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Price, Beta, and Exchange Listing

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  • Blume, Marshall E
  • Husic, Frank

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  • Blume, Marshall E & Husic, Frank, 1973. "Price, Beta, and Exchange Listing," Journal of Finance, American Finance Association, vol. 28(2), pages 283-299, May.
    • Handle: RePEc:bla:jfinan:v:28:y:1973:i:2:p:283-99
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    Cited by:

    1. Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016. "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 365-379.
    2. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research.
    3. Antonios Siganos, 2012. "Can retail investors exploit stock market anomalies?," Applied Financial Economics, Taylor & Francis Journals, vol. 22(7), pages 537-547, April.
    4. Liao, Cunfei & Luo, Qianlin & Tang, Guohao, 2021. "Aggregate liquidity premium and cross-sectional returns: Evidence from China," Economic Modelling, Elsevier, vol. 104(C).
    5. Jozef Barunik & Martin Hronec & Ondrej Tobek, 2024. "Predicting the distributions of stock returns around the globe in the era of big data and learning," Papers 2408.07497, arXiv.org.
    6. Ravinder K. Bhardwaj & LeRoy D. Brooks, 1992. "Stock Price And Degree Of Neglect As Determinants Of Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 101-112, June.
    7. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
    8. Adam Zaremba & Rados³aw ¯mudziñski, 2014. "The Low Price Effect On The Polish Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(1), pages 69-85, June.
    9. William D. Brown, Jr & Ray J. Pfeiffer, Jr, 2008. "Do Investors Under-React to Information in Analysts' Earnings Forecasts?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 889-911.
    10. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
    11. Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
    12. Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed, 2019. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis," JRFM, MDPI, vol. 12(2), pages 1-22, June.
    13. Geertsema, Paul & Lu, Helen, 2019. "Revisiting the price effect in US stocks," Finance Research Letters, Elsevier, vol. 30(C), pages 139-144.
    14. Nguyen, Hung T. & Pham, Mia Hang, 2021. "Air pollution and behavioral biases: Evidence from stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    15. William L. Beedles, 1984. "The Anomalous And Asymmetric Nature Of Equity Returns: An Empirical Synthesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 151-160, June.
    16. William D. Brown, Jr & Ray J. Pfeiffer, Jr, 2008. "Do Investors Under‐React to Information in Analysts' Earnings Forecasts?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 889-911, September.
    17. Engelberg, Joseph & McLean, R. David & Pontiff, Jeffrey, 2020. "Analysts and anomalies," Journal of Accounting and Economics, Elsevier, vol. 69(1).
    18. William D. Brown & Ray J. Pfeiffer, 2007. "Causes and Consequences of the Relation Between Split‐Adjusted Share Prices and Subsequent Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 292-312, January.
    19. Cakici, Nusret & Zaremba, Adam & Bianchi, Robert J. & Pham, Nga, 2021. "False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).

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