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State-Level Business Cycles and Local Return Predictability · Study

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PreprintState-Level Business Cycles and Local Return Predictability

George M. Korniotis2008

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Preprintgreen2008

State-Level Business Cycles and Local Return Predictability

George M. Korniotis · Alok Kumar

137 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data 2006Investor Sentiment and the Cross‐Section of Stock Returns 1997Industry costs of equity 1995The Limits of Arbitrage 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

Cited by

2013Local Risk, Local Factors, and Asset Prices 2016The impact of natural disasters on the stock returns and volatilities of local firms 2017Green Buildings in Commercial Mortgage‐Backed Securities: The Effects of LEED and Energy Star Certification on Default Risk and Loan Terms 2012Investor Sentiment and Return Comovements: Evidence from Stock Splits and Headquarters Changes 2020Searching for Gambles: Gambling Sentiment and Stock Market Outcomes

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2013State‐Level Business Cycles and Local Return Predictabilityarticle · 42 shared references 2005Financial Markets and the Real Economychapter · 19 shared references 2014Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shillerarticle · 18 shared references 2012Multifactor models and their consistency with the ICAPMarticle · 16 shared references 2010Predictability of Returns and Cash Flowsreport · 16 shared references 2014Robust Econometric Inference for Stock Return Predictabilityarticle · 15 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations137

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1094560

openalex_workW2106539152

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