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Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars
16 references·16 citing·32 second hopsampled
Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars (2014)Predicting anomaly performance with polit…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…The New Issues Puzzle (1995)The New Issues PuzzleReturns 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…Dividend yields and expected stock returns (1988)Dividend yields and expected …Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Expected stock returns and volatility (1987)Expected stock returns and vo…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…The relationship between return and market value of common stocks (1981)The relationship between retu…On estimating the expected return on the market (1980)On estimating the expected re…Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…Asset returns and inflation (1977)Asset returns and inflationA critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Investor sentiment and its implication on global financial markets: a systematic review of literature (2025)Investor sentiment and its im…Financial Machine Learning (2023)Financial Machine LearningShort-run and long-run effects of ESG policies on value creation and the cost of equity of firms (2022)Short-run and long-run effect…Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies (2021)Investing with cryptocurrenci…Time-varying state variable risk premia in the ICAPM (2020)Time-varying state variable r…How emotions influence behavior in financial markets: a conceptual analysis and emotion-based account of buy-sell preferences (2020)How emotions influence behavi…Grow the Pie (2020)Grow the PieA Fresh Look at Return Predictability Using a More Efficient Estimator (2018)A Fresh Look at Return Predic…A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price (2018)A framework for identifying a…Stock returns and investors' mood: Good day sunshine or spurious correlation? (2017)Stock returns and investors' …The information content of the sentiment index (2015)The information content of th…Does mood affect trading behavior? (2015)Does mood affect trading beha…Alphanomics: The Informational Underpinnings of Market Efficiency (2015)Alphanomics: The Informationa……and the Cross-Section of Expected Returns (2013)…and the Cross-Section of Exp…The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns (2012)The Long of It: Odds That Inv…Firm Characteristics and Empirical Factor Models: A Model-Mining Experiment (2012)Firm Characteristics and Empi…Specification Tests in Econometrics (1978)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)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)A five-factor asset pricing model (2014)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Conditional logit analysis of qualitative choice behavior (1972)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)The Effect of Audit Quality on Earnings Management* (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The arbitrage theory of capital asset pricing (1976)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
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1977Asset returns and inflation2,701 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited

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  • 1985Stock Returns and the Term Structure2,260 cited
  • Cited by

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    • 2022Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms64 cited
    • 2012The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns61 cited
    • 2015Alphanomics: The Informational Underpinnings of Market Efficiency55 cited
    • 2018A Fresh Look at Return Predictability Using a More Efficient Estimator47 cited
    • 2018A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price43 cited
    • 2020Time-varying state variable risk premia in the ICAPM41 cited
    • 2023Financial Machine Learning41 cited
    • 2013…and the Cross-Section of Expected Returns36 cited
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    • 2012Firm Characteristics and Empirical Factor Models: A Model-Mining Experiment33 cited