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Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms
9 references·16 citing·32 second hop
Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms (1997)Firm Size, Book-to-Market Ratio, and Secu…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Multifactor models do not explain deviations from the CAPM (1995)Multifactor models do not exp…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence (1994)The Cross-Section of Realized…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Beta and Return (1993)Beta and ReturnThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Earnings, retained earnings, and book-to-market in the cross section of expected returns (2019)Earnings, retained earnings, …The History of the Cross-Section of Stock Returns (2018)The History of the Cross-Sect…Are Stars’ Opinions Worth More? The Relation Between Analyst Reputation and Recommendation Values (2013)Are Stars’ Opinions Worth Mor…The Determinants of Bank Capital Structure (2009)The Determinants of Bank Capi…What Do Independent Directors Know? Evidence from Their Trading (2008)What Do Independent Directors…Common risk factors in bank stocks (2008)Common risk factors in bank s…New Product Preannouncements and Shareholder Value: Don't Make Promises you Can't Keep (2007)New Product Preannouncements …Biases in Decomposing Holding-Period Portfolio Returns (2006)Biases in Decomposing Holding…Estimating the Cost of Equity Capital for Property‐Liability Insurers (2005)Estimating the Cost of Equity…Indicators of Successful Companies (2003)Indicators of Successful Comp…Evidence of predictability in the cross-section of bank stock returns (2003)Evidence of predictability in…Assessing Asset Pricing Anomalies (2001)Assessing Asset Pricing Anoma…The Long-Run Return to Investors in Share Issue Privatization (2000)The Long-Run Return to Invest…The Long-Run Performance of Global Equity Offerings (2000)The Long-Run Performance of G…Conditioning Variables and the Cross-Section of Stock Returns (1999)Conditioning Variables and th…Do Investors Trade Too Much? (1998)Do Investors Trade Too Much?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)The effects of dividend yield and dividend policy on common stock prices and returns (1974)Characteristics, Covariances, and Average Returns: 1929-1997 (1998)Overreaction and Insider Trading: Evidence from Growth and Value Portfolios (1998)The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect (1999)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Momentum Strategies (1996)Accounting valuation, market expectation, and cross-sectional stock returns (1998)Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The arbitrage theory of capital asset pricing (1976)Does the Stock Market Overreact? (1985)Anomalies and Market Efficiency (2002)What Factors Drive Global Stock Returns? (2011)Is the Risk of Bankruptcy a Systematic Risk? (1998)What Drives Firm‐Level Stock Returns? (2002)Predicting returns with financial ratios (2004)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1996)Underpricing and long-term performance of IPOs in China (2003)Is Default Risk Negatively Related to Stock Returns? (2010)Time-Varying Fund Manager Skill (2011)Constructing and Testing Alternative Versions of the Fama–French and Carhart Models in the UK (2013)Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1993Beta and Return588 cited
  • 1995Multifactor models do not explain deviations from the CAPM571 cited
  • 1994The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence391 cited

Cited by

  • 1999Conditioning Variables and the Cross-Section of Stock Returns294 cited
  • 2018The History of the Cross-Section of Stock Returns278 cited
  • 2007New Product Preannouncements and Shareholder Value: Don't Make Promises you Can't Keep243 cited
  • 2000The Long-Run Performance of Global Equity Offerings243 cited
  • 1998Do Investors Trade Too Much?230 cited
  • 2008What Do Independent Directors Know? Evidence from Their Trading160 cited
  • 2003

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Evidence of predictability in the cross-section of bank stock returns
152 cited
  • 2003Indicators of Successful Companies133 cited
  • 2013Are Stars’ Opinions Worth More? The Relation Between Analyst Reputation and Recommendation Values131 cited
  • 2001Assessing Asset Pricing Anomalies129 cited
  • 2009The Determinants of Bank Capital Structure122 cited
  • 2019Earnings, retained earnings, and book-to-market in the cross section of expected returns114 cited
  • 2000The Long-Run Return to Investors in Share Issue Privatization113 cited
  • 2006Biases in Decomposing Holding-Period Portfolio Returns108 cited
  • 2008Common risk factors in bank stocks96 cited
  • 2005Estimating the Cost of Equity Capital for Property‐Liability Insurers92 cited