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Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework
16 references·4 citing·28 second hop
Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework (2019)Which Factors are Risk Factors in Asset P…Comparing Asset Pricing Models (2018)Comparing Asset Pricing ModelsWhich Alpha? (2016)Which Alpha?Asset Management (2014)Asset ManagementA five-factor asset pricing model (2014)A five-factor asset pricing m…The Devil in HML’s Details (2013)The Devil in HML’s DetailsQuality Minus Junk (2013)Quality Minus JunkBetting against beta (2013)Betting against betaLiquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Asset-Pricing Tests Under Alternative Distributions (1993)Asset-Pricing Tests Under Alt…A Test for Multivariate Normality in Stock Returns (1993)A Test for Multivariate Norma…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Winners from Winners: A Tale of Risk Factors (2023)Winners from Winners: A Tale …Which Factors for Corporate Bond Returns? (2023)Which Factors for Corporate B…Integrating Factor Models (2023)Integrating Factor ModelsDSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors (2021)DSGE-SVt: An Econometric Tool…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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)Multifactor Explanations of Asset Pricing Anomalies (1996)Which Factors? (2018)Anomalies and False Rejections (2020)Factor Models, Machine Learning, and Asset Pricing (2022)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)… and the Cross-Section of Expected Returns (2015)Hedging Climate Change News (2019)Dissecting green returns (2022)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2013Betting against beta2,027 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 2018Comparing Asset Pricing Models458 cited
  • 2013The Devil in HML’s Details338 cited
  • 2016Which Alpha?337 cited
  • 2014Asset Management250 cited
  • 1993A Test for Multivariate Normality in Stock Returns205 cited
  • 1993Asset-Pricing Tests Under Alternative Distributions168 cited
  • 2013Quality Minus Junk132 cited

Cited by

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2023
Integrating Factor Models
43 cited
  • 2023Winners from Winners: A Tale of Risk Factors33 cited
  • 2023Which Factors for Corporate Bond Returns?18 cited
  • 2021DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors9 cited