
  • 1996Momentum Strategies255 cited
  • 1992A Revival of the Small-Firm Effect52 cited
  • 1998The Inconsistency of Small-Firm and Value Stock Premiums

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41 cited

Cited by

  • 2007Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes39 cited
  • 2010Quantitative or momentum-based multi-style rotation? UK experience24 cited
  • 2015The Effect of Financial Ratios Toward Stock Returns Among Indonesian Manufacturing Companies20 cited
  • 2009A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination19 cited
  • 2003Tactical Style Allocation—A New Form of Market Neutral Strategy19 cited