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Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts☆
14 references·16 citing·41 second hop
Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts☆ (2010)Monotonicity in asset returns: New tests …The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Value Premium and the CAPM (2006)The Value Premium and the CAPMCAPM over the long run: 1926–2001 (2006)CAPM over the long run: 1926–…Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Can Mutual Fund “Stars” Reall…The Value Premium (2005)The Value PremiumA Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns (2004)Corporate Investment and Asse…Rational Momentum Effects (2002)Rational Momentum EffectsEmpirical pricing kernels (2002)Empirical pricing kernelsResurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Cross-Section of Cryptocurrency Returns (2022)The Cross-Section of Cryptocu…Time-varying inflation risk and stock returns (2019)Time-varying inflation risk a…Asset Pricing: A Tale of Night and Day (2018)Asset Pricing: A Tale of Nigh…Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns (2017)Understanding the Sources of …Technical analysis and stock return predictability: An aligned approach (2017)Technical analysis and stock …Buzz Factor or Innovation Potential: What Explains Cryptocurrencies’ Returns? (2017)Buzz Factor or Innovation Pot…Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016)Tree-Based Conditional Portfo…Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades (2016)Information Flows in Foreign …Individual Investor Activity and Performance (2016)Individual Investor Activity …Empirical Asset Pricing: The Cross Section of Stock Returns (2016)Empirical Asset Pricing: The …Media Makes Momentum (2014)Media Makes Momentum. . . and the Cross-Section of Expected Returns (2014). . . and the Cross-Section o…Decentralized Investment Management: Evidence from the Pension Fund Industry (2013)Decentralized Investment Mana…Measuring Equity Risk with Option-implied Correlations (2012)Measuring Equity Risk with Op…Forecast Rationality Tests Based on Multi-Horizon Bounds (2012)Forecast Rationality Tests Ba…The Inventory Growth Spread (2011)The Inventory Growth SpreadComparing Predictive Accuracy (1994)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Tests of Conditional Predictive Ability (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Trading Volume and Serial Correlation in Stock Returns (1993)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Industries Explain Momentum? (1999)The Stock Market Valuation of Research and Development Expenditures (2001)PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)Prices of State-Contingent Claims Implicit in Option Prices (1978)On estimating the expected return on the market (1980)Implied Binomial Trees (1994)Characteristics of Risk and Return in Risk Arbitrage (2001)Expected Option Returns (2001)Demand-Based Option Pricing (2005)Investment Under Uncertainty. (1994)Forecast Dispersion and the Cross Section of Expected Returns (2004)The New Issues Puzzle: Testing the Investment-Based Explanation (2007)Attracting Investor Attention through Advertising (2014)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)On Persistence in Mutual Fund Performance (1997)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Unobserved Actions of Mutual Funds (2006)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Industry Concentration and Average Stock Returns (2003)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Organization Capital and the Cross‐Section of Expected Returns (2013)Investor Sentiment and the Cross-Section of Stock Returns (2003)A skeptical appraisal of asset pricing tests☆ (2009)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2012The Econometrics of Financial Markets5,875 cited
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  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
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  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2006Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis1,058 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
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  • 2006The Value Premium and the CAPM519 cited
  • 2002Rational Momentum Effects499 cited
  • 2006CAPM over the long run: 1926–2001412 cited

Cited by

  • 2014Media Makes Momentum228 cited
  • 2016Empirical Asset Pricing: The Cross Section of Stock Returns

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210 cited
  • 2017Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns198 cited
  • 2012Measuring Equity Risk with Option-implied Correlations159 cited
  • 2011The Inventory Growth Spread155 cited
  • 2018Asset Pricing: A Tale of Night and Day147 cited
  • 2014. . . and the Cross-Section of Expected Returns140 cited
  • 2012Forecast Rationality Tests Based on Multi-Horizon Bounds137 cited
  • 2017Buzz Factor or Innovation Potential: What Explains Cryptocurrencies’ Returns?133 cited
  • 2013Decentralized Investment Management: Evidence from the Pension Fund Industry125 cited
  • 2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades124 cited
  • 2019Time-varying inflation risk and stock returns121 cited
  • 2016Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns121 cited
  • 2022The Cross-Section of Cryptocurrency Returns102 cited
  • 2017Technical analysis and stock return predictability: An aligned approach93 cited
  • 2016Individual Investor Activity and Performance90 cited