SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Industries and Stock Return Reversals
16 references·14 citing·21 second hopsampled
Industries and Stock Return Reversals (2014)Industries and Stock Return ReversalsMarket Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and leverage (2008)Liquidity and leverageLiquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Industry costs of equity (1997)Industry costs of equityThe Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…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…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Investor Regret and Stock Returns (2024)Investor Regret and Stock Ret…Attention is all you need: An interpretable transformer-based asset allocation approach (2023)Attention is all you need: An…Short-term reversals, returns to liquidity provision and the costs of immediacy* (2022)Short-term reversals, returns…Revealing Pairs-trading opportunities with long short-term memory networks (2021)Revealing Pairs-trading oppor…Retail attention, retail trades, and stock price crash risk (2021)Retail attention, retail trad…Anomalies in the China A-share market (2021)Anomalies in the China A-shar…Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market (2020)Why Do Option Prices Predict …Short-term momentum (almost) everywhere (2019)Short-term momentum (almost) …Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes (2019)Optimal trading strategies fo…Machine Learning Versus Economic Restrictions: Evidence from Stock Return Predictability (2019)Machine Learning Versus Econo…The Role of Psychological Barriers in Lottery-Related Anomalies (2017)The Role of Psychological Bar…Information Shocks and Short-Term Market Underreaction (2016)Information Shocks and Short-…Do Hedge Funds Supply or Demand Liquidity? (2013)Do Hedge Funds Supply or Dema…Short-Term Residual Reversal (2011)Short-Term Residual ReversalCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Asset pricing with liquidity risk (2005)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Multifactor Explanations of Asset Pricing Anomalies (1996)Conditional Skewness in Asset Pricing Tests (2000)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1997Industry costs of equity5,793 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2008Liquidity and leverage2,557 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1999Do Industries Explain Momentum?

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,770 cited

Cited by

  • 2016Information Shocks and Short-Term Market Underreaction112 cited
  • 2013Do Hedge Funds Supply or Demand Liquidity?85 cited
  • 2020Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market75 cited
  • 2019Machine Learning Versus Economic Restrictions: Evidence from Stock Return Predictability74 cited
  • 2021Anomalies in the China A-share market62 cited
  • 2021Retail attention, retail trades, and stock price crash risk61 cited
  • 2021Revealing Pairs-trading opportunities with long short-term memory networks47 cited
  • 2011Short-Term Residual Reversal42 cited
  • 2023Attention is all you need: An interpretable transformer-based asset allocation approach42 cited
  • 2024Investor Regret and Stock Returns38 cited
  • 2022Short-term reversals, returns to liquidity provision and the costs of immediacy*37 cited
  • 2019Short-term momentum (almost) everywhere36 cited
  • 2017The Role of Psychological Barriers in Lottery-Related Anomalies34 cited
  • 2019Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes31 cited