SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
16 references·13 citing·28 second hopsampled
On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications (2011)On the Construction of Common Size, Value…Accruals, cash flows, and operating profitability in the cross section of stock returns (2016)Accruals, cash flows, and ope…A five-factor asset pricing model (2014)A five-factor asset pricing m…Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …The world price of liquidity risk (2010)The world price of liquidity …Multi-country event-study methods (2010)Multi-country event-study met…INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…Asset Pricing: Revised Edition (2005)Asset Pricing: Revised EditionAsymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)A Cross-Sectional Test of an …Understanding Risk and Return (1993)Understanding Risk and ReturnReturns 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 Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model (2021)Firm Characteristics and Glob…A Comparison of Global Factor Models (2020)A Comparison of Global Factor…Enhanced Momentum Strategies (2019)Enhanced Momentum StrategiesClean energy investing in public capital markets: Portfolio benefits of yieldcos (2018)Clean energy investing in pub…The diverging role of the systematic risk factors: evidence from real estate stock markets (2015)The diverging role of the sys…Non-U.S. Multi-Factor Data Sets Should be Used with Caution (2014)Non-U.S. Multi-Factor Data Se…Is Japan Different? Evidence on Momentum and Market Dynamics (2014)Is Japan Different? Evidence …Momentum Profits, Market Cycles, and Rebounds: Evidence from Germany (2013)Momentum Profits, Market Cycl…The World Price of Credit Risk (2012)The World Price of Credit RiskMay I Have Your Attention, Please: The Market Microstructure of Investor Attention (2012)May I Have Your Attention, Pl…International Accounting Databases on WRDS: Comparative Analysis (2012)International Accounting Data…Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market) (2011)Risikofaktoren und Multifakto…International price and earnings momentum (2011)International price and earni…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)Illiquidity and stock returns: cross-section and time-series effects (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Macroeconomics and Reality (1980)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Market Integration and Contagion (2005)Downside Risk (2006)Value and Momentum Everywhere (2013)Choosing factors (2018)Climate risks and market efficiency (2018)Hedging Climate Change News (2019)Dissecting green returns (2022)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2012Size, value, and momentum in international stock returns1,822 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1996A Cross-Sectional Test of an Investment-Based Asset Pricing Model1,023 cited
  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!893 cited
  • 2005Asset Pricing: Revised Edition718 cited
  • 2010The world price of liquidity risk487 cited
  • 2016Accruals, cash flows, and operating profitability in the cross section of stock returns379 cited
  • 2010Multi-country event-study methods

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

213 cited

Cited by

  • 2014Is Japan Different? Evidence on Momentum and Market Dynamics43 cited
  • 2012The World Price of Credit Risk43 cited
  • 2019Enhanced Momentum Strategies40 cited
  • 2020A Comparison of Global Factor Models40 cited
  • 2011International price and earnings momentum31 cited
  • 2018Clean energy investing in public capital markets: Portfolio benefits of yieldcos29 cited
  • 2012International Accounting Databases on WRDS: Comparative Analysis26 cited
  • 2014Non-U.S. Multi-Factor Data Sets Should be Used with Caution21 cited
  • 2011Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)20 cited
  • 2012May I Have Your Attention, Please: The Market Microstructure of Investor Attention20 cited
  • 2015The diverging role of the systematic risk factors: evidence from real estate stock markets17 cited
  • 2013Momentum Profits, Market Cycles, and Rebounds: Evidence from Germany17 cited
  • 2021Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model17 cited