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Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies
16 references·2 citing·26 second hop
Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies (2003)Testing Market Efficiency Using Statistic…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…The New Issues Puzzle (1995)The New Issues PuzzleThe Limits of Arbitrage (1995)The Limits of ArbitrageSize and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…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…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.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…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIThe relationship between return and market value of common stocks (1981)The relationship between retu…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Statistical Arbitrage Mining for Display Advertising (2015)Statistical Arbitrage Mining …Another look at the cross-section of average returns on the JSE (2009)Another look at the cross-sec…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

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  • 2009Another look at the cross-section of average returns on the JSE36 cited