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Fact, Fiction, and Value Investing
16 references·14 citing·21 second hop
Fact, Fiction, and Value Investing (2015)Fact, Fiction, and Value InvestingLiquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)Disappearing dividends: chang…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…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…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …A model of investor sentiment /A model of investor sentiment…Resurrecting the Value Premium (2020)Resurrecting the Value PremiumIs (Systematic) Value Investing Dead? (2020)Is (Systematic) Value Investi…Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing (2020)Downside Risk-Based Six-Facto…A Comparison of Global Factor Models (2020)A Comparison of Global Factor…Strategic approaches to value investing: a systematic literature review of international studies (2019)Strategic approaches to value…Earnings, retained earnings, and book-to-market in the cross section of expected returns (2019)Earnings, retained earnings, …Fundamentals of Value versus Growth Investing and an Explanation for the Value Trap (2018)Fundamentals of Value versus …Fundamental Analysis Redux (2018)Fundamental Analysis ReduxFive Concerns with the Five-Factor Model (2018)Five Concerns with the Five-F…Fact, Fiction, and the Size Effect (2018)Fact, Fiction, and the Size E…A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price (2018)A framework for identifying a…Global Equity Country Allocation: An Application of Factor Investing (2017)Global Equity Country Allocat…Facts about Formulaic Value Investing (2017)Facts about Formulaic Value I…Contrarian Factor Timing is Deceptively Difficult (2017)Contrarian Factor Timing is D…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)A five-factor asset pricing model (2014)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Continuous Auctions and Insider Trading (1985)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Industry costs of equity (1997)Advances in prospect theory: Cumulative representation of uncertainty (1992)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited

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2001
Disappearing dividends: changing firm characteristics or lower propensity to pay?
3,039 cited

Cited by

  • 2019Earnings, retained earnings, and book-to-market in the cross section of expected returns114 cited
  • 2018Fact, Fiction, and the Size Effect70 cited
  • 2017Contrarian Factor Timing is Deceptively Difficult58 cited
  • 2018Fundamentals of Value versus Growth Investing and an Explanation for the Value Trap44 cited
  • 2018A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price43 cited
  • 2020Is (Systematic) Value Investing Dead?40 cited
  • 2017Facts about Formulaic Value Investing40 cited
  • 2020A Comparison of Global Factor Models40 cited
  • 2017Global Equity Country Allocation: An Application of Factor Investing36 cited
  • 2018Fundamental Analysis Redux35 cited
  • 2018Five Concerns with the Five-Factor Model29 cited
  • 2019Strategic approaches to value investing: a systematic literature review of international studies28 cited
  • 2020Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing28 cited
  • 2020Resurrecting the Value Premium28 cited