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Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns
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Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns (2020)Book-to-Market, Mispricing, and the Cross…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A five-factor asset pricing model (2014)A five-factor asset pricing m…Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe other side of value: The gross profitability premium (2013)The other side of value: The …Corporate Yield Spreads and Bond Liquidity (2007)Corporate Yield Spreads and B…Bond Risk Premia (2005)Bond Risk PremiaThe Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)Characteristics, Covariances,…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1997)Do Stock Prices Fully Reflect…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…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…The relationship between return and market value of common stocks (1981)The relationship between retu…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)On Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)Does Academic Research Destroy Stock Return Predictability? (2015)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Editor's Choice Digesting Anomalies: An Investment ApproachInvestor Psychology and Asset Pricing (2001)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
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 1997Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?2,181 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2013The other side of value: The gross profitability premium1,977 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005Bond Risk Premia1,546 cited
  • 2000Characteristics, Covariances, and Average Returns: 1929 to 19971,100 cited
  • 2007

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Corporate Yield Spreads and Bond Liquidity
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