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Citations for "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns"

by Kent Daniel & Sheridan Titman

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  1. Jacob Boudoukh & Roni Michaely & Matthew Richardson & Michael R. Roberts, 2007. "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," Journal of Finance, American Finance Association, American Finance Association, vol. 62(2), pages 877-915, 04.
  2. Wu, Yuliang & Li, Youwei, 2011. "Long-term return reversals--Value and growth or tax? UK evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 21(3), pages 347-368, July.
  3. Connor, Gregory & Linton, Oliver, 2007. "Semiparametric estimation of a characteristic-based factor model of common stock returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(5), pages 694-717, December.
  4. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, American Economic Association, vol. 94(5), pages 1249-1275, December.
  5. Kallunki, Juha-Pekka & Martikainen, Minna & Martikainen, Teppo, 1998. "Accounting income, income components and market-to-book equity ratios: Finnish evidence," The International Journal of Accounting, Elsevier, Elsevier, vol. 33(3), pages 359-375.
  6. Lajili, Souad, 2002. "The capital asset pricing model and the three factor model of Fama and French revisited in the case of France," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/9237, Paris Dauphine University.
  7. Schröder, David & Esterer, Florian, 2012. "A new measure of equity duration: The duration-based explanation of the value premium revisited," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association 62077, Verein für Socialpolitik / German Economic Association.
  8. Yinxia G. Nielsen , Caren, 2013. "Is Default Risk Priced in Equity Returns?," Knut Wicksell Working Paper Series 2013/2, Knut Wicksell Centre for Financial Studies, Lund University.
  9. Ayesha Afzal & Nawazish Mirza, 2011. "Size and Value Premium in International Portfolios: Evidence from 15 European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 173-190, June.
  10. D. L. Wilcox & T. J. Gebbie, 2013. "On pricing kernels, information and risk," Papers 1310.4067, arXiv.org, revised Oct 2013.
  11. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 91(1), pages 1-23, January.
  12. Hong Zhang, 2004. "Dynamic Beta, Time-Varying Risk Premium, and Momentum," Yale School of Management Working Papers, Yale School of Management amz2637, Yale School of Management, revised 01 Mar 2005.
  13. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, Elsevier, vol. 63(3), pages 315-349, March.
  14. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc.
  15. Benzoni, Luca & Schenone, Carola, 2010. "Conflict of interest and certification in the U.S. IPO market," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 19(2), pages 235-254, April.
  16. Harrison Hong & Jeremy C. Stein, 1997. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets," NBER Working Papers 6324, National Bureau of Economic Research, Inc.
  17. Lucas, Andre & van Dijk, Ronald & Kloek, Teun, 2002. "Stock selection, style rotation, and risk," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(1), pages 1-34, January.
  18. John Fernald & John H. Rogers, 2002. "Puzzles In The Chinese Stock Market," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 416-432, August.
  19. Pandey I M, . "The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis," IIMA Working Papers, Indian Institute of Management Ahmedabad, Research and Publication Department WP2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  20. repec:wyi:wpaper:001975 is not listed on IDEAS
  21. Wolfgang Bessler & Wolfgang Drobetz & Jacqueline Henn-Overbeck, 2005. "Hedge Funds: Die „Königsdisziplin“ der Kapitalanlage," Working papers, Faculty of Business and Economics - University of Basel 2005/04, Faculty of Business and Economics - University of Basel.
  22. Stehle, Richard & Schulz, Anja & Schröder, Michael & Eberts, Elke & Ziegler, Andreas, 2003. "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 03-45, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  23. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 13-98, Wharton School Rodney L. White Center for Financial Research.
  24. 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, Federal Reserve Bank of Minneapolis 117, Federal Reserve Bank of Minneapolis.
  25. Filippo Ippolito & Ali K. Ozdagli & Ander Perez, 2013. "Is Bank Debt Special for the Transmission of Monetary Policy? Evidence from the Stock Market," Working Papers 721, Barcelona Graduate School of Economics.
  26. Jin Ginger Wu & Lu Zhang & X. Frank Zhang, 2007. "Understanding the Accrual Anomaly," NBER Working Papers 13525, National Bureau of Economic Research, Inc.
  27. Wallmeier, Martin & Tauscher, Kathrin, 2012. "A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland 433, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
  28. Farruggio, Christian & Michalak, Tobias C. & Uhde, Andre, 2013. "The light and dark side of TARP," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2586-2604.
