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Review of New Trends in the Literature on Factor Models and Mutual Fund Performance
16 references·0 citing·18 second hopsampled
Review of New Trends in the Literature on Factor Models and Mutual Fund Performance (2018)Review of New Trends in the Literature on…A five-factor asset pricing model (2014)A five-factor asset pricing m…In Search of Distress Risk (2008)In Search of Distress RiskThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…The market pricing of accruals quality (2005)The market pricing of accrual…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…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…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The relationship between return and market value of common stocks (1981)The relationship between retu…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…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)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Does the Stock Market Overreact? (1985)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)How does financial reporting quality relate to investment efficiency? (2009)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)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
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2005The market pricing of accruals quality3,101 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited

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  • 2008In Search of Distress Risk2,232 cited
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