My bibliography
Save this item
Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- Wayne E. Ferson & Campbell R. Harvey, 1996. "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," NBER Working Papers 5860, National Bureau of Economic Research, Inc.
- Pradosh Simlai, 2009. "Stock returns, size, and book‐to‐market equity," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(3), pages 198-212, July.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
- Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Mohamed Naceur Mahjoubi & Ezzeddine Abaoub, 2015. "Earnings Response Coefficient as a Measure of Market Expectations: Evidence from Tunis Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 377-389.
- Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
- Drobyshevsky Sergey & Narkevich Sergey & E. Pikulina & D. Polevoy, 2009. "Analysis Of a Possible Bubble On the Russian Real Estate Market," Research Paper Series, Gaidar Institute for Economic Policy, issue 128.
- Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
- 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.
- Vendrame, Vasco & Guermat, Cherif & Tucker, Jon, 2018. "A conditional regime switching CAPM," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 1-11.
- Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
- 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.).
- Post, Thierry & van Vliet, Pim, 2006.
"Downside risk and asset pricing,"
Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
- Post, G.T. & van Vliet, P., 2004. "Downside Risk and Asset Pricing," ERIM Report Series Research in Management ERS-2004-018-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Tanveer Ahmad; Syed Muhammad Amir Shah, 2017. "The Value-Growth Indicators and Value Premium: Evidence from Pakistan Stock Exchange," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 11(2), pages 124-139, Fall.
- Goel, Sanjay & Cagle, Seth & Shawky, Hany, 2017. "How vulnerable are international financial markets to terrorism? An empirical study based on terrorist incidents worldwide," Journal of Financial Stability, Elsevier, vol. 33(C), pages 120-132.
- Aníbal Báez-Díaz & Pervaiz Alam, 2013. "Tax conformity of earnings and the pricing of accruals," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 509-538, April.
- John Goodell & Richard Bodey, 2012. "Price-earnings changes during US presidential election cycles: voter uncertainty and other determinants," Public Choice, Springer, vol. 150(3), pages 633-650, March.
- GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Marco Antonio Penteado, 2013. "Efficient Markets, Behavioral Finance and a Statistical Evidence of the Validity of Technical Analysis," Papers 1302.1228, arXiv.org.
- Somya Tyagi & Sikandar Siddiqui, 2017. "Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 4(2), pages 61-67.
- Michael E. Drew & Madhu Veeraraghavan & Min Ye, 2007.
"Do momentum strategies work? Australian evidence,"
Managerial Finance,
Emerald Group Publishing, vol. 33(10), pages 772-787, September.
- Michael E. Drew & Madhu Veeraraghavan & Min Ye, 2004. "Do Momentum Strategies Work?: - Australian Evidence," School of Economics and Finance Discussion Papers and Working Papers Series 169, School of Economics and Finance, Queensland University of Technology.
- G. Glenn Baigent & William Acar, 2015. "On the economic significance of the benchmark portfolio," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 3(6), pages 16-25, December.
- 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.
- Ryans Bartens & Shakill Hassan, 2009. "Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African Stocks," Working Papers 154, Economic Research Southern Africa.
- Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
- De Moor, Lieven & Dhaene, Geert & Sercu, Piet, 2015. "On comparing zero-alpha tests across multifactor asset pricing models," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 235-240.
- Maria-Lenuţa Ciupac-Ulici & Daniela-Georgeta Beju & Ioan-Alin Nistor & Flaviu Pișcoran, 2023. "The impact of the Altman score on the energy sector companies," Journal of Financial Studies, Institute of Financial Studies, vol. 14(8), pages 45-56, June.
- 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.
- Connor, Gregory & Linton, Oliver, 2006. "Semiparametric estimation of a characteristic-based factor model of common stock returns," LSE Research Online Documents on Economics 4424, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Oliver Linton, 2006. "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series 506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Bing Xiao, 2023. "The Size Effect and the Value Effect in the American Stock Market," Post-Print hal-04194510, HAL.