  29. Michael Berkowitz, 2001. "Common Risk Factors in Explaining Canadian Equity Returns," Working Papers, University of Toronto, Department of Economics berk-00-01, University of Toronto, Department of Economics.
  30. Klaas P. Baks, 2001. "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 45-85, 02.
  31. Klaas Baks & Andrew Metrick & Jessica Wachter, 1999. "Bayesian Performance Evaluation," NBER Working Papers 7069, National Bureau of Economic Research, Inc.
  32. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
  33. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(5), pages 533-558, December.
  34. Ekaterini Panopoulou & Koubouros, M. & Malliaropulos, D., 2005. "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n1580505, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  35. David Hirshleifer & Siew Hong Teoh & Jeff Jiewei Yu, 2011. "Short Arbitrage, Return Asymmetry, and the Accrual Anomaly," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(7), pages 2429-2461.
  36. Apergis, Nicholas & Artikis, Panagiotis & Sorros, John, 2011. "Asset pricing and foreign exchange risk," Research in International Business and Finance, Elsevier, Elsevier, vol. 25(3), pages 308-328, September.
  37. Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers, Faculty of Economic Sciences, University of Warsaw 2012-04, Faculty of Economic Sciences, University of Warsaw.
  38. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
  39. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013. "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 25(C), pages 119-143.
  40. Lin, Ji-Chai & Stephens, Clifford P. & Wu, YiLin, 2014. "Limited attention, share repurchases, and takeover risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 42(C), pages 283-301.
  41. Andrew Ang & Joseph Chen & Yuhang Xing, 2006. "Downside Risk," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 19(4), pages 1191-1239.
  42. Lamont, Owen & Polk, Christopher & Saa-Requejo, Jesus, 2001. "Financial Constraints and Stock Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 14(2), pages 529-54.
  43. Michael E. Drew & Madhu Veeraraghavan, 2001. "Asset Pricing In The Asian Region," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 094, School of Economics and Finance, Queensland University of Technology.
  44. In, Francis & Kim, Sangbae, 2007. "A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables," Finance Research Letters, Elsevier, Elsevier, vol. 4(3), pages 165-171, September.
  45. Detzel, F. Larry & Weigand, Robert A., 1998. "Explaining Persistence in Mutual Fund Performance," Financial Services Review, Elsevier, Elsevier, vol. 7(1), pages 45-55.
  46. Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(2), pages 355-370.
  47. Lubos Pastor & Robert F. Stambaugh, . "Comparing Asset Pricing Models: An Investment Perspective," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 16-99, Wharton School Rodney L. White Center for Financial Research.
  48. Grauer, Robert R. & Janmaat, Johannus A., 2004. "The unintended consequences of grouping in tests of asset pricing models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(12), pages 2889-2914, December.
  49. Jiang, Danling, 2008. "Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns," MPRA Paper 8325, University Library of Munich, Germany.
  50. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
  51. A. Craig MacKinlay & Lubos Pastor, 1999. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," NBER Working Papers 7162, National Bureau of Economic Research, Inc.
  52. Lajili, Souad, 2004. "Size and book to market effects: further evidence from the French case," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/2514, Paris Dauphine University.
  53. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
  54. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
  55. Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(12), pages 2301-2311, December.
  56. Louis K. C. Chan & Stephen G. Dimmock & Josef Lakonishok, 2009. "Benchmarking Money Manager Performance: Issues and Evidence," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(11), pages 4553-4599, November.
  57. Chris Brooks & Xiafei Li & Joelle Miffre, 2009. "Time Varying Volatility and the Cross-Section of Equity Returns ," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2009-01, Henley Business School, Reading University.
  58. Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012. "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(4), pages 743-765.
  59. Argiro Svingou, 2013. "Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 63(1-2), pages 100-120, June.
  60. Black, Angela J. & McMillan, David G., 2006. "Asymmetric risk premium in value and growth stocks," International Review of Financial Analysis, Elsevier, Elsevier, vol. 15(3), pages 237-246.
  61. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 111, Money Macro and Finance Research Group.
  62. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance, EconWPA 0503028, EconWPA, revised 23 Jul 2005.
  63. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(1), pages 46-68.
  64. Kim, Kenneth A. & Limpaphayom, Piman, 2000. "Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(3), pages 315-332, August.
  65. Kenbata Bangassa, 2000. "Conditional Performance Evaluation: Empirical Evidence From UK Investment Trusts," Research Papers, University of Liverpool Management School 2000_21, University of Liverpool Management School.
  66. Easley, David & Hendershott, Terrence & Ramadorai, Tarun, 2014. "Leveling the trading field," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 65-93.
