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Optimal Timing and Tilting of Equity Factors
16 references·1 citing·33 second hop
Optimal Timing and Tilting of Equity Factors (2018)Optimal Timing and Tilting of Equity Fact…The other side of value: The gross profitability premium (2013)The other side of value: The …A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…The New Issues Puzzle (1995)The New Issues PuzzleReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…The Long‐Run Performance of initial Public Offerings (1991)The Long‐Run Performance of i…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Dividend yields and expected stock returns (1988)Dividend yields and expected …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…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…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection (1952)Portfolio SelectionThe Promises and Pitfalls of Machine Learning for Predicting Stock Returns (2021)The Promises and Pitfalls of …The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1952Portfolio Selection4,609 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1995The New Issues Puzzle3,550 cited
  • 1991The Long‐Run Performance of initial Public Offerings3,500 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 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
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited

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  • 2013The other side of value: The gross profitability premium1,977 cited
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    • 2021The Promises and Pitfalls of Machine Learning for Predicting Stock Returns30 cited