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Contrarian Investment, Extrapolation, and Risk

Citations

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Cited by:

  1. Joel Lander & Athanasios Orphanides & Martha Douvogiannis, "undated". "Earnings Forecasts and the Predictability of Stock Returns: Evidence from Trading the S&P;," Finance and Economics Discussion Series 1997-06, Board of Governors of the Federal Reserve System (US).
  2. Ferson, Wayne E. & Harvey, Campbell R., 1997. "Fundamental determinants of national equity market returns: A perspective on conditional asset pricing," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1625-1665, December.
  3. repec:taf:applec:v:51:y:2019:i:26:p:2872-2884 is not listed on IDEAS
  4. Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc.
  5. Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016. "Another January effect—Evidence from stock split announcements," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 123-138.
  6. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
  7. Levan Efremidze & John Rutledge & Thomas D. Willett, 2016. "Capital Flow Surges As Bubbles: Behavioral Finance And Mckinnon’S Over-Borrowing Syndrome Extended," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(02), pages 1-27, June.
  8. Robert S. Chirinko & Huntley Schaller, 2011. "Do Bubbles Lead to Overinvestment?: A Revealed Preference Approach," CESifo Working Paper Series 3491, CESifo Group Munich.
  9. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2009. "The Price Is (Almost) Right," Journal of Finance, American Finance Association, vol. 64(6), pages 2739-2782, December.
  10. Dunne, Peter G., 1999. "Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 35-52.
  11. Paul P.J. Gao & Kevin X.D. Huang, 2008. "Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
  12. van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick, 2005. "The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?," Emerging Markets Review, Elsevier, vol. 6(3), pages 238-262, September.
  13. Owen Lamont, "undated". "Earnings and Expected Returns," CRSP working papers 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  14. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
  15. Sangwon Suh & Wonho Song & Bong-Soo Lee, 2014. "A new method for forming asset pricing factors from firm characteristics," Applied Economics, Taylor & Francis Journals, vol. 46(28), pages 3463-3482, October.
  16. Houge, Todd & Loughran, Tim, 1999. "Growth fixation and the performance of bank initial public offerings, 1983-1991," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1277-1301, August.
  17. Khandani, Amir E. & Lo, Andrew W., 2011. "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, vol. 14(1), pages 1-46, February.
  18. Mike Qinghao Mao & K. C. John Wei, 2016. "Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns," Management Science, INFORMS, vol. 62(9), pages 2504-2519, September.
  19. Aydoğan Alti & Paul C. Tetlock, 2014. "Biased Beliefs, Asset Prices, and Investment: A Structural Approach," Journal of Finance, American Finance Association, vol. 69(1), pages 325-361, February.
  20. repec:bla:eufman:v:16:y:2010:i:2:p:165-190 is not listed on IDEAS
  21. Markus Glaser & Martin Weber, 2003. "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 55(2), pages 108-135, April.
  22. Andrey Pavlov & Eva Steiner & Susan Wachter, 2015. "Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 241-270, March.
  23. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013. "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 119-143.
  24. repec:eee:empfin:v:48:y:2018:i:c:p:255-278 is not listed on IDEAS
  25. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  26. Hung, Weifeng & Lu, Chia-Chi & Lee, Cheng F., 2010. "Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 477-493, November.
  27. Gulnur Muradoglu & Morten Bakke & Gyrid Kvernes, 2005. "An investment strategy based on gearing ratio," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 801-804.
  28. Avanidhar Subrahmanyam, 2008. "Behavioural Finance: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 14(1), pages 12-29, January.
  29. Petros Messis & Achilleas Zapranis, 2014. "Asset pricing with time-varying betas for stocks traded on S&P 500," Applied Economics, Taylor & Francis Journals, vol. 46(36), pages 4508-4518, December.
  30. Næs, Randi & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "What factors affect the Oslo Stock Exchange?," UiS Working Papers in Economics and Finance 2009/33, University of Stavanger.
