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Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach
16 references·16 citing·21 second hopsampled
Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach (2017)Fundamental Analysis and the Cross-Sectio…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A five-factor asset pricing model (2014)A five-factor asset pricing m…The other side of value: The gross profitability premium (2013)The other side of value: The …Betting against beta (2013)Betting against betaThe short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…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 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…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Non-standard errors in asset pricing: Mind your sorts (2024)Non-standard errors in asset …Unlocking the Power of Voice for Financial Risk Prediction: A Theory-Driven Deep Learning Design Approach (2023)Unlocking the Power of Voice …Stock price prediction based on LSTM and LightGBM hybrid model (2022)Stock price prediction based …The Limits of p ‐Hacking: Some Thought Experiments (2021)The Limits of p ‐Hacking: Som…Methodological Variation in Empirical Corporate Finance (2021)Methodological Variation in E…Security analysts and capital market anomalies (2020)Security analysts and capital…Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry (2020)Oil price shocks, investor se…Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence (2020)Luck versus Skill in the Cros…False (and Missed) Discoveries in Financial Economics (2020)False (and Missed) Discoverie…Estimating the anomaly base rate (2020)Estimating the anomaly base r…Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis (2019)Stock Investment and Excess R…Thousands of Alpha Tests (2018)Thousands of Alpha TestsMachine Learning and the Stock Market (2018)Machine Learning and the Stoc…Firm Characteristics and Chinese Stocks (2018)Firm Characteristics and Chin…False (and Missed) Discoveries in Financial Economics (2017)False (and Missed) Discoverie…Does momentum work? Evidence from Vietnam stock market (2017)Does momentum work? Evidence …CAPITAL 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 model of investor sentiment /The Behavior of Stock-Market Prices (1965)Market Liquidity and Funding Liquidity (2008)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)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)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)Hedging Climate Change News (2019)Dissecting green returns (2022)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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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
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 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
  • 1995The Limits of Arbitrage5,282 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2013Betting against beta2,027 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,781 cited
  • 2011The short of it: Investor sentiment and anomalies

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  • 2018Machine Learning and the Stock Market70 cited
  • 2018Firm Characteristics and Chinese Stocks69 cited
  • 2021The Limits of p ‐Hacking: Some Thought Experiments61 cited
  • 2017False (and Missed) Discoveries in Financial Economics52 cited
  • 2023Unlocking the Power of Voice for Financial Risk Prediction: A Theory-Driven Deep Learning Design Approach48 cited
  • 2024Non-standard errors in asset pricing: Mind your sorts47 cited
  • 2019Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis47 cited
  • 2020Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry46 cited
  • 2020Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence44 cited
  • 2017Does momentum work? Evidence from Vietnam stock market41 cited
  • 2020Estimating the anomaly base rate41 cited