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Citations for "Asset Pricing Models and Financial Market Anomalies"

by Doron Avramov & Tarun Chordia

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  1. Ebihara, Takashi & Kubota, Keiichi & Takehara, Hitoshi & Yokota, Eri, 2014. "Market liquidity, private information, and the cost of capital: Market microstructure studies on family firms in Japan," Japan and the World Economy, Elsevier, vol. 32(C), pages 1-13.
  2. Lee, Jen-Sin & Huang, Gow-Liang & Kuo, Chin-Tai & Lee, Liang-Chien, 2012. "The momentum effect on Chinese real estate stocks: Evidence from firm performance levels," Economic Modelling, Elsevier, vol. 29(6), pages 2392-2406.
  3. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
  4. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
  5. Chiang, I-Hsuan Ethan, 2015. "Modern portfolio management with conditioning information," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 114-134.
  6. Narayan, Paresh Kumar & Zheng, Xinwei, 2010. "Market liquidity risk factor and financial market anomalies: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 509-520, November.
  7. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2008. "A Behavioural Approach To Financial Puzzles," Working Papers of LaRGE Research Center 2008-01, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  8. Ho, Tsung-wu & Chang, Shu-Hwa, 2015. "The pricing of liquidity risk on the Shanghai stock market," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 112-130.
  9. Kim, Dongcheol & Roh, Tai-Yong & Min, Byoung-Kyu & Byun, Suk-Joon, 2014. "Time-varying expected momentum profits," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 191-215.
  10. 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.
  11. Chiang, Thomas C. & Chen, Xiaoyu, 2016. "Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 107-120.
  12. repec:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0293-0 is not listed on IDEAS
  13. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
  14. Demirer, Rıza & Lien, Donald & Zhang, Huacheng, 2015. "Industry herding and momentum strategies," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 95-110.
  15. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  16. 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.
  17. Luis Muga & Rafael Santamaría, 2007. "The Momentum Effect in Latin American Emerging Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 43(4), pages 24-45, August.
  18. KALNINA, Ilze, 2015. "Inference for nonparametric high-frequency estimators with an application to time variation in betas," Cahiers de recherche 2015-08, Universite de Montreal, Departement de sciences economiques.
  19. Chaieb, Ines & Mazzotta, Stefano, 2013. "Unconditional and conditional exchange rate exposure," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 781-808.
  20. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
  21. Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.
  22. Chou, Pin-Huang & Ko, Kuan-Cheng & Lin, Shinn-Juh, 2010. "Do relative leverage and relative distress really explain size and book-to-market anomalies?," Journal of Financial Markets, Elsevier, vol. 13(1), pages 77-100, February.
  23. Huh, Sahn-Wook, 2014. "Price impact and asset pricing," Journal of Financial Markets, Elsevier, vol. 19(C), pages 1-38.
  24. Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
  25. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
  26. Wagner, Niklas & Winter, Elisabeth, 2013. "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 69-85.
  27. Ho, Chienwei & Hung, Chi-Hsiou, 2009. "Investor sentiment as conditioning information in asset pricing," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 892-903, May.
  28. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 86(3), pages 724-758, December.
  29. Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 355-370.
  30. Luis Muga & Rafael Santamaría, 2009. "Momentum, market states and investor behavior," Empirical Economics, Springer, vol. 37(1), pages 105-130, September.
  31. Shieh, Shwu-Jane & Lin, Chih-Yung & Ho, Po-Hsin, 2012. "Large changes in stock prices: Market, liquidity, and momentum effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 183-197.
  32. repec:eee:corfin:v:44:y:2017:i:c:p:275-288 is not listed on IDEAS
  33. Avramov, Doron & Hore, Satadru, 2017. "Cross-sectional factor dynamics and momentum returns," Journal of Financial Markets, Elsevier, vol. 32(C), pages 69-96.
  34. repec:eee:riibaf:v:42:y:2017:i:c:p:1445-1454 is not listed on IDEAS
  35. Prombutr, Wikrom & Phengpis, Chanwit & Zhang, Ying, 2012. "What explains the investment growth anomaly?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2532-2542.
  36. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
  37. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
  38. Salotti, Simone & Trecroci, Carmine, 2014. "Multifactor risk loadings and abnormal returns under uncertainty and learning," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 393-404.
  39. Banerjee, Anurag & Hung, Chi-Hsiou, 2011. "Informed momentum trading versus uninformed "naive" investors strategies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3077-3089, November.