  31. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis," MPRA Paper 42510, University Library of Munich, Germany, revised 18 Sep 2012.
  32. English, Philip II & Smythe, Thomas I. & McNeil, Chris R., 2004. "The "CalPERS effect" revisited," Journal of Corporate Finance, Elsevier, vol. 10(1), pages 157-174, January.
  33. So, Eric C., 2013. "A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?," Journal of Financial Economics, Elsevier, vol. 108(3), pages 615-640.
  34. Julia Sawicki & Keshab Shrestha, 2014. "Misvaluation and Insider Trading Incentives for Accrual-based and Real Earnings Management," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(7-8), pages 926-949, September.
  35. Jiri Novak, 2015. "Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(2), pages 167-190, April.
  36. repec:bla:eufman:v:20:y:2014:i:1:p:33-70 is not listed on IDEAS
  37. repec:taf:acctbr:v:30:y:2000:i:3:p:227-240 is not listed on IDEAS
  38. Chahine, Salim & Filatotchev, Igor, 2008. "The effects of venture capitalist affiliation to underwriters on short- and long-term performance in French IPOs," Global Finance Journal, Elsevier, vol. 18(3), pages 351-372.
  39. Lewellen, Jonathan, 1999. "The time-series relations among expected return, risk, and book-to-market," Journal of Financial Economics, Elsevier, vol. 54(1), pages 5-43, October.
  40. Wu, Jin (Ginger) & Zhang, Lu, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," Working Paper Series 2010-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  41. Gregor Elze, 2012. "Value investor anomaly: return enhancement by portfolio replication—an empiric portfolio strategy analysis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(4), pages 633-647, December.
  42. Anwer S. Ahmed & Irfan Safdar, 2017. "Evidence on the Presence of Representativeness Bias in Investor Interpretation of Consistency in Sales Growth," Management Science, INFORMS, vol. 63(1), pages 97-113, January.
  43. Ananth Madhavan & David Porter & Daniel Weaver, 2001. "Pre-Trade Transparency," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(17), pages 23-46.
  44. Bartholdy, Jan, 1998. "Changes in earnings-price ratios and excess returns: A case of investor over-reaction," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 237-252.
  45. repec:imx:journl:v:11:y:2016:i:2:p:39-49 is not listed on IDEAS
  46. Hur, Jungshik & Pettengill, Glenn & Singh, Vivek, 2014. "Market states and the risk-based explanation of the size premium," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 139-150.
  47. repec:bla:eufman:v:20:y:2014:i:4:p:770-801 is not listed on IDEAS
  48. Chen, Sheng-Syan & Ho, Kim Wai & Huang, Chia-Wei & Wang, Yanzhi, 2013. "Buyback behavior of initial public offering firms," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 32-42.
  49. Gordon Tang & Wai Cheong Shum, 2006. "Risk-return relationships in the Hong Kong stock market: revisit," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1047-1058.
  50. Recep Bildik & Güzhan Gülay, 2007. "Profitability of Contrarian Strategies: Evidence from the Istanbul Stock Exchange," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 61-87, March.
  51. Obrimah, Oghenovo A. & Prakash, Puneet, 2010. "Performance reversals and attitudes towards risk in the venture capital (VC) market," Journal of Economics and Business, Elsevier, vol. 62(6), pages 537-561, November.
  52. Tortorice, Daniel L., 2018. "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 315-343.
  53. Leonid Kogan & Mary Tian, 2012. "Firm characteristics and empirical factor models: a data-mining experiment," International Finance Discussion Papers 1070, Board of Governors of the Federal Reserve System (U.S.).
  54. Vanstone, Bruce & Finnie, Gavin & Hahn, Tobias, 2012. "Creating trading systems with fundamental variables and neural networks: The Aby case study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 86(C), pages 78-91.
  55. Peter Antunovich & David S. Laster, 1999. "Do investors mistake a good company for a good investment?," Staff Reports 60, Federal Reserve Bank of New York.
