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The relationship between asset growth and the cross-section of stock returns
16 references·16 citing·21 second hopsampled
The relationship between asset growth and the cross-section of stock returns (2010)The relationship between asset growth and…Asset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1997)Do Stock Prices Fully Reflect…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…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…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…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…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…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Investor sentiment and stock market anomalies in Australia (2023)Investor sentiment and stock …Are Growth Led Financing Decisions Causing Insolvency in Listed Firms of Pakistan? (2020)Are Growth Led Financing Deci…Firm profitability and expected stock returns: Evidence from Latin America (2019)Firm profitability and expect…Review of New Trends in the Literature on Factor Models and Mutual Fund Performance (2018)Review of New Trends in the L…Investment-related anomalies in Australia: Evidence and explanations (2018)Investment-related anomalies …Idiosyncratic volatility in the Australian equity market (2017)Idiosyncratic volatility in t…Good Growth, Bad Growth: How Effective are REITs’ Corporate Watchdogs? (2017)Good Growth, Bad Growth: How …Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model (2017)Explaining Anomalies in Austr…Profitability and investment‐based factor pricing models (2016)Profitability and investment‐…Asset Growth and Stock Performance: Evidence from REITs (2016)Asset Growth and Stock Perfor…The Impact of Financial Leverage and Market Size on Stock Returns on the Dhaka Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector (2015)The Impact of Financial Lever…A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia (2015)A Better Model? An Empirical …A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia (2015)A Better Model? An Empirical …Stock weighting and nontrading bias in estimated portfolio returns (2013)Stock weighting and nontradin…Dissecting anomalies in the Australian stock market (2012)Dissecting anomalies in the A…Information in balance sheets for future stock returns: Evidence from net operating assets (2011)Information in balance sheets…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)The economic implications of corporate financial reporting (2005)The market pricing of accruals quality (2005)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)
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
  • 1997On Persistence in Mutual Fund Performance17,267 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
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1997Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?2,181 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited

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  • 2008Asset Growth and the Cross‐Section of Stock Returns1,595 cited
  • Cited by

    • 2016Asset Growth and Stock Performance: Evidence from REITs44 cited
    • 2017Explaining Anomalies in Australia with a Five‐factor Asset Pricing Model44 cited
    • 2015A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia39 cited
    • 2015A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia37 cited
    • 2012Dissecting anomalies in the Australian stock market33 cited
    • 2019Firm profitability and expected stock returns: Evidence from Latin America32 cited
    • 2015The Impact of Financial Leverage and Market Size on Stock Returns on the Dhaka Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector31 cited
    • 2018Review of New Trends in the Literature on Factor Models and Mutual Fund Performance31 cited
    • 2017Idiosyncratic volatility in the Australian equity market29 cited
    • 2017Good Growth, Bad Growth: How Effective are REITs’ Corporate Watchdogs?24 cited
    • 2023Investor sentiment and stock market anomalies in Australia24 cited
    • 2016Profitability and investment‐based factor pricing models23 cited
    • 2011Information in balance sheets for future stock returns: Evidence from net operating assets20 cited
    • 2018Investment-related anomalies in Australia: Evidence and explanations20 cited
    • 2013Stock weighting and nontrading bias in estimated portfolio returns19 cited
    • 2020Are Growth Led Financing Decisions Causing Insolvency in Listed Firms of Pakistan?15 cited