  67. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(6), pages 413-426.
  68. Lubos Pástor & Robert F. Stambaugh, . "Costs of Equity Capital and Model Mispricing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 04-98, Wharton School Rodney L. White Center for Financial Research.
  69. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) 341, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  70. Lubos Pastor & Robert F. Stambaugh, . "Evaluating and Investing in Equity Mutual Funds," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 516, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  71. MING DONG & David Hirshleifer & SCOTT RICHARSON & Siew Hong Teoh, 2004. "Does Investor Misvaluation Drive the Takeover Market?," Finance, EconWPA 0412002, EconWPA.
  72. Hearn, Bruce & Piesse, Jenifer, 2009. "Sector level cost of equity in African financial markets," Emerging Markets Review, Elsevier, Elsevier, vol. 10(4), pages 257-278, December.
  73. Judith Chevalier & Glenn Ellison, 1999. "Career Concerns Of Mutual Fund Managers," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 114(2), pages 389-432, May.
  74. Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2004. "Do countries or industries explain momentum in Europe?," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-140720, Tilburg University.
  75. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
  76. Zhiwu Chen & Jan Jindra, 2001. "A Valuation Study of Stock-Market Seasonality and Firm Size," Yale School of Management Working Papers, Yale School of Management ysm199, Yale School of Management.
  77. Julia Chou & Praveen Kumar Das & S.P. Uma Rao, 2011. "The value premium and the January effect," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 37(6), pages 517-536, June.
  78. Dechow, Patricia M. & Sloan, Richard G., 1997. "Returns to contrarian investment strategies: Tests of naive expectations hypotheses," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(1), pages 3-27, January.
  79. 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).
  80. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports, Federal Reserve Bank of New York 93, Federal Reserve Bank of New York.
  81. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  82. repec:dgr:uvatin:2001021 is not listed on IDEAS
  83. Robin Greenwood & Samuel Hanson, 2010. "Characteristic Timing," NBER Working Papers 15948, National Bureau of Economic Research, Inc.
  84. Da, Zhi & Schaumburg, Ernst, 2011. "Relative valuation and analyst target price forecasts," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(1), pages 161-192, February.
  85. Kent Daniel & Sheridan Titman, 2006. "Market Reactions to Tangible and Intangible Information," Journal of Finance, American Finance Association, American Finance Association, vol. 61(4), pages 1605-1643, 08.
  86. Barberis, Nicholas & Shleifer, Andrei, 2003. "Style investing," Journal of Financial Economics, Elsevier, Elsevier, vol. 68(2), pages 161-199, May.
  87. repec:ebl:ecbull:v:7:y:2007:i:7:p:1-10 is not listed on IDEAS
  88. Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang, 2012. "Does attention affect individual investors' investment return?," China Finance Review International, Emerald Group Publishing, Emerald Group Publishing, vol. 2(2), pages 143-162, April.
  89. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, Elsevier, vol. 3(1), pages 1-30, March.
  90. 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, Elsevier, vol. 17(4), pages 431-455, December.
  91. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Asset Pricing in China: Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 128, School of Economics and Finance, Queensland University of Technology.
  92. repec:hal:journl:halshs-00188339 is not listed on IDEAS
  93. Hsiu-Lang Chen, 2006. "On Russell index reconstitution," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 26(4), pages 409-430, June.
  94. Jiang, Danling, 2013. "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(10), pages 3974-3992.
  95. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2009. "The Price Is (Almost) Right," Journal of Finance, American Finance Association, American Finance Association, vol. 64(6), pages 2739-2782, December.
  96. David Hirshleifer & Kewei Hou & Siew Hong Teoh, 2012. "The Accrual Anomaly: Risk or Mispricing?," Management Science, INFORMS, INFORMS, vol. 58(2), pages 320-335, February.
  97. Engström, Stefan, 2004. "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," Working Paper Series in Economics and Finance, Stockholm School of Economics 553, Stockholm School of Economics.
  98. Narasimhan Jegadeesh & Sheridan Titman, 1999. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," NBER Working Papers 7159, National Bureau of Economic Research, Inc.
  99. Sorescu, Sorin & Subrahmanyam, Avanidhar, 2004. "The Cross-Section of Analyst Recommendations," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt76x8k0cc, Anderson Graduate School of Management, UCLA.
  100. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1305, Koc University-TUSIAD Economic Research Forum.
  101. Quentin Wodon, 2007. "Constructing Fama-French Factors from style indexes: Japanese evidence," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-10.