- Polyzos, Efstathios & Wang, Fang, 2022. "Twitter and market efficiency in energy markets: Evidence using LDA clustered topic extraction," Energy Economics, Elsevier, vol. 114(C).
- Nettayanun, Sampan, 2023. "Asset pricing in bull and bear markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
- 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.
- Jang Youn Cho, 1994. "Determinants Of Earnings‐Price Ratios: A Reexamination," Review of Financial Economics, John Wiley & Sons, vol. 3(2), pages 105-120, March.
- Gikas Hardouvelis & Georgios Papanastasopoulos & Dimitrios Thomakos & Tao Wang, 2012. "External Financing, Growth and Stock Returns," European Financial Management, European Financial Management Association, vol. 18(5), pages 790-815, November.
- 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.
- G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
- Zaremba, Adam & Umutlu, Mehmet & Maydybura, Alina, 2020. "Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns," Journal of Banking & Finance, Elsevier, vol. 121(C).
- Ying Huang & Chia-Hui Tsai & Carl R. Chen, 2007. "Expected P/E, Residual P/E, and Stock Return Reversal: Time-Varying Fundamentals or Investor Overreaction?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(1), pages 11-28, April.
- Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
- 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.
- Sandip Mukherji & Youngho Lee, 2013. "Explanatory Factors for Market Multiples and Expected Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(1), pages 45-54.
- Dietmar Ernst & Werner Gleißner, 2022. "Paradigm Shift in Finance: The Transformation of the Theory from Perfect to Imperfect Capital Markets Using the Example of Company Valuation," JRFM, MDPI, vol. 15(9), pages 1-13, September.
- Dimitrios D. Thomakos & Michail S. Koubouros, 2011.
"The Role of Realised Volatility in the Athens Stock Exchange,"
Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 87-124, March - J.
- Dimitrios Thomakos & Michail Koubouros, 2008. "The Role of Realized Volatility in the Athens Stock Exchange," Working Papers 0020, University of Peloponnese, Department of Economics.
- Elze, Gregor, 2010. "Value investing anomalies in the European stock market: Multiple Value, Consistent Earner, and Recognized Value," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 527-537, November.
- Vincent Chen & Samuel Tiras, 2015. "‘Other information’ as an explanatory factor for the opposite market reactions to earnings surprises," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 757-784, November.
- Attiya Yasmeen Javid, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE Research Report 2000:3, Pakistan Institute of Development Economics.
- Martin Lettau & Jessica A. Wachter, 2007.
"Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium,"
Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Debarati Basu & Deepak Chawla, 2012. "An Empirical Test of the Arbitrage Pricing Theory—The Case of Indian Stock Market," Global Business Review, International Management Institute, vol. 13(3), pages 421-432, October.
- 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.
- John B. Guerard, Jr. & Robert A. Gillam & Harry Markowitz & Ganlin Xu & Shijie Deng & Ziwei (Elaine) Wang, 2018. "Data Mining Corrections Testing in Chinese Stocks," Interfaces, INFORMS, vol. 48(2), pages 108-120, April.
- Neharika Sobti, 2018. "Does Size, Value and Seasonal Effects Still Persist in Indian Equity Markets?," Vision, , vol. 22(1), pages 11-21, March.
- González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
- Chongsoo An & John J. Cheh & Il-woon Kim, 2017. "Do Value Stocks Outperform Growth Stocks in the U.S. Stock Market?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-7.
- Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
- Ahmed, Parvez, 2001. "Forecasting correlation among equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1187-1208, June.
- Chen, Xuanjuan & Kim, Kenneth A. & Yao, Tong & Yu, Tong, 2010. "On the predictability of Chinese stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 403-425, September.
- Turan G. Bali & Robert F. Engle & Yi Tang, 2017.
"Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns,"
Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
- Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
- Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015.
"Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model,"
Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
- Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
- Oliver Linton & Gregory Connor, 2000. "Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns," FMG Discussion Papers dp346, Financial Markets Group.
- A. Balakrishnan & Moinak Maiti & Pradiptarathi Panda, 2018. "Test of Five-factor Asset Pricing Model in India," Vision, , vol. 22(2), pages 153-162, June.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994.
"Contrarian Investment, Extrapolation, and Risk,"
Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1993. "Contrarian Investment, Extrapolation, and Risk," Working Papers 84, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Scholarly Articles 30721347, Harvard University Department of Economics.
- Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
- Matthew R. Lyle, 2016. "Valuation: Accounting for Risk and the Expected Return. Discussion of Penman," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 131-139, March.
- Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing [Asset pricing model selection: Indonesian Stock Exchange]," MPRA Paper 36978, University Library of Munich, Germany.
- 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.
- Merdad, Hesham Jamil & Kabir Hassan, M. & Hippler, William J., 2015. "The Islamic risk factor in expected stock returns: an empirical study in Saudi Arabia," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 293-314.
- Manuel Ammann & Michael Verhofen, 2008. "Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach," European Financial Management, European Financial Management Association, vol. 14(3), pages 391-418, June.
- Lesław Markowski, 2019. "Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 54, pages 393-408.
- Evstigneev, Igor & Hens, Thorsten & Potapova, Valeriya & Schenk-Hoppé, Klaus R., 2020.
"Behavioral equilibrium and evolutionary dynamics in asset markets,"
Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 121-135.
- Igor V. Evstigneev & Thorsten Hens & Valeriya Potapova & Klaus Reiner Schenk-Hoppé, 2020. "Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets," Swiss Finance Institute Research Paper Series 20-19, Swiss Finance Institute.
- Praveen Kumar Das & S. P. Uma Rao, 2012. "Is The Value Effect Seasonal? Evidence From Global Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(2), pages 21-33.
- Sanjay Sehgal & A. Balakrishnan, 2013. "Robustness of Fama-French Three Factor Model: Further Evidence for Indian Stock Market," Vision, , vol. 17(2), pages 119-127, June.
- Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City.
- Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
- Ormos, Mihály & Urbán, András & Zoltán, Tamás, 2009. "Logoptimális portfóliók empirikus vizsgálata [Empirical analysis of log-optimal portfolios]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-18.
- Davis, James L., 1996. "The cross-section of stock returns and survivorship bias: Evidence from delisted stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 365-375.
- Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
- Hira Aftab & A. B. M. Rabiul Alam Beg, 2021. "Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market," IJFS, MDPI, vol. 9(1), pages 1-13, January.
- Leo Julianto & Irwan Adi Ekaputra, 2020. "Max-Effect in the Indonesian Market," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 19-27.
- Michael E. Drew & Jon D. Stanford, 2003. "Retail Superannuation Management in Australia: Risk, Cost and Alpha," School of Economics and Finance Discussion Papers and Working Papers Series 126, School of Economics and Finance, Queensland University of Technology.
- Balakrishnan, Karthik & Bartov, Eli & Faurel, Lucile, 2010. "Post loss/profit announcement drift," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 20-41, May.
- Mostafa Saidur Rahim Khan & Naheed Rabbani, 2021. "Explaining the Growth Potential of a Market Leader and Challenger: Evidence from Japan’s Telecommunications Services Industry," Business Perspectives and Research, , vol. 9(3), pages 370-384, September.
- 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.
- Amin Aminimehr & Ali Raoofi & Akbar Aminimehr & Amirhossein Aminimehr, 2022. "A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 781-815, August.
- Vitor Azevedo & Christopher Hoegner, 2023. "Enhancing stock market anomalies with machine learning," Review of Quantitative Finance and Accounting, Springer, vol. 60(1), pages 195-230, January.
- Daniel Giamouridis & Chris Montagu, 2014. "The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager's Perspective," European Financial Management, European Financial Management Association, vol. 20(1), pages 152-178, January.
