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Is there momentum in factor premia? Evidence from international equity markets
16 references·0 citing·30 second hopsampled
Is there momentum in factor premia? Evidence from international equity markets (2017)Is there momentum in factor premia? Evide…Market maturity and mispricing (2016)Market maturity and mispricingDoes Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…Value and Momentum Everywhere (2013)Value and Momentum EverywhereSize, value, and momentum in emerging market stock returns (2013)Size, value, and momentum in …Betting against beta (2013)Betting against betaSize, value, and momentum in international stock returns (2012)Size, value, and momentum in …Low Risk Stocks Outperform within All Observable Markets of the World (2012)Low Risk Stocks Outperform wi…Individualism and Momentum around the World (2010)Individualism and Momentum ar…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Style effects in the cross-section of stock returns (2004)Style effects in the cross-se…Style investing (2003)Style investingOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)The Cross-Section of Expected Stock Returns (1992)Choosing factors (2018)Climate risks and market efficiency (2018)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Mispricing Factors (2016)Replicating Anomalies (2018)Optimum consumption and portfolio rules in a continuous-time model (1971)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Economic Links and Predictable Returns (2008)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Dissecting Anomalies with a Five-Factor Model (2015)Hedging Climate Change News (2019)Dissecting green returns (2022)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2013Betting against beta2,027 cited
  • 2012Size, value, and momentum in international stock returns1,822 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 2010Individualism and Momentum around the World1,312 cited
  • 2003Style investing971 cited
  • 2013Size, value, and momentum in emerging market stock returns298 cited
  • 2004Style effects in the cross-section of stock returns184 cited
  • 2016Market maturity and mispricing153 cited
  • 2012Low Risk Stocks Outperform within All Observable Markets of the World

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