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US Sector Rotation with Five-Factor Fama-French Alphas
16 references·0 citing·23 second hopsampled
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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
  • 2014A five-factor asset pricing model7,841 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 2008Asset Growth and the Cross‐Section of Stock Returns1,595 cited
  • 2007Dissecting Anomalies1,573 cited
  • 2004Capital Investments and Stock Returns1,411 cited
  • 2005On the Industry Concentration of Actively Managed Equity Mutual Funds1,090 cited
  • 2006Market Reactions to Tangible and Intangible Information994 cited
  • 2016International tests of a five-factor asset pricing model930 cited
  • 2000The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers

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