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Economic Links and Cross-Predictability of Stock Returns: Evidence from Characteristic-Based “Styles”
16 references·1 citing·31 second hopsampled
Economic Links and Cross-Predictability of Stock Returns: Evidence from Characteristic-Based “Styles” (2017)Economic Links and Cross-Predictability o…A five-factor asset pricing model (2014)A five-factor asset pricing m…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Industry costs of equity (1997)Industry costs of equitySize and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…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…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Global Business Networks (2025)Global Business NetworksCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Conditional logit analysis of qualitative choice behavior (1972)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)The Effect of Audit Quality on Earnings Management* (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The Behavior of Stock-Market Prices (1965)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)The Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)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)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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 1997Industry costs of equity5,793 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2,559 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach

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2,508 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
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    • 2025Global Business Networks34 cited