  56. Pinfold, John F. & Wilson, William R. & Li, Qiuli, 2001. "Book-to-market and size as determinants of returns in small illiquid markets: the New Zealand case," Financial Services Review, Elsevier, vol. 10(1-4), pages 291-302.
  57. repec:ajm:journl:v:11:y:2017:i:2:p:124-139 is not listed on IDEAS
  58. Hui Tong & Shang-Jin Wei, 2011. "The Composition Matters: Capital Inflows and Liquidity Crunch During a Global Economic Crisis," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2023-2052.
  59. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, vol. 87(2), pages 269-280, February.
  60. Chan, Konan & Ikenberry, David L. & Lee, Inmoo & Wang, Yanzhi, 2010. "Share repurchases as a potential tool to mislead investors," Journal of Corporate Finance, Elsevier, vol. 16(2), pages 137-158, April.
  61. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2010. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1899-1910, August.
  62. Lamont, Owen & Polk, Christopher & Saa-Requejo, Jesus, 2001. "Financial Constraints and Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 529-554.
  63. Tekçe, Bülent & Yılmaz, Neslihan & Bildik, Recep, 2016. "What factors affect behavioral biases? Evidence from Turkish individual stock investors," Research in International Business and Finance, Elsevier, vol. 37(C), pages 515-526.
  64. Ying Xiao & Chris Yung, 2015. "Extrapolation Errors in IPOs," Financial Management, Financial Management Association International, vol. 44(4), pages 713-751, October.
  65. Adriana S. Cordis, 2014. "Accounting Ratios and the Cross-section of Expected Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1157-1192, November.
  66. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 2001. "The Level and Persistence of Growth Rates," NBER Working Papers 8282, National Bureau of Economic Research, Inc.
  67. Li, Ming-Yuan Leon, 2009. "Value or volume strategy?," Finance Research Letters, Elsevier, vol. 6(4), pages 210-218, December.
  68. Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004. "Investor Behavior in the Option Market," NBER Working Papers 10264, National Bureau of Economic Research, Inc.
  69. José Miguel Melo, 2011. "Estratégia Militar e Gestão de Activos: Uma Visão Heurística," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
  70. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
  71. Kanellos Toudas & Athanasios Bellas, 2014. "Corporate Governance and its Effect on Firm Value and Stock Returns of Listed Companies on the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 58-80.
  72. William R. Nelson, 1999. "Why does the change in shares predict stock returns?," Finance and Economics Discussion Series 1999-07, Board of Governors of the Federal Reserve System (US).
  73. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
  74. Hirshleifer, David & Teoh, Siew Hong, 2003. "Limited attention, information disclosure, and financial reporting," Journal of Accounting and Economics, Elsevier, vol. 36(1-3), pages 337-386, December.
  75. Hallerbach, Winfried & Ning, Haikun & Soppe, Aloy & Spronk, Jaap, 2004. "A framework for managing a portfolio of socially responsible investments," European Journal of Operational Research, Elsevier, vol. 153(2), pages 517-529, March.
  76. Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³, 2016. "Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(2), pages 23-35, October.
  77. Michael J. Cooper & Huseyin Gulen & Michael J. Schill, 2008. "Asset Growth and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 63(4), pages 1609-1651, August.
  78. Harrison Hong & Jeremy C. Stein & Jialin Yu, 2007. "Simple Forecasts and Paradigm Shifts," Journal of Finance, American Finance Association, vol. 62(3), pages 1207-1242, June.
  79. Hanlon, Michelle & Myers, James N. & Shevlin, Terry, 2003. "Dividend taxes and firm valuation:: a re-examination," Journal of Accounting and Economics, Elsevier, vol. 35(2), pages 119-153, June.
  80. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis.
  81. Hammami Yacine & Jilani Faouzi, 2011. "Testing Factor Pricing Models in Tunisia: Macroeconomic Factors vs. Fundamental Factors," Review of Middle East Economics and Finance, De Gruyter, vol. 7(2), pages 1-22, September.
