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Market efficiency in the age of big data
16 references·15 citing·39 second hop
Market efficiency in the age of big data (2021)Market efficiency in the age of big dataTaming the Factor Zoo: A Test of New Factors (2020)Taming the Factor Zoo: A Test…Artificial Intelligence, Algorithmic Pricing, and Collusion (2020)Artificial Intelligence, Algo…Shrinking the cross-section (2019)Shrinking the cross-sectionDoes Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A Sparsity-Based Model of Bounded Rationality * (2014)A Sparsity-Based Model of Bou…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Is momentum really momentum? (2011)Is momentum really momentum?The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)In-Sample or Out-of-Sample Te…Implications of rational inattention (2003)Implications of rational inat…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The color of FinTech: FinTech and corporate green transformation in China (2024)The color of FinTech: FinTech…From Man vs. Machine to Man + Machine: The art and AI of stock analyses (2024)From Man vs. Machine to Man +…Equilibrium Data Mining and Data Abundance (2024)Equilibrium Data Mining and D…Does Alternative Data Improve Financial Forecasting? 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(2018)How Many Firm Characteristics…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Some International Evidence on Output-Inflation Tradeoffs. (1973)An Economic Theory of Self-Control (1977)Golden Eggs and Hyperbolic Discounting (1997)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Were There Regime Switches in U.S. Monetary Policy? (2006)In Search of Attention (2011)Editor's Choice Digesting Anomalies: An Investment ApproachEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Common risk factors in the returns on stocks and bonds (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The relationship between return and market value of common stocks (1981)Economic Forces and the Stock Market (1986)Commonality in the determinants of expected stock returns (1996)Common Risk Factors in Currency Markets (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)Mispricing Factors (2016)Choosing factors (2018)Replicating Anomalies (2018)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! 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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 2003Implications of rational inattention3,869 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 2019Shrinking the cross-section792 cited
  • 2005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?756 cited
  • 2020Taming the Factor Zoo: A Test of New Factors745 cited
  • 2014A Sparsity-Based Model of Bounded Rationality *705 cited
  • 2020Artificial Intelligence, Algorithmic Pricing, and Collusion666 cited
  • 2011

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Is momentum really momentum?
470 cited

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  • 2024The color of FinTech: FinTech and corporate green transformation in China81 cited
  • 2024Does Alternative Data Improve Financial Forecasting? The Horizon Effect80 cited
  • 2024Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning47 cited
  • 2023The Lost Capital Asset Pricing Model46 cited
  • 2022Asset Pricing and Machine Learning: A critical review44 cited
  • 2023A Conceptual Model of Investment-Risk Prediction in the Stock Market Using Extreme Value Theory with Machine Learning: A Semisystematic Literature Review35 cited
  • 2022The rise of people analytics and the future of organizational research34 cited
  • 2024Equilibrium Data Mining and Data Abundance34 cited
  • 2021A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction33 cited
  • 2018How Many Firm Characteristics Drive US Stock Returns?25 cited
  • 2023Complexity in Factor Pricing Models23 cited