1. 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)
   Other versions:
   • Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, 08. [Downloadable!] (restricted)
2. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City. [Downloadable!]
3. Liew, Jimmy & Vassalou, Maria, 1999. "Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth," CEPR Discussion Papers 2180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
4. Manfred Keil & Gary Smith & Margaret H. Smith, 2004. "Shrunken earnings predictions are better predictions," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 937-943, September. [Downloadable!] (restricted)
5. Paul Gao & Kevin X.D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City. [Downloadable!]
6. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
7. Jun-Koo Kang & Yong-Cheol Kim & Rene M. Stulz, 1996. "The Underreaction Hypothesis and the New Issue Puzzle: Evidence from Japan," NBER Working Papers 5819, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Kang, Jun-Koo & Kim, Yong-Cheol & Stulz, Rene M, 1999. "The Underreaction Hypothesis and the New Issue Puzzle: Evidence from Japan," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(3), pages 519-34.
8. Maroney, Neal C. & Protopapadakis, Aris A., 1999. "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers 1999-15, University of New Orleans, Department of Economics and Finance. [Downloadable!]
9. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
   Other versions:
   • Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 07-97, Wharton School Rodney L. White Center for Financial Research.
   • Hawawini, G. & Keim, D.B., 1997. "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," INSEAD 97/66, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration..
   • Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 8-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
   • Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
10. Owen Lamont, 1996. "Earnings and Expected Returns," NBER Working Papers 5671, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
11. Kent Daniel & Sheridan Titman & K.C. John Wei, 1999. "Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?," NBER Working Papers 7246, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
12. Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002. "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC 2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
13. Wayne E. Ferson & Campbell R. Harvey, 1999. "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers 6967, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
14. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia. [Downloadable!]
15. Michael T. Bond & Michael J. Seiler, 1998. "Real Estate Returns and Inflation: An Added Variable Approach," Journal of Real Estate Research, American Real Estate Society, vol. 15(3), pages 327-338. [Downloadable!]
16. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA. [Downloadable!]
17. Dimitrios V. Kousenidis, Christos I. Negakis, Iordanis N. Floropoulos, 2000. "Size and book-to-market factors in the relationship between average stock returns and average book returns: some evidence from an emerging market," European Accounting Review, Taylor and Francis Journals, vol. 9(2), pages 225-243, July. [Downloadable!] (restricted)
18. Pandey I M, 2001. "The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis," IIMA Working Papers 2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
19. Bradford Cornell & Simon Cheng, 1995. "Using the DCF Approach to Analyze Cross- sectional Variation in Expected Returns," University of California at Los Angeles, Anderson Graduate School of Management 1139, Anderson Graduate School of Management, UCLA. [Downloadable!]
20. Josef Lakonishok & Louis Chan & Stephen G. Dimmock, 2006. "Benchmarking Money Manager Performance: Issues and Evidence," NBER Working Papers 12461, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
21. Nikos Vafeas, Lenos Trigeorgis, Xenia Georgiou, 1998. "The usefulness of earnings in explaining stock returns in an emerging market: the case of Cyprus," European Accounting Review, Taylor and Francis Journals, vol. 7(1), pages 105-124, May. [Downloadable!] (restricted)
22. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997. "The Risk and Return from Factors," NBER Working Papers 6098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
23. Elli Malki, 1997. "Intellectual Property Intensity (IPI) and the Value-Growth Effect," Finance 9711002, EconWPA. [Downloadable!]
24. Yasushi Hamao & Jianping Mei & Yexiao Xu, 2003. "Idiosyncratic Risk and the Creative Destruction in Japan," NBER Working Papers 9642, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
25. Michael E. Drew & Madhu Veeraraghavan, 2001. "Asset Pricing In The Asian Region," School of Economics and Finance Discussion Papers and Working Papers Series 094, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
26. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
    • Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," Journal of Business, University of Chicago Press, vol. 71(3), pages 319-47, July. [Downloadable!] (restricted)
27. 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!]
28. Michael E. Drew & Madhu Veeraraghavan, 2000. "Multifactor Models are Alive and Well," School of Economics and Finance Discussion Papers and Working Papers Series 083, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
29. Mattias Hamberg & Jiri Novak, 2007. "On the importance of clean accounting measures for the tests of stock market efficiency," Working Papers IES 2007/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2007. [Downloadable!]
30. Kuan Xu & Gordon Fisher, 2006. "Myopic loss aversion and margin of safety: the risk of value investing," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 481-494, December. [Downloadable!] (restricted)
31. LaFond, Ryan, 2005. "Is the Accrual Anomaly a Global Anomaly?," Working papers 27856, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
32. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston. [Downloadable!]
33. Eduardo Sandoval & Rodrigo Saens, 2004. "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(122), pages 65-89. [Downloadable!]
34. Jeremy C. Stein, 1996. "Rational Capital Budgeting in an Irrational World," NBER Working Papers 5496, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Stein, Jeremy C, 1996. "Rational Capital Budgeting in an Irrational World," Journal of Business, University of Chicago Press, vol. 69(4), pages 429-55, October. [Downloadable!] (restricted)
35. Douglas Rolph & Pu Shen, 1999. "Do the spreads between the E/P ratio and interest rates contain information on future equity market movements?," Research Working Paper 99-03, Federal Reserve Bank of Kansas City. [Downloadable!]
36. Michael E. Drew & Mirela Mallin & Tony Naughton & Madhu Veeraraghavan, 2004. "Equity Premium: - Does it exist? Evidence from Germany and United Kingdom," School of Economics and Finance Discussion Papers and Working Papers Series 170, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
37. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]
38. Javier DePeña & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers 03/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
39. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "The cross-section of stock returns : evidence from emerging markets," Policy Research Working Paper Series 1505, The World Bank. [Downloadable!]
40. Neringa Jarmalaite Pritchard, 2002. "The Relationship between Accounting Numbers and Returns in the Baltic Stock Markets," CERT Discussion Papers 0206, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]

This page was last updated on 2008-11-26.