  82. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  83. Paul Gompers & Joy Ishii & Andrew Metrick, 2003. "Corporate Governance and Equity Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 118(1), pages 107-156.
  84. Ye, Qing & Turner, John D., 2014. "The cross-section of stock returns in an early stock market," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 114-123.
  85. Chan, Konan & Chen, Hung-Kun & Hong, Li-Hong & Wang, Yanzhi, 2015. "Stock market valuation of R&D expenditures—The role of corporate governance," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 78-93.
  86. repec:bla:acctfi:v:58:y:2018:i:s1:p:97-129 is not listed on IDEAS
  87. Gregory Connor & Sanjay Sehgal, 2001. "Tests of the Fama Model in India," FMG Discussion Papers dp379, Financial Markets Group.
  88. Kothari, S. P. & Shanken, Jay, 2003. "Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence," Journal of Accounting and Economics, Elsevier, vol. 34(1-3), pages 69-87, January.
  89. Cici, Gjergji & Gibson, Scott & Moussawi, Rabih, 2017. "Explaining and benchmarking corporate bond returns," CFR Working Papers 17-03, University of Cologne, Centre for Financial Research (CFR).
  90. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2003. "Determinants of Daily Fluctuations in Liquidity and Trading Activity," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 728-751.
  91. Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
  92. Kuo, Su-Wen & Huang, Chin-Sheng & Jhang, Guan-Cih, 2015. "Liquidity, delistings, and credit risk premium," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 78-89.
  93. Murillo Campello & John Graham, 2007. "Do Stock Prices Influence Corporate Decisions? Evidence from the Technology Bubble," NBER Working Papers 13640, National Bureau of Economic Research, Inc.
  94. Wei, Steven X. & Zhang, Chu, 2003. "Statistical and economic significance of stock return predictability: a mean-variance analysis," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 443-463, December.
  95. Kim, Oksana, 2013. "Russian Accounting System: Value Relevance of Reported Information and the IFRS Adoption Perspective," The International Journal of Accounting, Elsevier, vol. 48(4), pages 525-547.
  96. Arisoy, Yakup Eser, 2010. "Volatility risk and the value premium: Evidence from the French stock market," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 975-983, May.
  97. repec:eee:oprepe:v:5:y:2018:i:c:p:32-44 is not listed on IDEAS
  98. Chiang, Thomas C. & Zheng, Dazhi, 2015. "Liquidity and stock returns: Evidence from international markets," Global Finance Journal, Elsevier, vol. 27(C), pages 73-97.
  99. repec:kap:rqfnac:v:51:y:2018:i:3:d:10.1007_s11156-017-0689-y is not listed on IDEAS
  100. Joseph L. Pagliari, Jr. & James R. Webb, 1995. "A Fundamental Examination of Securitized and Unsecuritized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 381-426.
  101. repec:eee:advacc:v:30:y:2014:i:1:p:95-105 is not listed on IDEAS
  102. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
  103. Dionysia Dionysiou, 2015. "Choosing Among Alternative Long-Run Event-Study Techniques," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 158-198, February.
  104. Fama, Eugene F. & French, Kenneth R., 2007. "Disagreement, tastes, and asset prices," Journal of Financial Economics, Elsevier, vol. 83(3), pages 667-689, March.
  105. Birol Yildiz, 2001. "Prediction of Financial Failure With Artificial Neural Network Technology and an Empirical Application on Publicly Held Companies," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(17), pages 47-62.
  106. Maria Michou, 2009. "Is the Value Spread a Good Predictor of Stock Returns? UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7-8), pages 925-950.
  107. repec:spr:reaccs:v:22:y:2017:i:3:d:10.1007_s11142-017-9400-8 is not listed on IDEAS
  108. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc.
