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Does the F-score improve the performance of different value investment strategies in Europe?
16 references·0 citing·25 second hop
Does the F-score improve the performance of different value investment strategies in Europe? (2018)Does the F-score improve the performance …A five-factor asset pricing model (2014)A five-factor asset pricing m…Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe other side of value: The gross profitability premium (2013)The other side of value: The …Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…In Search of Distress Risk (2008)In Search of Distress RiskProfitability, investment and average returns (2006)Profitability, investment and…INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsValue Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (2000)Value Investing: The Use of H…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Expectations and the Cross-Section of Stock Returns (1996)Expectations and the Cross-Se…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Mutual Fund Performance (1966)Mutual Fund PerformanceEditor's Choice Digesting Anomalies: An Investment ApproachRisk, Return, and Equilibrium: Empirical Tests (1973)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Common risk factors in the returns on stocks and bonds (1993)Digesting Anomalies: An Investment Approach (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)On Persistence in Mutual Fund Performance (1997)Choosing factors (2018)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Advances in prospect theory: Cumulative representation of uncertainty (1992)Forecasting Default with the Merton Distance to Default Model (2008)The Pricing of Options and Corporate Liabilities (1973)Credit Spreads and Business Cycle Fluctuations (2012)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)Empirical Asset Pricing via Machine Learning (2020)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1966Mutual Fund Performance4,089 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2013The other side of value: The gross profitability premium2,007 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 2012Size, value, and momentum in international stock returns1,837 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • 2000Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers1,244 cited
  • 1996Expectations and the Cross-Section of Stock Returns982 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio982 cited
  • 2006Profitability, investment and average returns953 cited
  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!

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