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Heterogeneous liquidity providers and night-minus-day return predictability
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Heterogeneous liquidity providers and night-minus-day return predictability (2023)Heterogeneous liquidity providers and nig…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Shrinking the cross-section (2019)Shrinking the cross-sectionDissecting Characteristics Nonparametrically (2019)Dissecting Characteristics No…Tracking Retail Investor Activity (2017)Tracking Retail Investor Acti…Does Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Betting against beta (2013)Betting against betaIlliquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Liquidity and Market Structure (1988)Liquidity and Market StructureContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Mispricing Factors (2016)Choosing factors (2018)Replicating Anomalies (2018)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Comparing Predictive Accuracy (1994)A five-factor asset pricing model (2014)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning advances for time series forecasting (2021)Machine learning in the Chinese stock market (2021)The Noise Trader Approach to Finance (1990)Do Industries Explain Momentum? (1999)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Noise Trader Risk in Financial Markets (1990)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Dissecting Anomalies with a Five-Factor Model (2015)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2013Betting against beta2,027 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 2019Shrinking the cross-section792 cited
  • 2019Dissecting Characteristics Nonparametrically618 cited
  • 2017Tracking Retail Investor Activity602 cited

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