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A Taxonomy of Anomalies and their Trading Costs
16 references·2 citing·27 second hopsampled
A Taxonomy of Anomalies and their Trading Costs (2014)A Taxonomy of Anomalies and their Trading…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…The other side of value: The gross profitability premium (2013)The other side of value: The …Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…In Search of Distress Risk (2008)In Search of Distress RiskAsset Growth and the Cross‐Section of Stock Returns (2008)Asset Growth and the Cross‐Se…Dissecting Anomalies (2007)Dissecting AnomaliesThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…The illusory nature of momentum profits (2003)The illusory nature of moment…Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (2000)Value Investing: The Use of H…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Commonality in the determinants of expected stock returns (1996)Commonality in the determinan…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…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Optimal Inventory Policy (1951)Optimal Inventory PolicyAccounting for the Anomaly Zoo: A Trading Cost Perspective (2017)Accounting for the Anomaly Zo…Liquid Betting against Beta in Dow Jones Industrial Average Stocks (2015)Liquid Betting against Beta i…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)Editor's Choice Digesting Anomalies: An Investment ApproachFinancial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Replicating Anomalies (2018)The Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Advances in prospect theory: Cumulative representation of uncertainty (1992)Forecasting Default with the Merton Distance to Default Model (2008)The short of it: Investor sentiment and anomalies (2011)Innovative efficiency and stock returns (2012)Choosing factors (2018)Empirical Asset Pricing via Machine Learning (2020)Hedging Climate Change News (2019)Firm‐Level Climate Change Exposure (2023)
this work references cited by second hop· second hop is a sample of the most-cited connections

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
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 2008Asset Growth and the Cross‐Section of Stock Returns1,595 cited
  • 2007Dissecting Anomalies1,573 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 2000Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers1,204 cited
  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 1996Commonality in the determinants of expected stock returns1,066 cited
  • 1951Optimal Inventory Policy1,005 cited

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2003
The illusory nature of momentum profits
657 cited

Cited by

  • 2015Liquid Betting against Beta in Dow Jones Industrial Average Stocks42 cited
  • 2017Accounting for the Anomaly Zoo: A Trading Cost Perspective28 cited