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Citations for " Good News for Value Stocks: Further Evidence on Market Efficiency"

by La Porta, Rafael, et al

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  1. Ding, David K. & Chua, Jia Leng & Fetherston, Thomas A., 2005. "The performance of value and growth portfolios in East Asia before the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 185-199, March.
  2. Malcolm Baker & C. Fritz Foley & Jeffrey Wurgler, 2004. "The Stock Market and Investment: Evidence from FDI Flows," NBER Working Papers 10559, National Bureau of Economic Research, Inc.
  3. Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 552-565, September.
  4. Hsieh, Jim & Walkling, Ralph A., 2006. "The history and performance of concept stocks," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2433-2469, September.
  5. Yu, Susana & Lord, Richard A. & Webb, Gwendolyn, 2010. "The hot-growth companies: How well do analysts predict their performance?," Journal of Economics and Business, Elsevier, vol. 62(3), pages 195-219, May.
  6. de Jong, Pieter J. & Apilado, Vince P., 2009. "The changing relationship between earnings expectations and earnings for value and growth stocks during Reg FD," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 435-442, February.
  7. John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers 2016, Harvard - Institute of Economic Research.
  8. Edmans, Alex, 2011. "Does the stock market fully value intangibles? Employee satisfaction and equity prices," Journal of Financial Economics, Elsevier, vol. 101(3), pages 621-640, September.
  9. Roider, Andreas & Mathias Drehmann & Jorg Oechssler, 2003. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Royal Economic Society Annual Conference 2003 177, Royal Economic Society.
  10. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
  11. Baker, Malcolm & Litov, Lubomir & Wachter, Jessica A. & Wurgler, Jeffrey, 2010. "Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(05), pages 1111-1131, October.
  12. Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
  13. 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.
  14. Alejandra Anastasi & Emilio Blanco & Pedro Elosegui & Máximo Sangiácomo, 2006. "Bancarization and Determinants of Availability of Banking Services in Argentina," BCRA Working Paper Series 200615, Central Bank of Argentina, Economic Research Department.
  15. Arisoy, Yakup Eser, 2010. "Volatility risk and the value premium: Evidence from the French stock market," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 975-983, May.
  16. John Gallo & Chanwit Phengpis & Peggy Swanson, 2007. "Determinants of Equity Style," Journal of Financial Services Research, Springer, vol. 31(1), pages 33-51, February.
  17. Blasco, Natividad & Corredor, Pilar & Del Rio, Cristina & Santamaria, Rafael, 2005. "Bad news and Dow Jones make the Spanish stocks go round," European Journal of Operational Research, Elsevier, vol. 163(1), pages 253-275, May.
  18. George, Thomas J. & Hwang, Chuan-Yang, 2010. "A resolution of the distress risk and leverage puzzles in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 96(1), pages 56-79, April.
  19. Long, Wen & Mok, Henry M.K. & Hu, Yan & Wang, Huiwen, 2009. "The style and innate structure of the stock markets in China," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 224-242, April.
  20. Zalewska, Ania, 1999. "Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges," CEPR Discussion Papers 2134, C.E.P.R. Discussion Papers.
  21. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 2003. "Analysts' Conflict of Interest and Biases in Earnings Forecasts," NBER Working Papers 9544, National Bureau of Economic Research, Inc.
  22. Agarwal, Vikas & Wang, Lingling, 2007. "Transaction costs and value premium," CFR Working Papers 07-06, University of Cologne, Centre for Financial Research (CFR).
  23. Derwall, Jeroen & Koedijk, Kees & Ter Horst, Jenke, 2011. "A tale of values-driven and profit-seeking social investors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2137-2147, August.
  24. Randi Næs & Johannes A. Skjeltorp & Bernt Arne Ødegaard, 2009. "What factors affect the Oslo Stock Exchange?," Working Paper 2009/24, Norges Bank.
  25. M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012. "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers 12010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  26. Anderson, James H. & Korsun, Georges & Murrell, Peter, 2003. "Glamour and value in the land of Chingis Khan," Journal of Comparative Economics, Elsevier, vol. 31(1), pages 34-57, March.
  27. Simpson, Marc W. & Ramchander, Sanjay, 2008. "An inquiry into the economic fundamentals of the Fama and French equity factors," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 801-815, December.
  28. Vasileios Barmpoutis, 2014. "The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts," Papers 1406.1733, arXiv.org.
  29. Alexander Ludwig & Alexander Zimper, 2013. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Annals of Finance, Springer, vol. 9(4), pages 625-665, November.
  30. Jiang, Hao, 2010. "Institutional investors, intangible information, and the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 96(1), pages 98-126, April.
  31. Barbee Jr., William C. & Jeong, Jin-Gil & Mukherji, Sandip, 2008. "Relations between portfolio returns and market multiples," Global Finance Journal, Elsevier, vol. 19(1), pages 1-10.
  32. Rui Albuquerque & Jianjun Miao, . "Advance Information and Asset Prices," Boston University - Department of Economics - Working Papers Series wp2009-017, Boston University - Department of Economics.
  33. Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu, 2013. "Reits' Growth Options and Asset Pricing Dynamics across Time," Koç University-TUSIAD Economic Research Forum Working Papers 1303, Koc University-TUSIAD Economic Research Forum.
  34. Malcolm Baker & Richard S. Ruback & Jeffrey Wurgler, 2004. "Behavioral Corporate Finance: A Survey," NBER Working Papers 10863, National Bureau of Economic Research, Inc.
  35. Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013. "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, vol. 108(2), pages 323-348.
  36. Mahani, Reza S. & Poteshman, Allen M., 2008. "Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 635-655, September.
