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Michael Cooper

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Cooper, Michael & Gulen, Huseyin & Ion, Mihai, 2024. "The use of asset growth in empirical asset pricing models," Journal of Financial Economics, Elsevier, vol. 151(C).

    Cited by:

    1. He, Wei & Su, Zhiwei & Yu, Jianfeng, 2024. "Macroeconomic perceptions, financial constraints, and anomalies," Journal of Financial Economics, Elsevier, vol. 162(C).

  2. Cooper, Michael & Knott, Anne Marie & Yang, Wenhao, 2022. "RQ Innovative Efficiency and Firm Value," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 57(5), pages 1649-1694, August.

    Cited by:

    1. Tang, Xudong & Jia, Yang & Li, Rui, 2024. "Common institutional ownership types and corporate innovation: A taxonomy based on whether the investees are in the same industry," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
    2. Anahit Mkrtchyan, & Sandvik, Jason & Xu, Da, 2024. "Employee responses to CEO activism," Journal of Accounting and Economics, Elsevier, vol. 78(1).
    3. Pei-Fang Hsieh & Zih-Ying Lin, 2025. "The information content of options trading for the CEO employee pay ratio," Review of Quantitative Finance and Accounting, Springer, vol. 64(1), pages 89-118, January.
    4. Essi Nousiainen & Mikko Ranta & Mika Ylinen & Marko Järvenpää, 2024. "Using machine learning and 10‐K filings to measure innovation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(4), pages 3211-3239, December.

  3. Cooper, Michael & Knott, Anne Marie & Yang, Wenhao, 2022. "RQ Innovative Efficiency and Firm Value – CORRIGENDUM," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 57(7), pages 2897-2897, November.

    Cited by:

    1. Pei-Fang Hsieh & Zih-Ying Lin, 2025. "The information content of options trading for the CEO employee pay ratio," Review of Quantitative Finance and Accounting, Springer, vol. 64(1), pages 89-118, January.

  4. Michael J Cooper & Michael Halling & Wenhao Yang, 2021. "The Persistence of Fee Dispersion among Mutual Funds [The emerging landscape of retail e-commerce]," Review of Finance, European Finance Association, vol. 25(2), pages 365-402.

    Cited by:

    1. Katarzyna Perez & £ukasz Szymczyk, 2022. "Actual rate of the management fee in mutual funds of different styles," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 969-1014, December.
    2. Hitzemann, Steffen & Sokolinski, Stanislav & Tai, Mingzhu, 2022. "Paying for beta: Leverage demand and asset management fees," Journal of Financial Economics, Elsevier, vol. 145(1), pages 105-128.
    3. Fricke, Daniel & Greppmair, Stefan & Paludkiewicz, Karol, 2022. "You can't always get what you want (where you want it): Cross-border effects of the US money market fund reform," Discussion Papers 03/2022, Deutsche Bundesbank.
    4. Yue Cai, 2025. "The Effects of Misperceived Managerial Skills: Evidence from Chinese Mutual Funds," Working Papers 2412, Waseda University, Faculty of Political Science and Economics.
    5. Yezhou Sha & Jianwu Yi, 2024. "Cheaper Is Better? Evidence From China Fund Expense And Performance," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(4), pages 697-720, December.
    6. Yue Xu, 2022. "Reallocation of Mutual Fund Managers and Capital Raising Ability," CREATES Research Papers 2022-11, Department of Economics and Business Economics, Aarhus University.
    7. Choi, Hae Mi & Gupta-Mukherjee, Swasti, 2022. "Price sensitivity of the consumer-investor: Evidence from energy prices and mutual fund fees," Global Finance Journal, Elsevier, vol. 51(C).
    8. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
    9. Yue Xu, 2021. "Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability," CREATES Research Papers 2022-03, Department of Economics and Business Economics, Aarhus University.
    10. Fröberg, Emelie & Halling, Michael, 2024. "Do investors benefit from MiFID II unbundling?," Journal of Corporate Finance, Elsevier, vol. 87(C).

  5. Hendrik Bessembinder & Michael J Cooper & Feng Zhang, 2019. "Characteristic-Based Benchmark Returns and Corporate Events," The Review of Financial Studies, Society for Financial Studies, vol. 32(1), pages 75-125.

    Cited by:

    1. Maurice McCourt, 2022. "Permanent private equity: Market performance and transactions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 339-383, June.
    2. Kumar, Rajnish & Lawrence, Edward R. & Prakash, Arun & Rodríguez, Iván M., 2023. "Additions to and deletions from the S&P 500 index: A resolution to the asymmetric price response puzzle," Journal of Banking & Finance, Elsevier, vol. 154(C).
    3. Huang, Ying Sophie & Guo, Feng & Ma, Lina, 2023. "Do M&A funds create value in Chinese listed firms?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    4. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2024. "Credit market conditions, expected return proxies, and bank stock returns," Global Finance Journal, Elsevier, vol. 62(C).
    5. Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
    6. Kolari, James W. & Pynnonen, Seppo & Tuncez, Ahmet M., 2021. "Further evidence on long-run abnormal returns after corporate events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 421-439.
    7. Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
    8. John M. Griffin & Clark Liu & Tao Shu, 2022. "Is the Chinese Anticorruption Campaign Authentic? Evidence from Corporate Investigations," Management Science, INFORMS, vol. 68(10), pages 7248-7273, October.
    9. Wang, Jiazhen & Hu, Xiaolu & Zhong, Angel, 2023. "Stock market reaction to mandatory ESG disclosure," Finance Research Letters, Elsevier, vol. 53(C).
    10. HaiYue Liu & ShiYi Liu & JiaTian Li & Peng Wu, 2021. "An empirical study of Chinese listed firms’ herd behaviour in cross‐border mergers and acquisitions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(5), pages 6295-6331, December.
    11. Liu, Tingting & Lu, Zhongjin (Gene) & Shu, Tao & Wei, Fengrong, 2022. "Unique bidder-target relatedness and synergies creation in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 73(C).
    12. Liu, Xia (Summer) & Megginson, William L. & Xia, Junjie, 2022. "Industrial policy and asset prices: Evidence from the Made in China 2025 policy," Journal of Banking & Finance, Elsevier, vol. 142(C).
    13. Steinberg, Nadav & Wohl, Avi, 2024. "Market timing in open market bond repurchases," Journal of Banking & Finance, Elsevier, vol. 161(C).
    14. Erl, Ludwig & Kiesel, Florian & Koenigsmarck, Markus & Schiereck, Dirk, 2023. "Performance effects of sell-offs and the role of sell-off experience," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 244-257.

