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A Comparison of New Factor Models
16 references·16 citing·30 second hopsampled
A Comparison of New Factor Models (2014)A Comparison of New Factor ModelsA five-factor asset pricing model (2014)A five-factor asset pricing m…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Financial Constraints Risk (2006)Financial Constraints RiskOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Industry costs of equity (1997)Industry costs of equityThe New Issues Puzzle (1995)The New Issues PuzzleContrarian 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…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…The relationship between return and market value of common stocks (1981)The relationship between retu…Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …The level, slope, and curve factor model for stocks (2021)The level, slope, and curve f…The Fama-French five-factor model: Evidence from the Johannesburg Stock Exchange (2019)The Fama-French five-factor m…Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds (2019)Challenging the Conventional …A diagnostic Criterion for approximate factor structure (2019)A diagnostic Criterion for ap…The Cross-Section of Emerging Market Stock Returns (2018)The Cross-Section of Emerging…The 52-week high, q-theory, and the cross section of stock returns (2018)The 52-week high, q-theory, a…Government debt and the returns to innovation (2018)Government debt and the retur…Firm Characteristics and Chinese Stocks (2018)Firm Characteristics and Chin…Economic activity and momentum profits: Further evidence (2018)Economic activity and momentu…Best of the Best: A Comparison of Factor Models (2018)Best of the Best: A Compariso…How Aggregate Volatility-of-Volatility Affects Stock Returns* (2017)How Aggregate Volatility-of-V…Empirical Investigation of an Equity Pairs Trading Strategy (2017)Empirical Investigation of an…The Profitability and Investment Premium: Pre-1963 Evidence (2016)The Profitability and Investm…The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing (2016)The Cross Section of Expected…Are Cash Flows Better Stock Return Predictors Than Profits? (2016)Are Cash Flows Better Stock R…A Better Model? An Empirical Investigation of the Fama–French Five‐factor Model in Australia (2016)A Better Model? An Empirical …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)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Conditional logit analysis of qualitative choice behavior (1972)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)The Effect of Audit Quality on Earnings Management* (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)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)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Editor's Choice Digesting Anomalies: An Investment ApproachDo 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
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1997Industry costs of equity5,793 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2006Financial Constraints Risk3,702 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1990Evidence of Predictable Behavior of Security Returns

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2,702 cited

Cited by

  • 2016A Better Model? An Empirical Investigation of the Fama–French Five‐factor Model in Australia149 cited
  • 2018Government debt and the returns to innovation135 cited
  • 2017Empirical Investigation of an Equity Pairs Trading Strategy113 cited
  • 2019Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds92 cited
  • 2019A diagnostic Criterion for approximate factor structure92 cited
  • 2016Are Cash Flows Better Stock Return Predictors Than Profits?77 cited
  • 2018The Cross-Section of Emerging Market Stock Returns69 cited
  • 2018Firm Characteristics and Chinese Stocks69 cited
  • 2016The Profitability and Investment Premium: Pre-1963 Evidence68 cited
  • 2017How Aggregate Volatility-of-Volatility Affects Stock Returns*61 cited
  • 2018The 52-week high, q-theory, and the cross section of stock returns55 cited
  • 2018Economic activity and momentum profits: Further evidence52 cited
  • 2018Best of the Best: A Comparison of Factor Models47 cited
  • 2016The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing45 cited
  • 2021The level, slope, and curve factor model for stocks44 cited
  • 2019The Fama-French five-factor model: Evidence from the Johannesburg Stock Exchange42 cited