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Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums
16 references·16 citing·37 second hopsampled
Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums (2010)Cross-Sectional Return Dispersion and Tim…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Dissecting Anomalies (2007)Dissecting AnomaliesThe Value Premium (2005)The Value PremiumMarket States and Momentum (2004)Market States and MomentumMomentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Momentum Investing and Busine…Momentum, Business Cycle, and Time‐varying Expected Returns (2002)Momentum, Business Cycle, and…Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…An examination of herd behavior in equity markets: An international perspective (2000)An examination of herd behavi…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…An Anatomy of Trading Strategies (1998)An Anatomy of Trading Strateg…Emerging equity market volatility (1997)Emerging equity market volati…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns 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…The Momentum Gap and Return Predictability (2021)The Momentum Gap and Return P…Time series momentum and macroeconomic risk (2020)Time series momentum and macr…Risk-mitigating effect of ESG on momentum portfolios (2019)Risk-mitigating effect of ESG…Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests (2019)Equity Return Dispersion and …New Evidence on Conditional Factor Models (2018)New Evidence on Conditional F…Economic Policy Uncertainty and Momentum (2018)Economic Policy Uncertainty a…Two Centuries of Price-Return Momentum (2016)Two Centuries of Price-Return…Time-Varying Liquidity and Momentum Profits (2016)Time-Varying Liquidity and Mo…Losing sight of the trees for the forest? Attention allocation and anomalies (2016)Losing sight of the trees for…Stock market dispersion, the business cycle and expected factor returns (2015)Stock market dispersion, the …Cross-sectional return dispersion and the equity premium (2015)Cross-sectional return disper…Market volatility and momentum (2014)Market volatility and momentumDoes return dispersion explain the accrual and investment anomalies? (2014)Does return dispersion explai…Forecasting High-Frequency Futures Returns Using Online Langevin Dynamics (2012)Forecasting High-Frequency Fu…Value Premium Across Countries (2011)Value Premium Across CountriesMomentum (2011)MomentumCAPITAL 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)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)Does the Stock Market Overreact? (1985)Investment Under Uncertainty. (1994)Industry Concentration and Average Stock Returns (2003)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Organization Capital and the Cross‐Section of Expected Returns (2013)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)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)On the Impossibility of Informationally Efficient Markets (1980)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Does financial liberalization spur growth? (2005)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)Industry costs of equity (1997)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)Asset Growth and the Cross‐Section of Stock Returns (2008)Hedging Climate Change News (2019)Firm‐Level Climate Change Exposure (2023)
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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
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2007Dissecting Anomalies1,573 cited
  • 2005The Value Premium1,334 cited
  • 2000An examination of herd behavior in equity markets: An international perspective1,288 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2004Market States and Momentum995 cited
  • 2003Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole955 cited
  • 1998An Anatomy of Trading Strategies858 cited
  • 2002Momentum, Business Cycle, and Time‐varying Expected Returns

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812 cited

Cited by

  • 2014Market volatility and momentum146 cited
  • 2016Time-Varying Liquidity and Momentum Profits127 cited
  • 2011Momentum106 cited
  • 2016Two Centuries of Price-Return Momentum105 cited
  • 2019Risk-mitigating effect of ESG on momentum portfolios91 cited
  • 2015Cross-sectional return dispersion and the equity premium82 cited
  • 2018New Evidence on Conditional Factor Models62 cited
  • 2011Value Premium Across Countries48 cited
  • 2015Stock market dispersion, the business cycle and expected factor returns43 cited
  • 2016Losing sight of the trees for the forest? Attention allocation and anomalies39 cited
  • 2014Does return dispersion explain the accrual and investment anomalies?39 cited
  • 2019Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests38 cited
  • 2021The Momentum Gap and Return Predictability35 cited
  • 2018Economic Policy Uncertainty and Momentum34 cited
  • 2020Time series momentum and macroeconomic risk33 cited
  • 2012Forecasting High-Frequency Futures Returns Using Online Langevin Dynamics33 cited