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Cross-stock momentum and factor momentum
16 references·0 citing·28 second hopsampled
Cross-stock momentum and factor momentum (2023)Cross-stock momentum and factor momentumTaming the Factor Zoo: A Test of New Factors (2020)Taming the Factor Zoo: A Test…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Shrinking 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 AnomaliesTechnological Innovation, Resource Allocation, and Growth* (2017)Technological Innovation, Res…A five-factor asset pricing model (2014)A five-factor asset pricing m…International Stock Return Predictability: What Is the Role of the United States? (2013)International Stock Return Pr…Economic Links and Predictable Returns (2008)Economic Links and Predictabl…Dissecting Anomalies (2007)Dissecting AnomaliesDo Industries Explain Momentum? (1999)Do Industries Explain Momentu…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Deep learning with long short-term memory networks for financial market predictions (2017)Corporate financing and investment decisions when firms have information that investors do not have (1984)Endogenous Technological Change (1989)Endogenous Technological Change (1990)Are Ideas Getting Harder to Find? (2020)Artificial Intelligence, Firm Growth, and Industry Concentration (2020)Firm‐Level Climate Change Exposure (2023)Comparing Predictive Accuracy (1994)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Forecasting: theory and practice (2022)Capital markets research in accounting (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Digesting Anomalies: An Investment Approach (2012)Multifactor Explanations of Asset Pricing Anomalies (1996)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)… and the Cross-Section of Expected Returns (2015)Editor's Choice Digesting Anomalies: An Investment ApproachSocial Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2016)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 2020Empirical Asset Pricing via Machine Learning2,832 cited
  • 2017Technological Innovation, Resource Allocation, and Growth*2,494 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2007Dissecting Anomalies1,573 cited
  • 2008Economic Links and Predictable Returns1,411 cited
  • 1997The Delisting Bias in CRSP Data1,168 cited
  • 2018Replicating Anomalies1,094 cited
  • 2019Characteristics are covariances: A unified model of risk and return807 cited
  • 2019Shrinking the cross-section792 cited
  • 2020Taming the Factor Zoo: A Test of New Factors752 cited
  • 2013International Stock Return Predictability: What Is the Role of the United States?725 cited

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