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Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design
16 references·1 citing·42 second hop
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this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1990Financial Intermediaries and Liquidity Creation1,078 cited
  • 2004Comovement929 cited
  • 2014Do ETFs Increase Volatility?686 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1995Financial Innovation and Risk Sharing.390 cited
  • 1995Financial Market Innovation and Security Design: An Introduction321 cited
  • 2009The Future of Securities Regulation315 cited
  • 2017Is there a dark side to exchange traded funds? An information perspective311 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures300 cited
  • 2012Analyst Initiations of Coverage and Stock Return Synchronicity251 cited
  • 1993Security Baskets and Index-Linked Securities246 cited
  • 1995Financial Innovation and Risk Sharing.231 cited
  • 1992Informed Speculation and Hedging in a Noncompetitive Securities Market222 cited
  • 2014Presidential Address: Investment Noise and Trends185 cited
  • 1991Security Baskets and Index-Linked Securities

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  • 2016ETF Trading and Informational Efficiency of Underlying Securities33 cited