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Contrarian Factor Timing is Deceptively Difficult
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Contrarian Factor Timing is Deceptively Difficult (2017)Contrarian Factor Timing is Deceptively D…Fact, Fiction, and Value Investing (2015)Fact, Fiction, and Value Inve…Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe Devil in HML’s Details (2013)The Devil in HML’s DetailsBetting against beta (2013)Betting against betaBetting Against Beta (2012)Betting Against BetaThe Myth of Long-Horizon Predictability (2005)The Myth of Long-Horizon Pred…Fundamental Indexation (2005)Fundamental IndexationThe Value Spread (2003)The Value SpreadStyle Timing (2000)Style TimingCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Value Return Predictability across Asset Classes and Commonalities in Risk Premia (2020)Value Return Predictability a…Optimal Timing and Tilting of Equity Factors (2018)Optimal Timing and Tilting of…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 five-factor asset pricing model (2014)Contrarian Investment, Extrapolation, and Risk (1994)New Paradigm or Same Old Hype in Equity Investing? (2000)Style Investing and Institutional Investors (2008)Factor Momentum Everywhere (2019)On Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Econometrics of Financial Markets (1997)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Dog that Did Not Bark: A Defense of Return Predictability (2006)Measuring and Modeling Variation in the Risk-Return Trade-off (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Fact, Fiction, and the Size Effect (2018)Fundamentals of Value versus Growth Investing and an Explanation for the Value Trap (2018)Earnings, retained earnings, and book-to-market in the cross section of expected returns (2019)Portfolio Selection (1952)Multifactor Explanations of Asset Pricing Anomalies (1996)How should individual investors diversify? An empirical evaluation of alternative asset allocation policies (2013)Properties of the most diversified portfolio (2013)A bat-neural network multi-agent system (BNNMAS) for stock price prediction: Case study of DAX stock price (2015)Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints (2013)Quality Minus Junk (2013)The Growth and Limits of Arbitrage: Evidence from Short Interest (2013)Deflating profitability (2015)Which Alpha? (2016)Comparing Cross-Section and Time-Series Factor Models (2019)Editor's Choice Digesting Anomalies: An Investment ApproachDissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation (2007)Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns (2009)Accruals, cash flows, and operating profitability in the cross section of stock returns (2016)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2013Betting against beta2,027 cited
  • 2005The Myth of Long-Horizon Predictability477 cited
  • 2003The Value Spread463 cited
  • 2005Fundamental Indexation378 cited
  • 2013The Devil in HML’s Details338 cited
  • 2000Style Timing159 cited
  • 2012Betting Against Beta148 cited
  • 2015Fact, Fiction, and Value Investing127 cited

Cited by

  • 2018Optimal Timing and Tilting of Equity Factors46 cited
  • 2020Value Return Predictability across Asset Classes and Commonalities in Risk Premia38 cited

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