  109. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
  110. Mauricio Cervantes & Miguel Ángel Montoya & L. Arturo Bernal Ponce, 2016. "Effect of the Business Cycle on Investment Strategies: Evidence from Mexico Efecto del Ciclo Económico sobre Estrategias de Inversión: Evidencia para México," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, June.
  111. Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
  112. Jamie Alcock & Thomas Mollee & James Wood, 2011. "Volatile earnings growth, the price of earnings and the Value premium," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 805-815.
  113. Sanjay Sehgal & Mridul Upreti & Piyush Pandey & Aakriti Bhatia, 2015. "Real Estate Investment Selection and Empirical Analysis of Property Prices: Study of Select Residential Projects in Gurgaon, India," International Real Estate Review, Asian Real Estate Society, vol. 18(4), pages 523-566.
  114. repec:eee:jbfina:v:102:y:2019:i:c:p:256-276 is not listed on IDEAS
  115. Connor, Gregory & Linton, Oliver, 2007. "Semiparametric estimation of a characteristic-based factor model of common stock returns," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 694-717, December.
  116. Clemens Sialm, 2006. "Investment Taxes and Equity Returns," NBER Working Papers 12146, National Bureau of Economic Research, Inc.
  117. Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
  118. Keith Lam & Frank Li, 2008. "The risk premiums of the four-factor asset pricing model in the Hong Kong stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1667-1680.
  119. Jo Danbolt & Ian Hirst & Eddie Jones, 2011. "The growth companies puzzle: can growth opportunities measures predict firm growth?," The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 1-25.
  120. Miwa, Kotaro & Ueda, Kazuhiro, 2016. "Analysts’ preference for growth investing and vulnerability to market-wide sentiment," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 40-52.
  121. Minh Phuong Doan & Vitali Alexeev & Robert Brooks, 2016. "Concurrent momentum and contrarian strategies in the Australian stock market," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 77-106, February.
  122. Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper series 17_08, Rimini Centre for Economic Analysis.
  123. Deepa Mani & Anitesh Barua & Andrew B. Whinston, 2013. "Outsourcing Contracts and Equity Prices," Information Systems Research, INFORMS, vol. 24(4), pages 1028-1049, December.
  124. Bloomfield, Robert & Libby, Robert & Nelson, Mark W., 2000. "Underreactions, overreactions and moderated confidence," Journal of Financial Markets, Elsevier, vol. 3(2), pages 113-137, May.
  125. Skouras, Spyros, 2001. "Financial returns and efficiency as seen by an artificial technical analyst," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 213-244, January.
  126. repec:bla:eufman:v:16:y:2010:i:1:p:27-42 is not listed on IDEAS
  127. Paul A. Gompers & Andrew Metrick, 2001. "Institutional Investors and Equity Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 116(1), pages 229-259.
  128. repec:bla:eufman:v:18:y:2012:i:5:p:790-815 is not listed on IDEAS
  129. Xuan Vinh Vo & Hong Thu Bui, 2016. "Asset growth and the cross section of stock returns - evidence from Vietnam," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 6(4), pages 289-304.
  130. repec:bla:eufman:v:17:y:2011:i:1:p:145-182 is not listed on IDEAS
  131. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc.
  132. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier.
  133. Abu Chowdhury & Sabur Mollah & Mir A. Zaman, 2018. "What Motivates CEO and CFO Trading – Contrarian Beliefs or Superior Information?," Working Papers 2018-10, Swansea University, School of Management.
  134. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.
  135. Graham Bornholt, 2007. "Extending the capital asset pricing model: the reward beta approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(1), pages 69-83, March.
  136. Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 140-156, January.
  137. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
  138. Shiller, Robert J., 1999. "Human behavior and the efficiency of the financial system," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 20, pages 1305-1340 Elsevier.
  139. repec:spd:journl:v:68:y:2018:i:2-3:p:39-47 is not listed on IDEAS
  140. Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012. "Latent Fundamentals Arbitrage with a Mixed Effects Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 317-335.
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