  102. Jonathan B. Berk, 1998. "Sorting Out Sorts," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0235, National Bureau of Economic Research, Inc.
  103. 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, Elsevier, vol. 13(2), pages 185-199, March.
  104. Ana Paula Serra, 2002. "The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto 120, Universidade do Porto, Faculdade de Economia do Porto.
  105. Chou, Pin-Huang & Ko, Kuan-Cheng, 2008. "Characteristics, covariances, and structural breaks," Economics Letters, Elsevier, Elsevier, vol. 100(1), pages 31-34, July.
  106. Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2013. "The Joint Cross Section of Stocks and Options," NBER Working Papers 19590, National Bureau of Economic Research, Inc.
  107. Manuel Ammann & Michael Steiner, 2008. "Risk Factors for the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 144(I), pages 1-35, March.
  108. 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, Springer, vol. 41(2), pages 193-227, August.
  109. 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, Elsevier, vol. 15(4), pages 635-655, September.
  110. Sheridan Titman & K.C. John Wei & Feixue Xie, 2003. "Capital Investments and Stock Returns," NBER Working Papers 9951, National Bureau of Economic Research, Inc.
  111. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(3), pages 631-671, December.
  112. Nielsen, Caren Yinxia Guo, 2011. "Is Default Risk Priced in Equity Returns?," Working Papers, Lund University, Department of Economics 2011:38, Lund University, Department of Economics.
  113. 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, Elsevier, vol. 29(C), pages 51-70.
  114. Xiaoji Lin & Lu Zhang, 2011. "Covariances versus Characteristics in General Equilibrium," NBER Working Papers 17285, National Bureau of Economic Research, Inc.
  115. Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers 10996, National Bureau of Economic Research, Inc.
  116. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports, Federal Reserve Bank of New York 265, Federal Reserve Bank of New York.
  117. Gharghori, Philip & Hamzah, Yusuf & Veeraraghavan, Madhu, 2010. "Migration and its contribution to the size and value premiums: Australian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(2), pages 177-196, April.
  118. Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, American Economic Association, vol. 104(6), pages 1467-85, June.
  119. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
  120. Gregory Connor & Sanjay Sehgal, 2001. "Tests of the Fama and French model in India," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 25057, London School of Economics and Political Science, LSE Library.
  121. Chou, Pin-Huang & Li, Wen-Shen & Zhou, Guofu, 2006. "Portfolio optimization under asset pricing anomalies," Japan and the World Economy, Elsevier, Elsevier, vol. 18(2), pages 121-142, March.
  122. repec:wyi:journl:002153 is not listed on IDEAS
  123. Sabine Artmann & Philipp Finter & Alexander Kempf & Stefan Koch & Erik Theissen, 2012. "The Cross-Section of German Stock Returns: New Data and New Evidence," Schmalenbach Business Review (sbr), LMU Munich School of Management, LMU Munich School of Management, vol. 64(1), pages 20-43, January.
  124. David R. Gallagher & Katja Ignatieva & James McCulloch, 2013. "Industry Concentration, Excess Returns and Innovation in Australia," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 334, Quantitative Finance Research Centre, University of Technology, Sydney.
  125. Tykvova, Tereza & Walz, Uwe, 2007. "How important is participation of different venture capitalists in German IPOs?," Global Finance Journal, Elsevier, vol. 17(3), pages 350-378, 03.
  126. 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, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  127. Trecartin, Ralph Jr., 2001. "The reliability of the book-to-market ratio as a risk proxy," Financial Services Review, Elsevier, Elsevier, vol. 9(4), pages 361-373, 00.
  128. Sophie Nivoix & Jacques Léonard & Jean-Pierre Berdot, 2006. "Valeurs de croissance contre valeurs de rendement : l’impossible stratégie," Revue d'Économie Financière, Programme National Persée, Programme National Persée, vol. 86(5), pages 363-373.
  129. Nawazish Mirza, 2008. "Size and value premium in Karachi stock exchange," CREB Working papers, Centre for Research in Economics and Business, The Lahore School of Economics 1-2008, Centre for Research in Economics and Business, The Lahore School of Economics, revised 2008.
  130. Ippolito, Filippo & Ozdagli, Ali K. & Perez, Ander, 2013. "Is bank debt special for the transmission of monetary policy? Evidence from the stock market," Working Papers, Federal Reserve Bank of Boston 13-17, Federal Reserve Bank of Boston.
  131. Asgharian, Hossein & Hansson, Bjorn, 2003. "The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 325-353, October.
  132. 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, Springer, vol. 24(1), pages 65-91, January.
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