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Missing Data in Asset Pricing Panels
16 references·2 citing·39 second hopsampled
Missing Data in Asset Pricing Panels (2024)Missing Data in Asset Pricing PanelsOpen Source Cross-Sectional Asset Pricing (2022)Open Source Cross-Sectional A…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…The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)The Characteristics that Prov…Dissecting Characteristics Nonparametrically (2017)Dissecting Characteristics No…The Cross-section of Expected Stock Returns (2015)The Cross-section of Expected…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesThe Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…Commonality in the determinants of expected stock returns (1996)Commonality in the determinan…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…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Estimating Stock Market Betas via Machine Learning (2024)Estimating Stock Market Betas…How Many Firm Characteristics Drive US Stock Returns? (2018)How Many Firm Characteristics…An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Modern Portfolio Theory and Investment Analysis. (1982)Measuring Mutual Fund Performance with Characteristic-Based Benchmarks (1997)On Persistence in Mutual Fund Performance (1997)Costly Search and Mutual Fund Flows (1998)Does the Stock Market Overreact? (1985)The Long-Run Performance of Initial Public Offerings (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)Asset pricing with liquidity risk (2005)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Asset Prices under Habit Formation and Catching up with the Joneses (1990)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Panel Data Econometrics (2003)A finite sample correction for the variance of linear efficient two-step GMM estimators (2004)Editor's Choice Digesting Anomalies: An Investment ApproachEfficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Digesting Anomalies: An Investment Approach (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)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)Forecasting: theory and practice (2022)Investor Psychology and Security Market Under‐ and Overreactions (1998)Does Academic Research Destroy Stock Return Predictability? (2015)Replicating Anomalies (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 2020Empirical Asset Pricing via Machine Learning2,832 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2015… and the Cross-Section of Expected Returns2,136 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 1997The Delisting Bias in CRSP Data1,168 cited
  • 1992Survivorship Bias in Performance Studies1,123 cited
  • 1996Commonality in the determinants of expected stock returns1,072 cited
  • 2019Characteristics are covariances: A unified model of risk and return807 cited
  • 2019Shrinking the cross-section792 cited
  • 2017Dissecting Characteristics Nonparametrically686 cited
  • 2017The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns684 cited
  • 2022Open Source Cross-Sectional Asset Pricing415 cited
  • 2015The Cross-section of Expected Stock Returns403 cited

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Cited by

  • 2018How Many Firm Characteristics Drive US Stock Returns?25 cited
  • 2024Estimating Stock Market Betas via Machine Learning20 cited