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Commonality in the determinants of expected stock returns

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Author Info
Haugen, Robert A.
Baker, Nardin L.
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File URL: http://www.sciencedirect.com/science/article/B6VBX-3VVVRX5-8/2/799f9b6ad139dd859e92409ad6eb0e41
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 41 (1996)
Issue (Month): 3 (July)
Pages: 401-439
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Handle: RePEc:eee:jfinec:v:41:y:1996:i:3:p:401-439

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  1. Wayne E. Ferson & Campbell R. Harvey, 1996. "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," NBER Working Papers 5860, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department. [Downloadable!]
  5. Adrian Buckley, 1999. "An introduction to security returns," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 165-180, September. [Downloadable!] (restricted)
  6. Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002. "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers 8793, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Shing-yang Hu, 1997. "Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange," Finance 9702001, EconWPA. [Downloadable!]
  9. Jaap van der Hart & Erica Slagter & Dick van Dijk, 2001. "Stock Selection Strategies in Emerging Markets," Tinbergen Institute Discussion Papers 01-009/4, Tinbergen Institute. [Downloadable!]
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  10. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics. [Downloadable!]
  11. Peter Hecht & Tuomo Vuolteenaho, 2005. "Explaining Returns with Cash-Flow Proxies," NBER Working Papers 11169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
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  13. Hans Eijgenhuijsen, Adrian Buckley, 1999. "An overview of returns in Europe," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 276-297, September. [Downloadable!] (restricted)
  14. Dionisio, Andreia & Menezes, Rui & Mendes, Diana & Vidigal Da Silva, Jacinto, 2007. "Nonlinear Dynamics Within Macroeconomic Factors And Stock Market In Portugal, 1993-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 57-70. [Downloadable!] (restricted)
  15. Tuomo Vuolteenaho, 2001. "What Drives Firm-Level Stock Returns?," NBER Working Papers 8240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  16. Ping Cheng & Stephen E. Roulac, 2007. "REIT Characteristics and Predictability," International Real Estate Review, Asian Real Estate Society, vol. 10(2), pages 23-41. [Downloadable!]
  17. Olli Castrén & Trevor Fitzpatrick & Matthias Sydow, 2006. "What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model," Working Paper Series 677, European Central Bank. [Downloadable!]
  18. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  19. Kenbata Bangassa, 2000. "Conditional Performance Evaluation: Empirical Evidence From UK Investment Trusts," Research Papers 2000_21, University of Liverpool Management School. [Downloadable!]
  20. Ana Paula Serra, 2002. "The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks," FEP Working Papers 120, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
  21. Carlos A. Bana E Costa & João Oliveira Soares, 2004. "A multicriteria model for portfolio management," European Journal of Finance, Taylor and Francis Journals, vol. 10(3), pages 198-211, June. [Downloadable!] (restricted)
  22. Nicholas Barberis & Andrei Shleifer, 2000. "Style Investing," NBER Working Papers 8039, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. Andreia Dionisio & Rui Menezes & Diana A. Mendes & Jacinto Vidigal da Silva, 2004. "Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors," Econometrics 0411018, EconWPA. [Downloadable!]
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