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Anomalies Abroad: Beyond Data Mining
16 references·2 citing·30 second hop
Anomalies Abroad: Beyond Data Mining (2017)Anomalies Abroad: Beyond Data MiningArbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Arbitrage Asymmetry and the I…Individualism and Momentum around the World (2010)Individualism and Momentum ar…Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)Do Market Efficiency Measures…Asset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Market Reactions to Tangible and Intangible Information (2006)Market Reactions to Tangible …INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…Do investors overvalue firms with bloated balance sheets? (2004)Do investors overvalue firms …Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)Characteristics, Covariances,…International Momentum Strategies (1998)International Momentum Strate…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1997)Do Stock Prices Fully Reflect…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Long-Run Performance of Initial Public Offerings (1991)The Long-Run Performance of I…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…Data quality problems troubling business and financial researchers: A literature review and synthetic analysis (2020)Data quality problems troubli…...And Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns (2016)...And Nothing Else Matters? …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)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Culture and the Self: Implications for Cognition, Emotion, and Motivation (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor sentiment and stock returns: Some international evidence (2009)When firms talk, do investors listen? The role of trust in stock market reactions to corporate earnings announcements (2013)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Investor Psychology and Asset Pricing (2001)Bad Beta, Good Beta (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Replicating Anomalies (2018)The short of it: Investor sentiment and anomalies (2011)Innovative efficiency and stock returns (2012)
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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
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1997Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?2,181 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 1998International Momentum Strategies1,813 cited
  • 2008Asset Growth and the Cross‐Section of Stock Returns1,595 cited
  • 2010Individualism and Momentum around the World1,312 cited
  • 2000Characteristics, Covariances, and Average Returns: 1929 to 19971,100 cited
  • 2006Market Reactions to Tangible and Intangible Information994 cited
  • 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle944 cited
  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!893 cited
  • 2004Do investors overvalue firms with bloated balance sheets?805 cited
  • 1991The Long-Run Performance of Initial Public Offerings779 cited
  • 2010

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Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets
555 cited

Cited by

  • 2020Data quality problems troubling business and financial researchers: A literature review and synthetic analysis38 cited
  • 2016...And Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns25 cited