  6. Michael Cooper & John McClelland & James Pearce & Richard Prisinzano & Joseph Sullivan & Danny Yagan & Owen Zidar & Eric Zwick, 2016. "Business in the United States: Who Owns It, and How Much Tax Do They Pay?," Tax Policy and the Economy, University of Chicago Press, vol. 30(1), pages 91-128.

    Cited by:

    1. Nicodano, Giovanna & Regis, Luca, 2019. "A trade-off theory of ownership and capital structure," Journal of Financial Economics, Elsevier, vol. 131(3), pages 715-735.
    2. Katarzyna Anna Bilicka & Sepideh Raei, 2020. "Output Distortions and the Choice of Legal Form of Organization," CESifo Working Paper Series 8756, CESifo.
    3. Fatih Guvenen & Raymond J. Mataloni Jr. & Dylan G. Rassier & Kim J. Ruhl, 2018. "Offshore Profit Shifting and Domestic Productivity Measurement," Working Papers 751, Federal Reserve Bank of Minneapolis.
    4. Daron Acemoglu & Andrea Manera & Pascual Restrepo, 2020. "Does the US Tax Code Favor Automation?," NBER Working Papers 27052, National Bureau of Economic Research, Inc.
    5. Sijbren Cnossen, 2018. "Corporation taxes in the European Union: Slowly moving toward comprehensive business income taxation?," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 25(3), pages 808-840, June.
    6. Dhammika Dharmapala, 2016. "The economics of corporate and business tax reform," Working Papers 1604, Oxford University Centre for Business Taxation.
    7. Pablo D. Fajgelbaum & Eduardo Morales & Juan Carlos Suárez Serrato & Owen M. Zidar, 2015. "State Taxes and Spatial Misallocation," NBER Working Papers 21760, National Bureau of Economic Research, Inc.
    8. Niels Johannesen & Daniel Reck & Max Risch & Joel Slemrod & John Guyton & Patrick Langetieg, 2023. "The Offshore World According to FATCA: New Evidence on the Foreign Wealth of US Households," NBER Chapters, in: Tax Policy and the Economy, Volume 38, pages 61-99, National Bureau of Economic Research, Inc.
    9. Hashmat Khan & Jean-François Rouillard, 2017. "Why Does Household Investment Lead Business Investment over the Business Cycle?: Comment," Carleton Economic Papers 17-04, Carleton University, Department of Economics.
    10. Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart, 2016. "Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock," NBER Working Papers 22209, National Bureau of Economic Research, Inc.
    11. Anmol Bhandari & Ellen R. McGrattan, 2017. "Sweat Equity in U.S. Private Business," Staff Report 560, Federal Reserve Bank of Minneapolis.
    12. Kopczuk, Wojciech & Alstadsæter, Annette & Jacob, Martin & Telle, Kjetil, 2016. "Accounting for Business Income in Measuring Top Income Shares: Integrated Accrual Approach Using Individual and Firm Data from," CEPR Discussion Papers 11671, C.E.P.R. Discussion Papers.
    13. Jesse Bricker & Sarena Goodman & Alice Henriques Volz & Kevin B. Moore, 2021. "A Wealth of Information: Augmenting the Survey of Consumer Finances to Characterize the Full U.S. Wealth Distribution," Finance and Economics Discussion Series 2021-053, Board of Governors of the Federal Reserve System (U.S.).
    14. Matthew Smith & Danny Yagan & Owen Zidar & Eric Zwick, 2019. "Capitalists in the Twenty-First Century," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(4), pages 1675-1745.
    15. Suárez Serrato, Juan Carlos & Zidar, Owen, 2018. "The structure of state corporate taxation and its impact on state tax revenues and economic activity," Journal of Public Economics, Elsevier, vol. 167(C), pages 158-176.
    16. Fernández-Bastidas, Rocío, 2023. "Entrepreneurship and tax evasion," Economic Modelling, Elsevier, vol. 128(C).
    17. Annette Alstadsæter & Martin Jacob & Wojciech Kopczuk & Kjetil Telle, 2016. "Accounting for business income in measuring top income shares. Integrated accrual approach using individual and firm data from Norway," Discussion Papers 837, Statistics Norway, Research Department.
    18. Anmol Bhandari & Serdar Birinci & Ellen McGrattan & Kurt See, 2019. "What Do Survey Data Tell Us About US Businesses?," Staff Working Papers 19-45, Bank of Canada.
    19. Matthew Smith & Owen Zidar & Eric Zwick, 2020. "Top Wealth in America: New Estimates and Implications for Taxing the Rich," Working Papers 264, Princeton University, Department of Economics, Center for Economic Policy Studies..
    20. Waseem, Mazhar, 2018. "Taxes, informality and income shifting: Evidence from a recent Pakistani tax reform," Journal of Public Economics, Elsevier, vol. 157(C), pages 41-77.
    21. Gabriel Chodorow-Reich & Matthew Smith & Owen Zidar & Eric Zwick, 2024. "Tax Policy and Investment in a Global Economy," Working Papers 328, Princeton University, Department of Economics, Center for Economic Policy Studies..
    22. Jennifer Bruner & Dylan G. Rassier & Kim J. Ruhl, 2018. "Multinational Profit Shifting and Measures throughout Economic Accounts," BEA Working Papers 0150, Bureau of Economic Analysis.
    23. Pierre Azoulay & Benjamin F. Jones & J. Daniel Kim & Javier Miranda, 2018. "Age and High-Growth Entrepreneurship," CARRA Working Papers 2018-03, Center for Economic Studies, U.S. Census Bureau.
