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Test Assets and Weak Factors
16 references·2 citing·34 second hopsampled
Test Assets and Weak Factors (2021)Test Assets and Weak FactorsShrinking the cross-section (2019)Shrinking the cross-sectionCharacteristics are covariances: A unified model of risk and return (2019)Characteristics are covarianc…Replicating Anomalies (2018)Replicating AnomaliesIntermediary asset pricing: New evidence from many asset classes (2017)Intermediary asset pricing: N…Measuring Uncertainty (2015)Measuring Uncertainty… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Sentiment Aligned: A…Betting against beta (2013)Betting against betaThe 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…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Investor Sentiment and the Cross-Section of Stock Returns (2003)Investor Sentiment and the Cr…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Liquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected S…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Asset-Pricing Factors with Economic Targets (2023)Asset-Pricing Factors with Ec…Are bond returns predictable with real-time macro data? (2023)Are bond returns predictable …The arbitrage theory of capital asset pricing (1976)The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)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)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)Digesting Anomalies: An Investment Approach (2012)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)On Persistence in Mutual Fund Performance (1997)Deep learning with long short-term memory networks for financial market predictions (2017)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)COVID-Induced Economic Uncertainty (2020)Time Series Momentum (2011)Understanding commonality in liquidity around the world (2011)Manager sentiment and stock returns (2018)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)Does Academic Research Destroy Stock Return Predictability? (2015)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,373 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2015… and the Cross-Section of Expected Returns2,136 cited
  • 2013Betting against beta2,055 cited
  • 2003Inferential Theory for Factor Models of Large Dimensions1,688 cited
  • 2003Investor Sentiment and the Cross-Section of Stock Returns1,456 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2018Replicating Anomalies1,094 cited
  • 2001Liquidity Risk and Expected Stock Returns958 cited
  • 2019Characteristics are covariances: A unified model of risk and return807 cited
  • 2017Intermediary asset pricing: New evidence from many asset classes792 cited
  • 2019Shrinking the cross-section792 cited

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Cited by

  • 2023Are bond returns predictable with real-time macro data?37 cited
  • 2023Asset-Pricing Factors with Economic Targets16 cited