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Quantitative Stock Selection in Japan and the United States
16 references·1 citing·32 second hop
Quantitative Stock Selection in Japan and the United States (2006)Quantitative Stock Selection in Japan and…Active Portfolio Management (2017)Active Portfolio ManagementMomentum Strategies (1996)Momentum StrategiesSize and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Data Mining Corrections (1994)Data Mining CorrectionsContrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…A comparison of some aspects of the U.S. and Japanese equity markets (1993)A comparison of some aspects …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Expectations and Share Prices (1981)Expectations and Share PricesThe information content of financial analysts' forecasts of earnings (1979)The information content of fi…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Tests of Capital Asset Pricing Hypotheses (1975)Tests of Capital Asset Pricin…Extra-Market Components of Covariance in Security Returns (1974)Extra-Market Components of Co…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionChapter 2 Global Earnings Forecasting Efficiency (2012)Chapter 2 Global Earnings For…An Empirical Evaluation of Accounting Income Numbers (1968)The Information Content of Annual Earnings Announcements (1968)Earnings forecasting research: its implications for capital markets research (1993)An Empirical Analysis of Analysts' Target Prices: Short‐term Informativeness and Long‐term Dynamics (2003)CEO Dismissal: The role of investment analysts (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)An Intertemporal Capital Asset Pricing Model (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Industry costs of equity (1997)A five-factor asset pricing model (2014)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Inefficient Markets (2000)Are Insider Trades Informative? (2001)The Value Premium (2005)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)The Information Ratio (1998)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)No-dynamic-arbitrage and market impact (2010)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1952Portfolio Selection4,609 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1994Contrarian Investment, Extrapolation, and Risk1,354 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 2017Active Portfolio Management463 cited
  • 1979The information content of financial analysts' forecasts of earnings412 cited
  • 1974Extra-Market Components of Covariance in Security Returns295 cited
  • 1996Momentum Strategies255 cited
  • 1981Expectations and Share Prices233 cited
  • 1975Tests of Capital Asset Pricing Hypotheses113 cited
  • 1993A comparison of some aspects of the U.S. and Japanese equity markets101 cited
  • 1994Data Mining Corrections

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  • 2012Chapter 2 Global Earnings Forecasting Efficiency18 cited