SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Where Does the Predictability from Sorting on Returns of Economically Linked Firms Come From?
16 references·0 citing·33 second hop
Where Does the Predictability from Sorting on Returns of Economically Linked Firms Come From? (2020)Where Does the Predictability from Sortin…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…Economic Links and Predictable Returns (2008)Economic Links and Predictabl…The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Liquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected S…Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Improved Methods for Tests of…An Anatomy of Trading Strategies (1998)An Anatomy of Trading Strateg…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Detecting long-run abnormal stock returns: The empirical power and specification of test statistics (1997)Detecting long-run abnormal s…Detecting abnormal operating performance: The empirical power and specification of test statistics (1996)Detecting abnormal operating …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…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)A five-factor asset pricing model (2014)Using daily stock returns (1985)The effects of management buyouts on operating performance and value (1989)Size and Book-to-Market Factors in Earnings and Returns (1995)Measuring long-horizon security price performance (1997)An Examination of Long‐Term Abnormal Stock Returns and Operating Performance Following R&D Increases (2004)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Investors Trade Too Much? (1999)Managerial Decisions and Long‐Term Stock Price Performance (2000)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Noise Trader Approach to Finance (1990)Do Industries Explain Momentum? (1999)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)Multifactor Explanations of Asset Pricing Anomalies (1996)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Choosing factors (2018)Replicating Anomalies (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
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1997Detecting long-run abnormal stock returns: The empirical power and specification of test statistics2,690 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 1999Improved Methods for Tests of Long‐Run Abnormal Stock Returns1,826 cited
  • 1996Detecting abnormal operating performance: The empirical power and specification of test statistics1,609 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 2008Economic Links and Predictable Returns1,411 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 1998An Anatomy of Trading Strategies858 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2001Liquidity Risk and Expected Stock Returns738 cited
  • Cited by

    No citing works inside the corpus for this window.