    24. Emmanuel Saez & Gabriel Zucman, 2020. "Trends in US Income and Wealth Inequality: Revising After the Revisionists," NBER Working Papers 27921, National Bureau of Economic Research, Inc.
    25. Eric Zwick, 2022. "Comment on "Human Capitalists" 2," NBER Chapters, in: NBER Macroeconomics Annual 2022, volume 37, pages 74-83, National Bureau of Economic Research, Inc.
    26. Fatih Guvenen & Greg Kaplan, 2017. "Top Income Inequality in the 21st Century: Some Cautionary Notes," Quarterly Review, Federal Reserve Bank of Minneapolis, issue October, pages 2-15.
    27. Owen Zidar, 2020. "Comment on "Sources of US Wealth Inequality: Past, Present, and Future"," NBER Chapters, in: NBER Macroeconomics Annual 2020, volume 35, pages 456-467, National Bureau of Economic Research, Inc.
    28. Martin O'Connell & Kate Smith, 2021. "Optimal sin taxation and market power," IFS Working Papers W21/30, Institute for Fiscal Studies.
    29. Reck, Daniel & Guyton, John & Langetieg, Patrick & Risch, Max & Zucman, Gabriel, 2021. "Tax Evasion at the Top of the Income Distribution: Theory and Evidence," CEPR Discussion Papers 15851, C.E.P.R. Discussion Papers.
    30. Anette Alstads�ter & Niels Johannesen & Gabriel Zucman, 2018. "Tax Evasion and Inequality," CEBI working paper series 17-03, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    31. Matthew Smith & Danny Yagan & Owen Zidar & Eric Zwick, 2022. "The Rise of Pass-Throughs and the Decline of the Labor Share," American Economic Review: Insights, American Economic Association, vol. 4(3), pages 323-340, September.
    32. Sijbren Cnossen, 2016. "Tackling Spillovers by Taxing Corporate Income in the European Union at Source," CPB Discussion Paper 324, CPB Netherlands Bureau for Economic Policy Analysis.
    33. Massenz, Gabriella, 2023. "On the behavioral effects of tax policy," Other publications TiSEM eb44a9f7-b859-480d-b2e4-4, Tilburg University, School of Economics and Management.
    34. Emmanuel Saez & Gabriel Zucman, 2019. "Progressive Wealth Taxation," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 50(2 (Fall)), pages 437-533.
    35. Sijbren Cnossen, 2016. "Tackling Spillovers by Taxing Corporate Income in the European Union at Source," CESifo Working Paper Series 5790, CESifo.
    36. Bibek Adhikari & James Alm & Timothy F. Harris, 2021. "Small Business Tax Compliance under Third-party Reporting," Working Papers 2116, Tulane University, Department of Economics.
    37. Dylan G. Rassier & Melissa J. Braybrooks & Jason W. Chute & Howard I. Krakower, 2016. "Quasi-Corporations and Institutional Sectors in the U.S. National Accounts," BEA Working Papers 0138, Bureau of Economic Analysis.
    38. Sebastian Beer & Mr. Alexander D Klemm & Ms. Thornton Matheson, 2018. "Tax Spillovers from US Corporate Income Tax Reform," IMF Working Papers 2018/166, International Monetary Fund.
    39. E. Mark Curtis & Ryan A. Decker, 2018. "Entrepreneurship and State Taxation," Finance and Economics Discussion Series 2018-003, Board of Governors of the Federal Reserve System (U.S.).
    40. Xavier Giroud & Joshua Rauh, 2017. "State Taxation and the Reallocation of Business Activity: Evidence from Establishment-Level Data," Working Papers 17-02, Center for Economic Studies, U.S. Census Bureau.
    41. Stefan Bach & Charlotte Bartels & Theresa Neef, 2024. "The Distribution of National Income in Germany, 1992-2019," Discussion Papers of DIW Berlin 2102, DIW Berlin, German Institute for Economic Research.
    42. Kimberly Clausing & Edward Kleinbard & Ms. Thornton Matheson, 2016. "U.S. Corporate Income Tax Reform and its Spillovers," IMF Working Papers 2016/127, International Monetary Fund.
    43. Kindsgrab, Paul M., 2022. "Do higher income taxes on top earners trickle down? A local labor markets approach," Journal of Public Economics, Elsevier, vol. 214(C).
    44. Tom Phelan, 2019. "The Optimal Taxation of Business Owners," Working Papers 19-26R, Federal Reserve Bank of Cleveland, revised 28 May 2021.
    45. Wojciech Kopczuk & Eric Zwick, 2020. "Business Incomes at the Top," Working Papers 2020-118, Becker Friedman Institute for Research In Economics.
    46. Xavier Giroud & Joshua D. Rauh, 2016. "State Taxation and the Reallocation of Business Activity: Evidence from Establishment-Level Data," Economics Working Papers 16103, Hoover Institution, Stanford University.
    47. Francesco Furno, 2021. "The Macroeconomic Effects of Corporate Tax Reforms," Papers 2111.12799, arXiv.org.
    48. DeBacker, Jason & Heim, Bradley T. & Ramnath, Shanthi P. & Ross, Justin M., 2019. "The impact of state taxes on pass-through businesses: Evidence from the 2012 Kansas income tax reform," Journal of Public Economics, Elsevier, vol. 174(C), pages 53-75.
    49. Stantcheva, Stefanie & Akcigit, Ufuk & Grigsby, John & Nicholas, Tom, 2018. "Taxation and Innovation in the 20th Century," CEPR Discussion Papers 13167, C.E.P.R. Discussion Papers.
    50. Nathan Goldschlag & J. Daniel Kim & Kristin McCue, 2017. "Just Passing Through: Characterizing U.S. Pass-Through Business Owners," Working Papers 17-69, Center for Economic Studies, U.S. Census Bureau.