  40. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, "undated". "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  41. Emilios C. Galariotis, 2010. "What should investors know about the stability of momentum investing and its riskiness? The case of the Australian Security Exchange," Post-Print hal-00917587, HAL.
  42. Mohamed Ali Trabelsi, 2010. "Overreaction and portfolio-selection strategies in the Tunisian stock market," Journal of Risk Finance, Emerald Group Publishing, vol. 11(3), pages 310-322, May.
  43. Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 369-389, September.
  44. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
  45. Joanna Olbryœ, 2014. "Is illiquidity risk priced? The case of the Polish medium-size emerging stock market," Bank i Kredyt, Narodowy Bank Polski, vol. 45(6), pages 513-536.
  46. Leger, Lawrence & Leone, Vitor, 2008. "Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble," Review of Financial Economics, Elsevier, vol. 17(3), pages 228-244, August.
  47. López-Herrera, Francisco & Valencia-Herrera, Humberto, 2016. "Hacia un Modelo de Valuación de Activos de Capital para México: Análisis de Activos Individuales con Coeficientes Variantes en el Tiempo," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(22), pages 75-103, primer se.
  48. Antoniou, Antonios & Lam, Herbert Y.T. & Paudyal, Krishna, 2007. "Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 955-972, March.
  49. Du, Ding, 2013. "Another look at the cross-section and time-series of stock returns: 1951 to 2011," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 130-146.
  50. Hung, Chi-Hsiou D. & Banerjee, Anurag N., 2014. "How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?," Emerging Markets Review, Elsevier, vol. 21(C), pages 67-81.
  51. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.
  52. Javier Vidal-García & Marta Vidal & Duc Khuong Nguyen, 2016. "Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 213-247, August.
  53. Avramov, Doron & Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2011. "Hedge funds, managerial skill, and macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 99(3), pages 672-692, March.
  54. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Francois Bonnin, 2016. "Should employers pay their employees better? An asset pricing approach," Papers 1602.00931, arXiv.org, revised Oct 2016.
  55. Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.
  56. Lin, Ji-Chai & Singh, Ajai K. & Sun, Ping-Wen (Steven) & Yu, Wen, 2014. "Price delay premium and liquidity risk," Journal of Financial Markets, Elsevier, vol. 17(C), pages 150-173.
  57. André de Souza & Anthony W. Lynch, 2012. "Does Mutual Fund Performance Vary over the Business Cycle?," NBER Working Papers 18137, National Bureau of Economic Research, Inc.
  58. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
  59. Martin Rohleder, 2015. "The Relation between Past Flows and Future Performance: Simple Investment Strategies in the Mutual Fund Sector," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 3(1), pages 1-28, February.
  60. Hung, Chi-Hsiou D. & Azad, A.S.M. Sohel & Fang, Victor, 2014. "Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 14-29.
  61. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
  62. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
  63. Bhootra, Ajay, 2011. "Are momentum profits driven by the cross-sectional dispersion in expected stock returns?," Journal of Financial Markets, Elsevier, vol. 14(3), pages 494-513, August.
  64. Badreddine, Sina & Galariotis, Emilios C. & Holmes, Phil, 2012. "The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 589-608.
  65. Das, Sudipta, 2015. "Empirical evidence of conditional asset pricing in the Indian stock market," Economic Systems, Elsevier, vol. 39(2), pages 225-239.
  66. Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2009. "Credit ratings and the cross-section of stock returns," Journal of Financial Markets, Elsevier, vol. 12(3), pages 469-499, August.
  67. repec:gnv:wpaper:unige:76321 is not listed on IDEAS
  68. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
  69. Jangkoo Kang & Changjun Lee & Doowon Lee, 2011. "Equity Fund Performance Persistence with Investment Style: Evidence from Korea," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(3), pages 111-135, May.
  70. Avramov, Doron & Hore, Satadru, 2015. "Cross-Sectional Factor Dynamics and Momentum Returns," Risk and Policy Analysis Unit Working Paper RPA 15-2, Federal Reserve Bank of Boston.
  71. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  72. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
  73. Breloer, Bernhard & Scholz, Hendrik & Wilkens, Marco, 2014. "Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 58-77.
  74. Simlai, Prodosh E., 2016. "Time-varying risk, mispricing attributes, and the accrual premium," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 150-161.
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