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Short-term predictability of equity returns along two style dimensions
16 references·1 citing·42 second hopsampled
Short-term predictability of equity returns along two style dimensions (2012)Short-term predictability of equity retur…Presidential Address: The Cost of Active Investing (2008)Presidential Address: The Cos…WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)WHAT DO WE KNOW ABOUT THE PRO…The Value Premium (2005)The Value PremiumA Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Book‐to‐Market Equity, Distress Risk, and Stock Returns (2002)Book‐to‐Market Equity, Distre…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Size 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…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Filter Rules and Stock-Market Trading (1966)Filter Rules and Stock-Market…Information asymmetry and the profitability of technical analysis (2021)Information asymmetry and the…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Comparing Predictive Accuracy (1994)Testing the equality of prediction mean squared errors (1997)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Forecasting: theory and practice (2022)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)A test for independence based on the correlation dimension (1996)Are Investors Reluctant to Realize Their Losses? (1998)Trading Volume and Serial Correlation in Stock Returns (1993)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Expected stock returns and volatility (1987)An Anatomy of Trading Strategies (1998)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Stock market's price movement prediction with LSTM neural networks (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Investment Under Uncertainty. (1994)Digesting Anomalies: An Investment Approach (2012)The other side of value: The gross profitability premium (2013)Value and Momentum Everywhere (2013)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,515 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,759 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,311 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,878 cited
  • 2005The Value Premium1,334 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 1999Using genetic algorithms to find technical trading rules868 cited
  • 2008Presidential Address: The Cost of Active Investing862 cited
  • 1966Filter Rules and Stock-Market Trading832 cited
  • 2002Book‐to‐Market Equity, Distress Risk, and Stock Returns778 cited
  • 2007WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?609 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1989

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The size and power of the variance ratio test in finite samples
522 cited

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  • 2021Information asymmetry and the profitability of technical analysis15 cited