  7. Michael J. Cooper & Huseyin Gulen & Alexei V. Ovtchinnikov, 2010. "Corporate Political Contributions and Stock Returns," Journal of Finance, American Finance Association, vol. 65(2), pages 687-724, April.

    Cited by:

    1. Beyer, Deborah B. & Fan, Zaifeng S., 2023. "The calming effects of conflict: The impact of partisan conflict on market volatility," International Review of Financial Analysis, Elsevier, vol. 85(C).
    2. Alma Cohen & Moshe Hazan & David Weiss, 2021. "Politics and Gender in the Executive Suite," NBER Working Papers 28893, National Bureau of Economic Research, Inc.
    3. Su, Zhong-qin & Fung, Hung-Gay & Huang, Deng-shi & Shen, Chung-Hua, 2014. "Cash dividends, expropriation, and political connections: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 260-272.
    4. Wang, Liyao, 2024. "Partisan conflict and corporate credit spreads: The role of political connection," Journal of Corporate Finance, Elsevier, vol. 84(C).
    5. Banerji, Sanjay & Duygun, Meryem & Shaban, Mohamed, 2018. "Political connections, bailout in financial markets and firm value," Journal of Corporate Finance, Elsevier, vol. 50(C), pages 388-401.
    6. Charles Knoeber & Mark Walker, 2013. "On political connectedness and the arrest of Ivan Boesky," Public Choice, Springer, vol. 157(1), pages 41-50, October.
    7. Qiuhong Zhao, 2016. "Do Political Connections Affect Bank Loan Loss Provision Reliability?," Accounting and Finance Research, Sciedu Press, vol. 5(3), pages 118-118, August.
    8. Gammeltoft, Peter & Panibratov, Andrei, 2024. "Emerging market multinationals and the politics of internationalization," International Business Review, Elsevier, vol. 33(3).
    9. Unsal, Omer & Hassan, M. Kabir & Zirek, Duygu, 2016. "Corporate lobbying, CEO political ideology and firm performance," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 126-149.
    10. Gounopoulos, Dimitrios & Mazouz, Khelifa & Wood, Geoffrey, 2021. "The consequences of political donations for IPO premium and performance," Journal of Corporate Finance, Elsevier, vol. 67(C).
    11. Wei, Chunyan & Hu, Shiyang & Chen, Feng, 2020. "Do political connection disruptions increase labor costs in a government-dominated market? Evidence from publicly listed companies in China," Journal of Corporate Finance, Elsevier, vol. 62(C).
    12. Wei Shi & Cheng Gao & Ruth V. Aguilera, 2021. "The liabilities of foreign institutional ownership: Managing political dependence through corporate political spending," Strategic Management Journal, Wiley Blackwell, vol. 42(1), pages 84-113, January.
    13. Ms. Deniz O Igan & Thomas Lambert, 2019. "Bank Lobbying: Regulatory Capture and Beyond," IMF Working Papers 2019/171, International Monetary Fund.
    14. Dongmin Kong & Junyi Xiang & Jian Zhang & Yiyang Lu, 2019. "Politically connected independent directors and corporate fraud in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(5), pages 1347-1383, March.
    15. Yu, Ellen Pei-yi & Luu, Bac Van, 2021. "International variations in ESG disclosure – Do cross-listed companies care more?," International Review of Financial Analysis, Elsevier, vol. 75(C).
    16. Adelino, Manuel & Dinc, I. Serdar, 2014. "Corporate distress and lobbying: Evidence from the Stimulus Act," Journal of Financial Economics, Elsevier, vol. 114(2), pages 256-272.
    17. Joonkyu Choi & Veronika Penciakova & Felipe Saffie, 2021. "Political Connections, Allocation of Stimulus Spending, and the Jobs Multiplier," Finance and Economics Discussion Series 2021-005r1, Board of Governors of the Federal Reserve System (U.S.), revised Jul 2021.
    18. Abdul‐Rahman Khokhar & Hesam Shahriari, 2022. "Is the SEC captured? Evidence from political connectedness and SEC enforcement actions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(2), pages 2725-2756, June.
    19. Barraza, Santiago & Rossi, Martín A & Ruzzier, Christian A, 2022. "Sleeping with the enemy: The perils of having the government on(the)board," Journal of Comparative Economics, Elsevier, vol. 50(3), pages 641-651.
    20. Tarek A. Hassan & Stephan Hollander & Laurence van Lent & Ahmed Tahoun, 2017. "Firm-Level Political Risk: Measurement and Effects," NBER Working Papers 24029, National Bureau of Economic Research, Inc.
    21. Yuping Deng & Yanrui Wu & Helian Xu, 2020. "Political Connections and Firm Pollution Behaviour: An Empirical Study," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 75(4), pages 867-898, April.
    22. D. G. DeBoskey & Yutao Li & Gerald J. Lobo & Yan Luo, 2021. "Corporate political transparency and the cost of debt," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 111-145, July.
    23. Colin P. Green & Swarnodeep Homroy, 2022. "Incorporated in Westminster: Channels and Returns to Political Connection in the United Kingdom," Economica, London School of Economics and Political Science, vol. 89(354), pages 377-408, April.
    24. Hill, Matthew D. & Kubick, Thomas R. & Brandon Lockhart, G. & Wan, Huishan, 2013. "The effectiveness and valuation of political tax minimization," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2836-2849.
    25. Bradley, Daniel & Pantzalis, Christos & Yuan, Xiaojing, 2016. "Policy risk, corporate political strategies, and the cost of debt," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 254-275.
    26. Hoepner, Andreas G.F. & Lin, Ming-Tsung, 2022. "Do shareholder views affect corporate political activities?," International Review of Financial Analysis, Elsevier, vol. 84(C).
    27. Tee, Chwee Ming, 2020. "Political connections and income smoothing: Evidence of institutional investors’ monitoring in Malaysia," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
    28. Chung-Hua Shen & Chih-Yung Lin, 2016. "Political connections, financial constraints, and corporate investment," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 343-368, August.
    29. Chkir, Imed & Gallali, Mohamed Imen & Toukabri, Manara, 2020. "Political connections and corporate debt: Evidence from two U.S. election campaigns," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 229-239.
    30. James Kai‐sing Kung & Chicheng Ma, 2018. "Friends with Benefits: How Political Connections Help to Sustain Private Enterprise Growth in China," Economica, London School of Economics and Political Science, vol. 85(337), pages 41-74, January.
    31. Shu, Pei-Gi & Chiang, Sue-Jane, 2020. "The impact of corporate governance on corporate social performance: Cases from listed firms in Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    32. Elnahas, Ahmed M. & Kim, Dongnyoung, 2017. "CEO political ideology and mergers and acquisitions decisions," Journal of Corporate Finance, Elsevier, vol. 45(C), pages 162-175.
    33. Minnick, Kristina & Noga, Tracy, 2017. "The influence of firm and industry political spending on tax management among S&P 500 firms," Journal of Corporate Finance, Elsevier, vol. 44(C), pages 233-254.
    34. Eichler, Stefan & Plaga, Timo, 2020. "The economic record of the government and sovereign bond and stock returns around national elections," Journal of Banking & Finance, Elsevier, vol. 118(C).
    35. Alnahedh, Saad & Alhashel, Bader, 2024. "Firm executive political leanings, Washington, and stock market returns," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 476-491.
    36. Tahoun, Ahmed, 2014. "The role of stock ownership by US members of Congress on the market for political favors," Journal of Financial Economics, Elsevier, vol. 111(1), pages 86-110.
    37. Liu, Li & Liu, Qigui & Tian, Gary & Wang, Peipei, 2018. "Government connections and the persistence of profitability: Evidence from Chinese listed firms," Emerging Markets Review, Elsevier, vol. 36(C), pages 110-129.
    38. Cull, Robert & Li, Wei & Sun, Bo & Xu, Lixin Colin, 2015. "Government connections and financial constraints: Evidence from a large representative sample of Chinese firms," Journal of Corporate Finance, Elsevier, vol. 32(C), pages 271-294.
    39. Yang, Jin & Huang, Jian & Deng, Yanhua & Bordignon, Massimo, 2020. "The rise of red private entrepreneurs in China: Policy shift, institutional settings and political connection," China Economic Review, Elsevier, vol. 61(C).
    40. Chen, Hung-Kun & Liao, Yin-Chi & Lin, Chih-Yung & Yen, Ju-Fang, 2018. "The effect of the political connections of government bank CEOs on bank performance during the financial crisis," Journal of Financial Stability, Elsevier, vol. 36(C), pages 130-143.
    41. Yi Lu & Greg Shailer & Mark Wilson, 2016. "Corporate Political Donations: Influences from Directors’ Networks," Journal of Business Ethics, Springer, vol. 135(3), pages 461-481, May.
    42. Aggey Semenov & Hector Perez Saiz, 2014. "The Effect Of Campaign Contributions On State Banking Regulation And Bank Expansion In U.S," 2014 Meeting Papers 1265, Society for Economic Dynamics.
    43. Yörük Bariş K., 2015. "Do Charitable Subsidies Crowd Out Political Giving? The Missing Link between Charitable and Political Contributions," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 15(1), pages 407-435, January.
    44. William R. Kerr & William F. Lincoln & Prachi Mishra, 2014. "The Dynamics of Firm Lobbying," American Economic Journal: Economic Policy, American Economic Association, vol. 6(4), pages 343-379, November.
    45. Zhang, Bobo & Zhang, Zhou, 2022. "Shining light on corporate political spending: Evidence from shareholder engagements," International Review of Law and Economics, Elsevier, vol. 70(C).
    46. Taehyun Kim & Quoc H Nguyen, 2020. "The Effect of Public Spending on Private Investment," Review of Finance, European Finance Association, vol. 24(2), pages 415-451.
    47. Thomas Stratmann & J.W. Verret, 2015. "How Does Corporate Political Activity Allowed by Citizens United v. FEC Affect Shareholder Wealth?," Journal of Law and Economics, University of Chicago Press, vol. 58(3).
    48. Su, Zhong-qin & Xiao, Zuoping & Yu, Lin, 2019. "Do political connections enhance or impede corporate innovation?," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 94-110.
    49. Soumyajit Mazumder, 2016. "Can I stay a BIT longer? The effect of bilateral investment treaties on political survival," The Review of International Organizations, Springer, vol. 11(4), pages 477-521, December.
    50. Bhandari, Avishek & Golden, Joanna, 2021. "CEO political preference and credit ratings," Journal of Corporate Finance, Elsevier, vol. 68(C).
    51. Cheng, Louis T.W. & Leung, T.Y., 2016. "Government protection, political connection and management turnover in China," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 160-176.
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  9. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.

    Cited by:

    1. Clark, Todd E. & McCracken, Michael W., 2015. "Nested forecast model comparisons: A new approach to testing equal accuracy," Journal of Econometrics, Elsevier, vol. 186(1), pages 160-177.
    2. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
    3. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    4. Dooruj Rambaccussing, 2011. "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers 1113, Department of Applied Economics II, Universidad de Valencia.
    5. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
    6. Jiali Fang & Ben Jacobsen & Yafeng Qin, 2014. "Predictability of the simple technical trading rules: An out‐of‐sample test," Review of Financial Economics, John Wiley & Sons, vol. 23(1), pages 30-45, January.
    7. 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.
    8. Hubrich, Kirstin & Granziera, Eleonora & Moon, Hyungsik Roger, 2013. "A predictability test for a small number of nested models," Working Paper Series 1580, European Central Bank.
    9. Wang, Zijun & Qian, Yan & Wang, Shiwen, 2018. "Dynamic trading volume and stock return relation: Does it hold out of sample?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 195-210.
    10. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," FinMaP-Working Papers 11, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    11. Park, Cheol-Ho & Irwin, Scott H., 2005. "A Reality Check on Technical Trading Rule Profits in US Futures Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19039, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    12. Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
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    16. Reitz, Stefan & Pierdzioch, Christian & Rülke, Jan-Christoph, 2015. "Nonlinear Expectation Formation in the U.S. Stock Market," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113210, Verein für Socialpolitik / German Economic Association.
    17. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey," Kiel Working Papers 1947 [rev.], Kiel Institute for the World Economy (IfW Kiel).
    18. Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
    19. Yufeng Han, 2010. "On the Economic Value of Return Predictability," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 1-33, May.
    20. Erie Febrian & Aldrin Herwany, 2009. "Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)," Working Papers in Economics and Development Studies (WoPEDS) 200910, Department of Economics, Padjadjaran University, revised Sep 2009.
    21. Ahmad, Mashood & Ali, Syed Babar, 2008. "Technical Analysis in the Stock Markets of Pakistan: A Case of Commercial Banks," MPRA Paper 64521, University Library of Munich, Germany.
    22. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
    23. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    24. Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2575-2592.

  10. Michael J. Cooper & Huseyin Gulen & P. Raghavendra Rau, 2005. "Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows," Journal of Finance, American Finance Association, vol. 60(6), pages 2825-2858, December.

    Cited by:

    1. Kirk, Marcus, 2011. "Research for sale: Determinants and consequences of paid-for analyst research," Journal of Financial Economics, Elsevier, vol. 100(1), pages 182-200, April.
    2. Corbet, Shaen & Hou, Yang & Hu, Yang & Lucey, Brian & Oxley, Les, 2021. "Aye Corona! The contagion effects of being named Corona during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 38(C).
    3. Abis, Simona & Lines, Anton, 2024. "Broken promises, competition, and capital allocation in the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 162(C).
    4. Dhruv Desai & Ashmita Dhiman & Tushar Sharma & Deepika Sharma & Dhagash Mehta & Stefano Pasquali, 2023. "Quantifying Outlierness of Funds from their Categories using Supervised Similarity," Papers 2308.06882, arXiv.org.
    5. Cameron Truong, 2013. "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 31-48, April.
    6. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
    7. Hebb, Greg & Lin, Shannon, 2024. "Are banks better money doctors? An analysis of mutual fund flows of bank and non-bank funds using Canadian data," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    8. Chang, Xiaochen & Guo, Songlin & Huang, Junkai, 2022. "Kidnapped mutual funds: Irrational preference of naive investors and fund incentive distortion," International Review of Financial Analysis, Elsevier, vol. 83(C).
    9. Wahal, Sunil & Yavuz, M. Deniz, 2013. "Style investing, comovement and return predictability," Journal of Financial Economics, Elsevier, vol. 107(1), pages 136-154.
    10. Jan Hanousek & Štěpán Jurajda, 2018. "Názvy společností a jejich vliv na výkonnost firem [Corporate Names and Performance]," Politická ekonomie, Prague University of Economics and Business, vol. 2018(6), pages 671-688.
    11. Andrew B. Ainsworth & Kingsley Fong & David R. Gallagher, 2008. "Style Drift and Portfolio Management for Active Australian Equity Funds," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 387-418, March.
    12. Robin Greenwood & Stefan Nagel, 2008. "Inexperienced Investors and Bubbles," NBER Working Papers 14111, National Bureau of Economic Research, Inc.
    13. Anders Anderson & David T Robinson, 2022. "Financial Literacy in the Age of Green Investment [Evaluating behaviorally motivated policy: experimental evidence from the lightbulb market]," Review of Finance, European Finance Association, vol. 26(6), pages 1551-1584.
    14. Liu, Jianxiang & Yi, WenYu, 2024. "Does the style drift caused by frequent cross-industry portfolio rebalancing harm fund performance? Evidence from China," Finance Research Letters, Elsevier, vol. 60(C).
    15. Ghoul, Sadok El & Karoui, Aymen, 2021. "What's in a (Green) Name? The Consequences of Greening Fund Names on Fund Flows, Turnover, and Performance," Finance Research Letters, Elsevier, vol. 39(C).
    16. Kim, Min-Su & Kim, Woojin & Lee, Dong Wook, 2015. "Stock return commonality within business groups: Fundamentals or sentiment?," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 198-224.
    17. Alda, Mercedes, 2020. "ESG fund scores in UK SRI and conventional pension funds: Are the ESG concerns of the SRI niche affecting the conventional mainstream?," Finance Research Letters, Elsevier, vol. 36(C).
    18. Clemens Sialm & Hanjiang Zhang, 2020. "Tax‐Efficient Asset Management: Evidence from Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 75(2), pages 735-777, April.
    19. Moon, Sue H. & Zhou, Mingming & Zhu, Yun, 2023. "What’s in a name? Leaders’ names, compensation, and firm performance," Journal of Financial Stability, Elsevier, vol. 64(C).
    20. Rabab Abouarab & Tapas Mishra & Simon Wolfe, 2025. "Spotting Portfolio Greenwashing in Environmental Funds," Journal of Business Ethics, Springer, vol. 197(4), pages 811-839, April.
    21. Jo, Hoje & Kim, Hee-Eun & Sim, Myounghwa, 2022. "Environmental preference, air pollution, and fund flows in China," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    22. Alexander Cochard & Stephan Heller & Vitaly Orlov, 2018. "In Military We Trust: The Effect of Managers' Military Background on Mutual Fund Flows," Working Papers on Finance 1826, University of St. Gallen, School of Finance.
    23. Edward B. Smith & Heewon Chae, 2016. "“We do what we must, and call it by the best names”: Can deliberate names offset the consequences of organizational atypicality?," Strategic Management Journal, Wiley Blackwell, vol. 37(6), pages 1021-1033, June.
    24. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
    25. Chen, Hsuan-Chi & Lai, Christine W., 2010. "Reputation stretching in mutual fund starts," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 193-207, January.
    26. Cici, Gjergji, 2011. "The prevalence of the disposition effect in mutual funds' trades," CFR Working Papers 11-05 [rev.], University of Cologne, Centre for Financial Research (CFR).
    27. Li, Shi & Fu, Rongsha & Li, Meng, 2024. "Taking matters into their own hands: How Investors' stock preferences affect mutual fund flows in China," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    28. Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y., 2007. "Hedge funds for retail investors? An examination of hedged mutual funds," CFR Working Papers 07-04, University of Cologne, Centre for Financial Research (CFR).
    29. Sophie Xiaofei Kong & Dragon Yongjun Tang, 2008. "Unitary Boards And Mutual Fund Governance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(3), pages 193-224, September.
    30. Sherrill, D. Eli & Shirley, Sara E. & Stark, Jeffrey R., 2017. "Actively managed mutual funds holding passive investments: What do ETF positions tell us about mutual fund ability?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 48-64.
    31. Kot, Hung Wan, 2011. "Corporate name changes: Price reactions and long-run performance," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 230-244, April.
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  11. Michael Cooper & Roberto C. Gutierrez, Jr. & Bill Marcum, 2005. "On the Predictability of Stock Returns in Real Time," The Journal of Business, University of Chicago Press, vol. 78(2), pages 469-500, March.

    Cited by:

    1. 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, vol. 79(5), pages 2423-2468, September.
    2. Bruno Biais & Peter Bossaerts & Chester Spatt, 2010. "Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1503-1543, April.
    3. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    4. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis.
    5. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
    6. Silva, A. Christian & Prange, Richard E., 2007. "Virtual volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 507-516.
    7. Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc.
    8. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
    9. Kevin Lee & Scott Miller & Nicole Velasquez & Christi Wann, 2013. "The Effect of Investor Bias and Gender on Portfolio Performance and Risk," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(1), pages 1-16.
    10. Gene Birz & Erik Devos & Sandip Dutta & Khoa Nguyen & Desmond Tsang, 2022. "Ex-ante performance of REIT portfolios," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 995-1018, October.
    11. Anna Obizhaeva, 2007. "Liquidity Estimates and Selection Bias," Working Papers w0225, New Economic School (NES).
    12. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
    13. Rapach, David E. & Wohar, Mark E., 2006. "In-sample vs. out-of-sample tests of stock return predictability in the context of data mining," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 231-247, March.
    14. Kirt Butler & Katsushi Okada, 2009. "The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 1-15.
    15. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
    16. Anton Bekkerman, 2011. "Time‐varying hedge ratios in linked agricultural markets," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(2), pages 179-200, August.
    17. Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
    18. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
    19. Yufeng Han, 2010. "On the Economic Value of Return Predictability," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 1-33, May.
    20. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
    21. Hui Guo, 2009. "Data Revisions And Out‐Of‐Sample Stock Return Predictability," Economic Inquiry, Western Economic Association International, vol. 47(1), pages 81-97, January.
    22. Anna Obizhaeva, 2007. "Liquidity Estimates and Selection Bias," Working Papers w0225, Center for Economic and Financial Research (CEFIR).
    23. Pierdzioch, Christian & Schertler, Andrea, 2005. "Investing in European Stock Markets for High-Technology Firms," Kiel Working Papers 1265, Kiel Institute for the World Economy (IfW Kiel).
    24. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
    25. Steven Liew Woon Choy & Jayaraman Munusamy & Shankar Chelliah & Ally Mandari, 2011. "Effects of Financial Distress Condition on the Company Performance: A Malaysian Perspective," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 85-99, August.

  12. Jennifer Conrad & Michael Cooper & Gautam Kaul, 2003. "Value versus Glamour," Journal of Finance, American Finance Association, vol. 58(5), pages 1969-1995, October.

    Cited by:

    1. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    2. Abdoh, Hussein & Varela, Oscar, 2021. "What lies behind the asset growth effect?," Global Finance Journal, Elsevier, vol. 48(C).
    3. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
    4. Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015. "Time-varying risk premium in large cross-sectional equity datasets," Working Papers unige:76321, University of Geneva, Geneva School of Economics and Management.
    5. Kewei Hou & Chen Xue & Lu Zhang, 2017. "Replicating Anomalies," NBER Working Papers 23394, National Bureau of Economic Research, Inc.
    6. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 598-619, September.
    7. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
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  14. Cooper, Michael & Downs, David H & Patterson, Gary A, 2000. "Asymmetric Information and the Predictability of Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 225-244, March.

    Cited by:

    1. Michael Cooper & David Downs & Gary Patterson, 1999. "Real Estate Securities and a Filter-based, Short-term Trading Strategy," Journal of Real Estate Research, Taylor & Francis Journals, vol. 18(2), pages 313-333, January.
    2. Jieting Chen & Yuichiro Kawaguchi, 2018. "A Revisit of the Cross-Section of Overnight and Intraday Abnormal Returns: Evidence from the Japanese REIT Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(1), pages 46-63, January.
    3. Benjamas Jirasakuldech & Robert Campbell & John Knight, 2006. "Are There Rational Speculative Bubbles in REITs?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 105-127, March.
    4. Sulaiman T. Al-Abduljader, 2019. "Interdependence of Securitized Real Estate in Frontier Markets," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 83-108.
    5. Martin Hoesli & Stanimira Milcheva & Alex Moss, 2020. "Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 369-407, October.
    6. Beata Szetela & Grzegorz Mentel & Yuriy Bilan & Urszula Mentel, 2021. "The relationship between trend and volume on the bitcoin market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 25-42, March.

  15. Michael Cooper & David H. Downs, 1999. "Real Estate Securities and a Filter-based, Short-term Trading Strategy," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 313-334.

    Cited by:

    1. Camilo Serrano & Martin Hoesli, 2010. "Are Securitized Real Estate Returns more Predictable than Stock Returns?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 170-192, August.
    2. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    3. Zhu, Zhaobo & Harrison, DavidM. & Seiler, MichaelJ., 2020. "Preference for lottery features in real estate investment trusts," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 599-613.

  16. Cooper, Michael, 1999. "Filter Rules Based on Price and Volume in Individual Security Overreaction," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 901-935.

