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Trading activity and expected stock returns
16 references·16 citing·27 second hopsampled
Trading activity and expected stock returns (2001)Trading activity and expected stock retur…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…Commonality in liquidity (2000)Commonality in liquidityDo Industries Explain Momentum? (1999)Do Industries Explain Momentu…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…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…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Common Risk Factors in Cryptocurrency (2022)Common Risk Factors in Crypto…Taming the Factor Zoo: A Test of New Factors (2020)Taming the Factor Zoo: A Test…Dissecting Characteristics Nonparametrically (2019)Dissecting Characteristics No…The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)The Characteristics that Prov…The Pre-FOMC Announcement Drift (2012)The Pre-FOMC Announcement Dri…The impact of the dimensions of social performance on firm risk (2012)The impact of the dimensions …Recent trends in trading activity and market quality (2011)Recent trends in trading acti…Liquidity Risk and Expected Corporate Bond Returns (2010)Liquidity Risk and Expected C…Liquidity and Autocorrelations in Individual Stock Returns (2006)Liquidity and Autocorrelation…Liquidity and Asset Prices (2006)Liquidity and Asset PricesIPO Underpricing and After-Market Liquidity (2006)IPO Underpricing and After-Ma…Earnings and price momentum (2006)Earnings and price momentumAsset Pricing Models and Financial Market Anomalies (2006)Asset Pricing Models and Fina…The illusory nature of momentum profits (2003)The illusory nature of moment…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Liquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected S…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)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)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Behavior of Stock-Market Prices (1965)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Does the Stock Market Overreact? (1985)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Investor Psychology and Asset Pricing (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)
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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
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 2000Commonality in liquidity1,748 cited
  • 2000Price Momentum and Trading Volume1,593 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1978

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THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
1,393 cited

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