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Why Has the Size Effect Disappeared?
16 references·0 citing·34 second hopsampled
Why Has the Size Effect Disappeared? (2015)Why Has the Size Effect Disappeared?A five-factor asset pricing model (2014)A five-factor asset pricing m…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)On Adjusting the Hodrick-Pres…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…The Financial Accelerator and the Flight to Quality (1996)The Financial Accelerator and…Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms (1994)Monetary Policy, Business Cyc…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…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…Agency Costs, Net Worth, And Business Fluctuations (1988)Agency Costs, Net Worth, And …The relationship between return and market value of common stocks (1981)The relationship between retu…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Moral Hazard and Observability (1979)Optimal contracts and competitive markets with costly state verification (1979)Theory ahead of business-cycle measurement (1986)Financial Constraints Risk (2006)Market Liquidity and Funding Liquidity (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)Measuring Uncertainty (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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)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
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations4,382 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1994Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms2,546 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 1996The Financial Accelerator and the Flight to Quality2,351 cited
  • 2002On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations1,986 cited

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  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
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