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Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency

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  • Rosenberg, Barr
  • Rudd, Andrew

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  • Rosenberg, Barr & Rudd, Andrew, 1982. "Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency," Journal of Finance, American Finance Association, vol. 37(2), pages 543-554, May.
    • Handle: RePEc:bla:jfinan:v:37:y:1982:i:2:p:543-54
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    Cited by:

    1. Drobyshevsky Sergey & Narkevich Sergey & E. Pikulina & D. Polevoy, 2009. "Analysis Of a Possible Bubble On the Russian Real Estate Market," Research Paper Series, Gaidar Institute for Economic Policy, issue 128.
    2. Lorenzo Bastianello & José Heleno Faro, 2023. "Choquet expected discounted utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(4), pages 1071-1098, May.
    3. Ding, Yashuang (Dexter), 2023. "A simple joint model for returns, volatility and volatility of volatility," Journal of Econometrics, Elsevier, vol. 232(2), pages 521-543.
    4. Olbryś Joanna, 2012. "Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds," Folia Oeconomica Stetinensia, Sciendo, vol. 10(2), pages 60-80, January.
    5. Mason, Andrew & Agyei-Ampomah, Sam & Skinner, Frank, 2016. "Realism, skill, and incentives: Current and future trends in investment management and investment performance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 31-40.
    6. B.S. Bodla, 2005. "Efficiency of the Indian Capital Market: An Empirical Work," Vision, , vol. 9(3), pages 55-63, July.
    7. Andrew Mason & Frank McGroarty & Steve Thomas, 2013. "Complementary or contradictory? Combining returns-based and characteristics-based investment style analysis," Journal of Asset Management, Palgrave Macmillan, vol. 14(6), pages 423-438, December.
    8. Roy, Archi & Soni, Anchal & Deb, Soudeep, 2023. "A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets," Energy Economics, Elsevier, vol. 124(C).
    9. Pasaribu, Rowland Bismark Fernando, 2010. "Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45 [Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks]," MPRA Paper 36998, University Library of Munich, Germany.
    10. Christopher Riley & Barbara Summers & Darren Duxbury, 2020. "Capital Gains Overhang with a Dynamic Reference Point," Management Science, INFORMS, vol. 66(10), pages 4726-4745, October.
    11. Liu, Yan & Cheng, Xian & Liao, Stephen Shaoyi & Yang, Feng, 2023. "The impact of COVID-19 on the tourism and hospitality Industry: Evidence from international stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).

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