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What explains the dynamics of 100 anomalies? · Study

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ArticleWhat explains the dynamics of 100 anomalies?

Heiko Jacobs2015

OA

Articlegreen2015

What explains the dynamics of 100 anomalies?

168 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2002Illiquidity and stock returns: cross-section and time-series effects 1985Does the Stock Market Overreact?2006Investor Sentiment and the Cross‐Section of Stock Returns 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy 1998Investor Psychology and Security Market Under‐ and Overreactions

Cited by

2016Market maturity and mispricing 2019Large data sets and machine learning: Applications to statistical arbitrage 2020Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence 2016Digesting anomalies in emerging European markets: A comparison of factor pricing models 2021High policy uncertainty and low implied market volatility: An academic puzzle?2022Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets

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Year2015

Typearticle

Published2015-04-11

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations168

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2015.03.006

openalex_workW3125667802

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2020Seasonality in the Cross-Section of Cryptocurrency Returns

2021Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets