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Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies
16 references·0 citing·21 second hop
Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies (2016)Investor sentiment, limits on arbitrage, …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…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 Limits of Arbitrage (1995)The Limits of ArbitrageContrarian 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…The Long‐Run Performance of initial Public Offerings (1991)The Long‐Run Performance of i…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The relationship between return and market value of common stocks (1981)The relationship between retu…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)The Cross-Section of Expected Stock Returns (1992)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A five-factor asset pricing model (2014)Advances in prospect theory: Cumulative representation of uncertainty (1992)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Editor's Choice Digesting Anomalies: An Investment ApproachLiquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997On Persistence in Mutual Fund Performance17,267 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
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1991

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The Long‐Run Performance of initial Public Offerings
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