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Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns
16 references·0 citing·25 second hopsampled
Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns (2010)Idiosyncratic Risk, Costly Arbitrage, and…Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…Dissecting Anomalies (2007)Dissecting AnomaliesThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Information Uncertainty and Stock Returns (2006)Information Uncertainty and S…Accrual reliability, earnings persistence and stock prices (2005)Accrual reliability, earnings…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…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns 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 Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…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)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Framing of Decisions and the Psychology of Choice (1981)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)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Capital markets research in accounting (2001)In Search of Attention (2011)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
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2006Information Uncertainty and Stock Returns1,810 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 2007Dissecting Anomalies1,573 cited

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Accrual reliability, earnings persistence and stock prices
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