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Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency
4 references·7 citing·33 second hop
Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency (1982)Factor-Related and Specific Returns of Co…A Possible Explanation of the Small Firm Effect (1981)A Possible Explanation of the…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Market and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions (2022)Inductive Representation Lear…A simple joint model for returns, volatility and volatility of volatility (2021)A simple joint model for retu…Capital Gains Overhang with a Dynamic Reference Point (2020)Capital Gains Overhang with a…Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration (2009)Methodologies for Isolating a…Efficiency Hypothesis of the Stock Markets: A Case of Indian Securities (2009)Efficiency Hypothesis of the …A simple algorithm to incorporate transactions costs in quadratic optimisation (1994)A simple algorithm to incorpo…Stock Price Reversals and Overreaction to News Events: A Survey of Theory and Evidence (1989)Stock Price Reversals and Ove…Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)Diversification, Ricardian Rents, and Tobin's q (1988)The Event Study Methodology Since 1969 (1998)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Risk measurement when shares are subject to infrequent trading (1979)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Transaction costs and the small firm effect (1983)Fundamental Indexation (2005)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Real-Time GARCH-MIDAS model (2023)The General Theory of Employment, Interest and Money. (1936)Portfolio Selection: Efficient Diversification of Investments. (1962)Mutual Fund Performance (1966)Why Does Stock Market Volatility Change Over Time? (1989)P2P credit risk management with KG-GNN: a knowledge graph and graph neural network-based approach (2024)The Cross-Section of Expected Stock Returns (1992)MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS (2001)On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management (2004)Enhanced index tracking with CVaR-based ratio measures (2020)
this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1981A Possible Explanation of the Small Firm Effect432 cited

Cited by

  • 1994A simple algorithm to incorporate transactions costs in quadratic optimisation58 cited
  • 2022Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions41 cited
  • 2021A simple joint model for returns, volatility and volatility of volatility33 cited
  • 2020Capital Gains Overhang with a Dynamic Reference Point29 cited
  • 2009Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration28 cited
  • 1989Stock Price Reversals and Overreaction to News Events: A Survey of Theory and Evidence27 cited
  • 2009Efficiency Hypothesis of the Stock Markets: A Case of Indian Securities22 cited

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