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Testing extensions of Fama & French models: A quantile regression approach
16 references·0 citing·22 second hopsampled
Testing extensions of Fama & French models: A quantile regression approach (2018)Testing extensions of Fama & French model…International tests of a five-factor asset pricing model (2016)International tests of a five…A five-factor asset pricing model (2014)A five-factor asset pricing m…The other side of value: The gross profitability premium (2013)The other side of value: The …An Institutional Theory of Momentum and Reversal (2013)An Institutional Theory of Mo…Causality between trading volume and returns: Evidence from quantile regressions (2012)Causality between trading vol…An Institutional Theory of Momentum and Reversal (2008)An Institutional Theory of Mo…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Capital Investments and Stock Returns (2004)Capital Investments and Stock…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Sources of Bank Interest Rate Risk (2002)Sources of Bank Interest Rate…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)The Pricing of Interest-Rate …Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…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)Editor's Choice Digesting Anomalies: An Investment ApproachFinancial Ratios and the Probabilistic Prediction of Bankruptcy (1980)… and the Cross-Section of Expected Returns (2015)Replicating Anomalies (2018)Continuous Auctions and Insider Trading (1985)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)Corporate financing and investment decisions when firms have information that investors do not have (1984)PORTFOLIO SELECTION* (1952)Choosing factors (2018)Quality minus junk (2018)The History of the Cross-Section of Stock Returns (2018)Multifactor Explanations of Asset Pricing Anomalies (1996)Liquidity and leverage (2008)Do 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
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 2004Capital Investments and Stock Returns1,411 cited
  • 2016International tests of a five-factor asset pricing model930 cited
  • 2013An Institutional Theory of Momentum and Reversal338 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market283 cited
  • 2008An Institutional Theory of Momentum and Reversal181 cited
  • 2012Causality between trading volume and returns: Evidence from quantile regressions121 cited
  • 2002

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Sources of Bank Interest Rate Risk
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