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Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
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Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing (2019)Alice’s Adventures in Factorland: Three B…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…Betting against beta (2013)Betting against betaLuck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Is the Risk of Bankruptcy a Systematic Risk? (1998)Is the Risk of Bankruptcy a S…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…A model of investor sentiment / (1997)A model of investor sentiment…A Critique of Size-Related Anomalies (1995)A Critique of Size-Related An…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…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…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…The relationship between return and market value of common stocks (1981)The relationship between retu…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Portfolio Selection: Efficient Diversification of Investments (1959)An Intertemporal Capital Asset Pricing Model (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)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)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)Multifactor Explanations of Asset Pricing Anomalies (1996)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)Judgment under Uncertainty: Heuristics and Biases (1975)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)On Persistence in Mutual Fund Performance (1997)Hedging Climate Change News (2019)Dissecting green returns (2022)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does Academic Research Destroy Stock Return Predictability? (2015)Replicating Anomalies (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
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1981The relationship between return and market value of common stocks5,999 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1997A model of investor sentiment /4,073 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2015… and the Cross-Section of Expected Returns2,136 cited
  • 2013Betting against beta2,055 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,793 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 1997The Delisting Bias in CRSP Data1,168 cited
  • 1998Is the Risk of Bankruptcy a Systematic Risk?1,002 cited

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1995
A Critique of Size-Related Anomalies
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