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Evidence to support the four-factor pricing model from the Canadian stock market
16 references·16 citing·18 second hopsampled
Evidence to support the four-factor pricing model from the Canadian stock market (2004)Evidence to support the four-factor prici…Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)Characteristics, Covariances,…Can book-to-market, size and momentum be risk factors that predict economic growth? (2000)Can book-to-market, size and …Local Return Factors and Turnover in Emerging Stock Markets (1999)Local Return Factors and Turn…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Is the Risk of Bankruptcy a Systematic Risk? (1998)Is the Risk of Bankruptcy a S…International Momentum Strategies (1998)International Momentum Strate…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…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…The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market (2020)The Fama-French Five-Factor M…Performance measurement of ESG-themed megatrend investments in global equity markets using pure factor portfolios methodology (2020)Performance measurement of ES…Is human capital the sixth factor? (2018)Is human capital the sixth fa…Financial distress and equity returns: A leverage-augmented three-factor model (2016)Financial distress and equity…Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets (2014)Socially responsible investin…The effect of corporate social responsibility on stock performance: new evidence for the USA and Europe (2013)The effect of corporate socia…The Cross-Section of German Stock Returns: New Data and New Evidence (2012)The Cross-Section of German S…Investor sentiment, risk factors and stock return: evidence from Indian non‐financial companies (2012)Investor sentiment, risk fact…ASSET PRICING WITH INVESTOR SENTIMENT: EVIDENCE FROM CHINESE STOCK MARKETS* (2012)ASSET PRICING WITH INVESTOR S…A ADIÇÃO DO FATOR DE RISCO MOMENTO AO MODELO DE PRECIFICAÇÃO DE ATIVOS DOS TRÊS FATORES DE FAMA e FRENCH APLICADO AO MERCADO ACIONÁRIO BRASILEIRO (2012)A ADIÇÃO DO FATOR DE RISCO MO…Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance (2010)Size effect in January and cu…On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market (2009)On the validity of the augmen…Corporate Responses to Climate Change and Financial Performance: The Impact of Climate Policy (2009)Corporate Responses to Climat…Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model (2008)Spanish stock market sensitiv…Risk Factors for the Swiss Stock Market (2008)Risk Factors for the Swiss St…The Cross-Section of Stock Returns on The Shanghai Stock Exchange (2006)The Cross-Section of Stock Re…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Does the Stock Market Overreact? (1985)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)Inefficient Markets (2000)Are Insider Trades Informative? (2001)The Value Premium (2005)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Psychology and Asset Pricing (2001)Value and Momentum Everywhere (2013)
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
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1998International Momentum Strategies1,813 cited
  • 1994Contrarian Investment, Extrapolation, and Risk1,354 cited
  • 2000Characteristics, Covariances, and Average Returns: 1929 to 19971,100 cited
  • 2000Can book-to-market, size and momentum be risk factors that predict economic growth?1,012 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 1998Is the Risk of Bankruptcy a Systematic Risk?1,002 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1999Local Return Factors and Turnover in Emerging Stock Markets839 cited
  • Cited by

    • 2020Performance measurement of ESG-themed megatrend investments in global equity markets using pure factor portfolios methodology75 cited
    • 2020The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market73 cited
    • 2014Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets65 cited
    • 2013The effect of corporate social responsibility on stock performance: new evidence for the USA and Europe62 cited
    • 2012The Cross-Section of German Stock Returns: New Data and New Evidence55 cited
    • 2008Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model47 cited
    • 2006The Cross-Section of Stock Returns on The Shanghai Stock Exchange45 cited
    • 2016Financial distress and equity returns: A leverage-augmented three-factor model44 cited
    • 2010Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance34 cited
    • 2018Is human capital the sixth factor?34 cited
    • 2012Investor sentiment, risk factors and stock return: evidence from Indian non‐financial companies30 cited
    • 2008Risk Factors for the Swiss Stock Market30 cited
    • 2009Corporate Responses to Climate Change and Financial Performance: The Impact of Climate Policy28 cited
    • 2009On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market27 cited
    • 2012A ADIÇÃO DO FATOR DE RISCO MOMENTO AO MODELO DE PRECIFICAÇÃO DE ATIVOS DOS TRÊS FATORES DE FAMA e FRENCH APLICADO AO MERCADO ACIONÁRIO BRASILEIRO24 cited
    • 2012ASSET PRICING WITH INVESTOR SENTIMENT: EVIDENCE FROM CHINESE STOCK MARKETS*23 cited