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Commonality in the determinants of expected stock returns · Study

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ArticleCommonality in the determinants of expected stock returns

Robert A. Haugen1996

Article1996

Commonality in the determinants of expected stock returns

Robert A. Haugen · Nardin L. Baker

1,066 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1985Does the Stock Market Overreact?1986Asset pricing and the bid-ask spread 1994Contrarian Investment, Extrapolation, and Risk 1987Expected stock returns and volatility

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2018Replicating Anomalies 1997A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets 2002What Drives Firm‐Level Stock Returns?2003Style investing 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle 2006Profitability, investment and average returns 1999Conditioning Variables and the Cross Section of Stock Returns

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2002Anomalies and Market Efficiencyreport · 9 shared references 2016Empirical Asset Pricing: The Cross Section of Stock Returnsarticle · 9 shared references 2009The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research?article · 9 shared references 2011Empirical cross-sectional asset pricing: a surveyarticle · 9 shared references 1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1article · 8 shared references 2018Replicating Anomalies

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Year1996

Typearticle

Published1996-07-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations1,066

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(95)00868-f

openalex_workW2093260403

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1999Local Return Factors and Turnover in Emerging Stock Markets

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