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Citations for "Sorting Out Sorts"

by Jonathan B. Berk

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  1. Chaoshin Chiao & David Cheng & Welfeng Hung, 2005. "Overreaction after Controlling for Size and Book-to-Market Effects and its Mimicking Portfolio in Japan," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 65-91, January.
  2. Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, "undated". "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-40, Swiss Finance Institute.
  3. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
  4. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Asset Pricing in China: Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 128, School of Economics and Finance, Queensland University of Technology.
  5. 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.
  6. Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy, 2013. "A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 174-181.
  7. Michael E. Drew & Madhu Veeraraghavan, 2001. "On the Value Premium in Malaysia," School of Economics and Finance Discussion Papers and Working Papers Series 092, School of Economics and Finance, Queensland University of Technology.
  8. Christian Bach, 2011. "Conservatism in Corporate Valuation," CREATES Research Papers 2011-32, Department of Economics and Business Economics, Aarhus University.
  9. Juan Pedro Gomez, 2005. "An International Capm With Consumption Externalities And Non-Financial Wealth," Working Papers Economia wp05-08, Instituto de Empresa, Area of Economic Environment.
  10. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
  11. Peter Bossaerts & Caroline Fohlin, 2000. "Universal Banking and the Pricing of Securities Risk: Historical Evidence from Germany," Econometric Society World Congress 2000 Contributed Papers 1596, Econometric Society.
  12. Keiichi Kubota, 2010. "Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange," Managerial Finance, Emerald Group Publishing, vol. 36(8), pages 655-679, July.
  13. Gharghori, Philip & Hamzah, Yusuf & Veeraraghavan, Madhu, 2010. "Migration and its contribution to the size and value premiums: Australian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 177-196, April.
  14. Timo Kuosmanen, 2007. "Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis," Journal of Productivity Analysis, Springer, vol. 28(1), pages 71-86, October.
  15. Anton Astakhov & Tomas Havranek & Jiri Novak, 2017. "Firm Size and Stock Returns: A Meta-Analysis," Working Papers IES 2017/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2017.
  16. Michael Drew & Madhu Veeraraghavan, 2002. "Idiosyncratic Volatility: Evidence from Asia," School of Economics and Finance Discussion Papers and Working Papers Series 107, School of Economics and Finance, Queensland University of Technology.
  17. Chen, Hsiu-Lang & De Bondt, Werner, 2004. "Style momentum within the S&P-500 index," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 483-507, September.
  18. Chaoshin Chiao & Weifeng Hung & Cheng F. Lee, 2008. "Mispricing of Research and Development Investments in a Rapidly Emerging and Electronics-Dominated Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(1), pages 95-116, January.
  19. Grauer, Robert R. & Janmaat, Johannus A., 2004. "The unintended consequences of grouping in tests of asset pricing models," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2889-2914, December.
  20. K. J. Martijn Cremers & Jianping Mei, 2007. "Turning over Turnover," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1749-1782, November.
  21. Pavel Bandarchuk & Jens Hilscher, 2013. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, vol. 17(2), pages 809-845.
  22. Nicholas Apergis & Panagiotis G. Artikis, 2016. "Foreign Exchange Risk, Equity Risk Factors and Economic Growth," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 425-445, December.
  23. Apergis, Nicholas & Artikis, Panagiotis & Sorros, John, 2011. "Asset pricing and foreign exchange risk," Research in International Business and Finance, Elsevier, vol. 25(3), pages 308-328, September.
  24. repec:gnv:wpaper:unige:76321 is not listed on IDEAS
  25. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
  26. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, vol. 84, pages 985-1046, 05.
  27. Brav, Alon & Geczy, Christopher & Gompers, Paul A., 2000. "Is the abnormal return following equity issuances anomalous?," Journal of Financial Economics, Elsevier, vol. 56(2), pages 209-249, May.
  28. Leung, Pui-Lam & Wong, Wing-Keung, 2008. "Three-factor profile analysis with GARCH innovations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 1-8.
  29. Cohen, Daniel A. & Lys, Thomas Z., 2003. "A note on analysts' earnings forecast errors distribution," Journal of Accounting and Economics, Elsevier, vol. 36(1-3), pages 147-164, December.
  30. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 533-558, December.
  31. Kim, Soon-Ho & Lee, Kuan-Hui, 2014. "Pricing of liquidity risks: Evidence from multiple liquidity measures," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 112-133.
  32. Wallmeier, Martin & Tauscher, Kathrin, 2012. "A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model," FSES Working Papers 433, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
  33. Michael E. Drew & Madhu Veeraraghavan, 2001. "Asset Pricing In The Asian Region," School of Economics and Finance Discussion Papers and Working Papers Series 094, School of Economics and Finance, Queensland University of Technology.
  34. Michael E. Drew & Madhu Veeraraghavan, 2000. "Multifactor Models are Alive and Well," School of Economics and Finance Discussion Papers and Working Papers Series 083, School of Economics and Finance, Queensland University of Technology.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.