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Liquid Betting against Beta in Dow Jones Industrial Average Stocks
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Liquid Betting against Beta in Dow Jones Industrial Average Stocks (2015)Liquid Betting against Beta in Dow Jones …Value and Momentum Everywhere (2013)Value and Momentum EverywhereBetting against beta (2013)Betting against betaThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The Sharpe Ratio (1994)The Sharpe RatioReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…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…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…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…Investor overconfidence and the security market line: New evidence from China (2020)Investor overconfidence and t…Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest? (2017)Optimism bias in financial an…On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations (2015)On the performance of simple …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)A five-factor asset pricing model (2014)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)ARCH modeling in finance (1992)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)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)Does the Stock Market Overreact? (1985)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
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  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2013Betting against beta2,027 cited
  • 1985

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Persuasive evidence of market inefficiency
1,951 cited

Cited by

  • 2020Investor overconfidence and the security market line: New evidence from China39 cited
  • 2015On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations26 cited
  • 2017Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?17 cited