  37. Wei He & Yen-Sheng Lee & Peihwang Wei, 2010. "Do option traders on value and growth stocks react differently to new information?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 371-381, April.
  38. Jiang, Xiaoquan & Zaman, Mir A., 2010. "Aggregate insider trading: Contrarian beliefs or superior information?," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1225-1236, June.
  39. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
  40. Jeremy C. Stein, 1996. "Rational Capital Budgeting in an Irrational World," NBER Working Papers 5496, National Bureau of Economic Research, Inc.
  41. Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2002. "When Does the Market Matter? Stock Prices and the Investsment of Equity-Dependent Firms," Harvard Institute of Economic Research Working Papers 1978, Harvard - Institute of Economic Research.
  42. Ebrahim, M. Shahid & Girma, Sourafel & Shah, M. Eskandar & Williams, Jonathan, 2014. "Rationalizing the value premium in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 51-70.
  43. Chan, Wesley & Frankel, Richard & Kothari, S.P., 2002. "Testing Behavioral Finance Theories Using Trends and Sequences in Financial Performance," Working papers 4375-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  44. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012. "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers 18555, National Bureau of Economic Research, Inc.
  45. Chaoshin Chiao & David Cheng & Welfeng Hung, 2005. "Overreaction after Controlling for Size and Book-to-Market Effects and its Mimicking Portfolio in Japan," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 65-91, January.
  46. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP) dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  47. María Penas & Günseli Tümer-Alkan, 2010. "Bank Disclosure and Market Assessment of Financial Fragility: Evidence from Turkish Banks’ Equity Prices," Journal of Financial Services Research, Springer, vol. 37(2), pages 159-178, June.
  48. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2005. "In Searach of Distress Risk," Harvard Institute of Economic Research Working Papers 2081, Harvard - Institute of Economic Research.
  49. Hahl, Teemu & Vähämaa, Sami & Äijö, Janne, 2014. "Value versus growth in IPOs: New evidence from Finland," Research in International Business and Finance, Elsevier, vol. 31(C), pages 17-31.
  50. Yen, Jenn Yaw & Sun, Qian & Yan, Yuxing, 2004. "Value versus growth stocks in Singapore," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 19-34, February.
  51. Borgers, Arian & Derwall, Jeroen & Koedijk, Kees & ter Horst, Jenke, 2013. "Stakeholder relations and stock returns: On errors in investors' expectations and learning," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 159-175.
  52. Farinos, Jose E. & Garcia, C. Jose & Ibanez, Ana M., 2007. "Is the long-run underperformance of seasoned equity issues irrational? Evidence from Spain," International Review of Financial Analysis, Elsevier, vol. 16(2), pages 183-199.
  53. Dechow, Patricia M. & Sloan, Richard G., 1997. "Returns to contrarian investment strategies: Tests of naive expectations hypotheses," Journal of Financial Economics, Elsevier, vol. 43(1), pages 3-27, January.
  54. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  55. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
  56. Xiaoji Lin & Lu Zhang, 2011. "Covariances versus Characteristics in General Equilibrium," NBER Working Papers 17285, National Bureau of Economic Research, Inc.
  57. Kwame Addae-Dapaah & James Webb & Kim Ho & Yan Tan, 2010. "Industrial Real Estate Investment: Does the Contrarian Strategy Work?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 193-227, August.
  58. Bekiros, Stelios D., 2010. "Heterogeneous trading strategies with adaptive fuzzy Actor-Critic reinforcement learning: A behavioral approach," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1153-1170, June.
  59. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 2001. "The Level and Persistence of Growth Rates," NBER Working Papers 8282, National Bureau of Economic Research, Inc.
  60. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
  61. Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004. "Investor Behavior in the Option Market," NBER Working Papers 10264, National Bureau of Economic Research, Inc.
  62. repec:hal:journl:halshs-00188339 is not listed on IDEAS
  63. van der Sar, Nico L., 2004. "Behavioral finance: How matters stand," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 425-444, June.
  64. Penas, M.F. & Tumer-Alkan, G., 2008. "Bank Disclosure and Market Assessment of Financial Fragility: Evidence from Banks' Equity Prices," Discussion Paper 2008-013, Tilburg University, Tilburg Law and Economic Center.
  65. Henderson, Brian J. & Marks, Joseph M., 2013. "Predicting forecast errors through joint observation of earnings and revenue forecasts," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4265-4277.
  66. Mian, G. Mujtaba & Teo, Terence G. L., 2004. "Do errors in expectations explain the cross-section of stock returns?," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 197-217, April.
  67. Joseph T.L. Ooi & James R. Webb & Dingding Zhou, 2007. "Extrapolation Theory and the Pricing of REIT Stocks," Journal of Real Estate Research, American Real Estate Society, vol. 29(1), pages 27-56.
  68. Berkman, Henk & Dimitrov, Valentin & Jain, Prem C. & Koch, Paul D. & Tice, Sheri, 2009. "Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements," Journal of Financial Economics, Elsevier, vol. 92(3), pages 376-399, June.
  69. Chiao, Chaoshin & Hueng, C. James, 2005. "Overreaction effects independent of risk and characteristics: evidence from the Japanese stock market," Japan and the World Economy, Elsevier, vol. 17(4), pages 431-455, December.
  70. Bekiros, Stelios D., 2013. "Irrational fads, short-term memory emulation, and asset predictability," Review of Financial Economics, Elsevier, vol. 22(4), pages 213-219.
  71. Lewellen, Jonathan, 2010. "Accounting anomalies and fundamental analysis: An alternative view," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 455-466, December.