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    1. Andrey Kudryavtsev, 2021. "Stock Price Dynamics Surrounding Company-Specific Shocks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 32-45.
    2. Sabri Boubaker & Xuyuan Han & Zhenya Liu & Yaosong Zhan, 2023. "Optimal filter rules for selling stocks in the emerging stock markets," Post-Print hal-03511438, HAL.
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    4. Chen Yang, 2015. "An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 261-282, September.
    5. Ishani Chaudhuri & Parthajit Kayal, 2022. "Predicting Power of Ticker Search Volume in Indian Stock Market," Working Papers 2022-214, Madras School of Economics,Chennai,India.
    6. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 953-986, August.
    7. Ciner, Cetin & Karagozoglu, Ahmet K., 2008. "Information asymmetry, speculation and foreign trading activity: Emerging market evidence," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 664-680, September.
    8. Olena Onishchenko & Numan Ülkü, 2022. "Investor types' trading around the short‐term reversal pattern," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2627-2647, April.
    9. Cao, N. & Galvani, V. & Gubellini, S., 2017. "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 174-192.
    10. Bartosz Gebka, 2005. "Dynamic volume-return relationship: evidence from an emerging capital market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 1019-1029.
    11. Tsai, I-Chun & Peng, Chien-Wen, 2016. "Linear and nonlinear dynamic relationships between housing prices and trading volumes," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 172-184.
    12. Bijl, Laurens & Kringhaug, Glenn & Molnár, Peter & Sandvik, Eirik, 2016. "Google searches and stock returns," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 150-156.
    13. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    14. Schmeling, Maik & Medhat, Mamdouh, 2021. "Short-term Momentum," CEPR Discussion Papers 15857, C.E.P.R. Discussion Papers.
    15. Andrey Kudryavtsev, 2019. "Holiday Effect on Large Stock Price Changes," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 633-660, November.
    16. Chou, Pin-Huang & Huang, Tsung-Yu & Yang, Hung-Jeh, 2013. "Arbitrage risk and the turnover anomaly," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4172-4182.
    17. Vighneswara Swamy & M. Dharani, 2020. "RETRACTED ARTICLE: Google Search Intensity and the Investor Attention Effect: A Quantile Regression Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(2), pages 403-423, June.
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    20. Shih-Yung Wei & Li-Wei Lin & Surong Yan & Lu-jie Zhu, 2019. "Empirical Analysis on Price-Volume Relation in the Stock Market of China," International Journal of Economics and Financial Issues, Econjournals, vol. 9(5), pages 94-103.
    21. Zhaodan Huang & James B. Heian, 2010. "Trading‐Volume Shocks And Stock Returns: An Empirical Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 153-177, June.
    22. Agapova, Anna & Kaprielyan, Margarita, 2020. "Stock volatility and trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    23. Yan, Robert & Nuttall, John & Ling, Charles, 2006. "Application of machine learning to short-term equity return prediction," MPRA Paper 2536, University Library of Munich, Germany.
    24. Kang, Moonsoo & Khaksari, S. & Nam, Kiseok, 2018. "Corporate investment, short-term return reversal, and stock liquidity," Journal of Financial Markets, Elsevier, vol. 39(C), pages 68-83.
    25. Zolotoy, L., 2008. "Empirical essays on the information transfer between and the informational efficiency of stock markets," Other publications TiSEM 2a2652c6-1060-4622-8721-8, Tilburg University, School of Economics and Management.
    26. Hendershott, Terrence & Seasholes, Mark S., 2014. "Liquidity provision and stock return predictability," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 140-151.
    27. Subrahmanyam, Avanidhar, 2008. "Lagged order flows and returns: A longer-term perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 623-640, August.
    28. Avanidhar Subrahmanyam, 2005. "Distinguishing Between Rationales for Short‐Horizon Predictability of Stock Returns," The Financial Review, Eastern Finance Association, vol. 40(1), pages 11-35, February.
    29. Liu, Zhenya & Zhan, Yaosong, 2022. "Investor behavior and filter rule revisiting," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
    30. Megan Yuan Sun, 2013. "Stock Price Behavior around Extreme Trading Volumes," Accounting and Finance Research, Sciedu Press, vol. 2(1), pages 1-61, February.
    31. Alsubaie, Abdullah & Najand, Mohammad, 2009. "Abnormal trading volume and autoregressive behavior in weekly stock returns in the Saudi stock market," Emerging Markets Review, Elsevier, vol. 10(3), pages 207-225, September.
    32. Ronald J. Balvers & Yangru Wu, 2005. "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 022005, Hong Kong Institute for Monetary Research.
    33. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
    34. Cooper, Michael J. & Jackson, William III & Patterson, Gary A., 2003. "Evidence of predictability in the cross-section of bank stock returns," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 817-850, May.
    35. Chen, Chen & Stivers, Chris & Sun, Licheng, 2024. "Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio," Journal of Empirical Finance, Elsevier, vol. 79(C).
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    37. Lo, Kevin & Coggins, Richard, 2006. "Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 14(3), pages 291-310, June.
    38. Avanidhar Subrahmanyam, 2010. "The Cross†Section of Expected Stock Returns: What Have We Learnt from the Past Twenty†Five Years of Research?," European Financial Management, European Financial Management Association, vol. 16(1), pages 27-42, January.
    39. Cetin Ciner, 2003. "Dynamic Linkages Between Trading Volume and Price Movements: Evidence for Small Firm Stocks," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 8(1), pages 87-102, Spring.
    40. Amil Dasgupta & Andrea Prat & Michela Verardo, 2010. "The Price Impact of Institutional Herding," FMG Discussion Papers dp652, Financial Markets Group.
    41. Yang, Chih-Yuan & Jhang, Ling-Jhen & Chang, Chia-Chien, 2016. "Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 35-51.
    42. Wongchoti, Udomsak & Wu, Fei & Young, Martin, 2009. "Buy and sell dynamics following high market returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 12-20, March.
    43. Gordon, Narelle & Wu, Qiongbing, 2018. "The high-volume return premium and changes in investor recognition," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 121-136.
    44. Dasgupta, Amil & Prat, Andrea & Verardo, Michela, 2010. "The price impact of institutional herding," LSE Research Online Documents on Economics 119088, London School of Economics and Political Science, LSE Library.
    45. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
    46. Pham Dan Khanh & Pham Thanh Dat & Bui Huy Nhuong, 2020. "A Re-examination of the Holiday Effect in Stock Returns: The Case of Vietnam," Edelweiss Applied Science and Technology, Learning Gate, vol. 4(1), pages 51-54.
    47. Shuai Zhao & Yunhai Tong & Zitian Wang & Shaohua Tan, 2016. "Identifying Key Drivers of Return Reversal with Dynamical Bayesian Factor Graph," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-20, November.
    48. Zhaobo Zhu & Licheng Sun & Chris Stivers, 2021. "Price anchors and short‐term reversals," Financial Management, Financial Management Association International, vol. 50(2), pages 425-454, June.
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    50. Gebka, Bartosz & Henke, Harald & Bohl, Martin T., 2006. "Institutional trading and stock return autocorrelation: Empirical evidence on Polish pension fund investors' behavior," Global Finance Journal, Elsevier, vol. 16(3), pages 233-244, March.
    51. Friesen, Geoffrey C. & Weller, Paul A. & Dunham, Lee M., 2009. "Price trends and patterns in technical analysis: A theoretical and empirical examination," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1089-1100, June.
    52. Supriya Maheshwari & Raj S. Dhankar, 2017. "Profitability of Volume-based Momentum and Contrarian Strategies in the Indian Stock Market," Global Business Review, International Management Institute, vol. 18(4), pages 974-992, August.
    53. Andrey Kudryavtsev, 2019. "The Effect Of Trading Volumes On Stock Returns Following Large Price Moves," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 64(220), pages 85-116, January –.
    54. Swamy, Vighneswara & Dharani, M. & Takeda, Fumiko, 2019. "Investor attention and Google Search Volume Index: Evidence from an emerging market using quantile regression analysis," Research in International Business and Finance, Elsevier, vol. 50(C), pages 1-17.
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