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State-Level Business Cycles and Local Return Predictability
16 references·16 citing·31 second hopsampled
State-Level Business Cycles and Local Return Predictability (2008)State-Level Business Cycles and Local Ret…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Home Bias at Home: Local Equi…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Industry costs of equity (1997)Industry costs of equityThe Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …The Limits of Arbitrage (1995)The Limits of ArbitrageReturns 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…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Dividend yields and expected stock returns (1988)Dividend yields and expected …Local product market competition and bank loans (2021)Local product market competit…Searching for Gambles: Gambling Sentiment and Stock Market Outcomes (2020)Searching for Gambles: Gambli…One and the Same? A Systematic Literature Review of Residential Property Investor Types (2020)One and the Same? A Systemati…Climate Risk and the Price of Audit Services: The Case of Drought (2020)Climate Risk and the Price of…Regional Economic Activity and Stock Returns (2018)Regional Economic Activity an…Green Buildings in Commercial Mortgage‐Backed Securities: The Effects of LEED and Energy Star Certification on Default Risk and Loan Terms (2017)Green Buildings in Commercial…The impact of natural disasters on the stock returns and volatilities of local firms (2016)The impact of natural disaste…Mood, Firm Behavior, and Aggregate Economic Outcomes (2015)Mood, Firm Behavior, and Aggr…Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws (2015)Mobile Communication and Loca…Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds (2015)Local Ownership, Crises, and …Culture, agency costs, and governance: International evidence on capital structure (2015)Culture, agency costs, and go…Local Risk, Local Factors, and Asset Prices (2013)Local Risk, Local Factors, an…Investor Sentiment and Return Comovements: Evidence from Stock Splits and Headquarters Changes (2012)Investor Sentiment and Return…Home Bias and Local Contagion: Evidence from Funds of Hedge Funds (2012)Home Bias and Local Contagion…The Trading Volume Impact of Local Bias: Evidence from a Natural Experiment (2011)The Trading Volume Impact of …Local investors, price discovery, and market efficiency (2011)Local investors, price discov…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The theory and practice of econometrics (1986)A panel project on purchasing power parity: Mean reversion within and between countries (1996)The overvaluation of purchasing power parity (1998)Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Effect of foreign direct investments, economic development and energy consumption on greenhouse gas emissions in developing countries (2018)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Market Liquidity and Funding Liquidity (2008)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Multifactor Explanations of Asset Pricing Anomalies (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data6,815 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1997Industry costs of equity5,793 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios2,898 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks

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2,844 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • Cited by

    • 2013Local Risk, Local Factors, and Asset Prices135 cited
    • 2016The impact of natural disasters on the stock returns and volatilities of local firms126 cited
    • 2017Green Buildings in Commercial Mortgage‐Backed Securities: The Effects of LEED and Energy Star Certification on Default Risk and Loan Terms106 cited
    • 2012Investor Sentiment and Return Comovements: Evidence from Stock Splits and Headquarters Changes104 cited
    • 2020Searching for Gambles: Gambling Sentiment and Stock Market Outcomes91 cited
    • 2011Local investors, price discovery, and market efficiency83 cited
    • 2015Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws77 cited
    • 2015Mood, Firm Behavior, and Aggregate Economic Outcomes68 cited
    • 2020Climate Risk and the Price of Audit Services: The Case of Drought63 cited
    • 2020One and the Same? A Systematic Literature Review of Residential Property Investor Types59 cited
    • 2011The Trading Volume Impact of Local Bias: Evidence from a Natural Experiment58 cited
    • 2018Regional Economic Activity and Stock Returns54 cited
    • 2012Home Bias and Local Contagion: Evidence from Funds of Hedge Funds48 cited
    • 2015Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds47 cited
    • 2021Local product market competition and bank loans45 cited
    • 2015Culture, agency costs, and governance: International evidence on capital structure45 cited