- David P. Weber, 2009. "Do Analysts and Investors Fully Appreciate the Implications of Book†Tax Differences for Future Earnings?," Contemporary Accounting Research, John Wiley & Sons, vol. 26(4), pages 1175-1206, December.
- Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
- Marc Desban & Souad Lajili Jarjir, 2018. "Corporate ownership structure, market anomalies and asset pricing," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 316-340, September.
- Tricia Chong & Lawrence Loh, 2023. "Innovating ESG Integration as Sustainable Strategy: ESG Transparency and Firm Valuation in the Palm Oil Sector," Sustainability, MDPI, vol. 15(22), pages 1-36, November.
- Senarathne Chamil W., 2020. "Are Religious Believers Irrational: A Direct Test from an Efficient Market Hypothesis," Financial Sciences. Nauki o Finansach, Sciendo, vol. 25(1), pages 35-53, March.
- Waleed Khalid & Kashif Ur Rehman & Muhammad Kashif, 2019. "The Impact of Merger and Acquisition Firms on Stock Market Bubble," Global Regional Review, Humanity Only, vol. 4(1), pages 335-342, March.
- 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.
- 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 8-99, Wharton School Rodney L. White Center for Financial Research.
- 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 07-97, Wharton School Rodney L. White Center for Financial Research.
- Hawawini, G. & Keim, D.B., 1997. "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," INSEAD 97/66, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration..
- 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 7-97, Wharton School Rodney L. White Center for Financial Research.
- Efstathios Polyzos & Ghulame Rubbaniy & Mieszko Mazur, 2024. "Efficient Market Hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency," The Financial Review, Eastern Finance Association, vol. 59(3), pages 807-829, August.
- Antonios Siganos, 2012. "Can retail investors exploit stock market anomalies?," Applied Financial Economics, Taylor & Francis Journals, vol. 22(7), pages 537-547, April.
- Bagella, Michele & Becchetti, Leonardo & Adriani, Fabrizio, 2005.
"Observed and "fundamental" price-earning ratios: A comparative analysis of high-tech stock evaluation in the US and in Europe,"
Journal of International Money and Finance, Elsevier, vol. 24(4), pages 549-581, June.
- Leonardo Becchetti & Michele Bagella & Fabrizio Adriani, 2003. "Observed and 'Fundamental' Price Earning Ratios: A Comparative Analysis of High-tech Stock Evaluation in the US and in Europe," CEIS Research Paper 34, Tor Vergata University, CEIS.
- Liu, Chao-Shin & Ziebart, David A., 1999. "Anomalous security price behavior following management earnings forecasts," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 405-429, October.
- Stuart M. Locke & Kartick Gupta, 2007. "The performance of entrepreneurial companies post-listing on the New Zealand Stock Exchange," Venture Capital, Taylor & Francis Journals, vol. 10(1), pages 87-110, May.
- Nadisah Zakaria & Fariza Hashim, 2017. "Emerging Markets: Evaluating Graham's Stock Selection Criteria on Portfolio Return in Saudi Arabia Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 453-459.
- Zura Kakushadze & Jim Kyung-Soo Liew, 2014. "Custom v. Standardized Risk Models," Papers 1409.2575, arXiv.org, revised May 2015.
- Luo, Bing, 2019. "Effects of auditor-provided tax services on book-tax differences and on investors' mispricing of book-tax differences," Advances in accounting, Elsevier, vol. 47(C).
- Ekrem Meric & Melik Kamisli & Fatih Temizel, 2017. "Interactions among Stock Price and Financial Ratios: The Case of Turkish Banking Sector," Applied Economics and Finance, Redfame publishing, vol. 4(6), pages 107-115, November.
- William John Trainor & Gary L Shelley, 2022. "Dynamic Z-score Asset Allocation to Size, Value, and Industry Return Shocks," Business and Economic Research, Macrothink Institute, vol. 12(4), pages 211-223, December.
- Huang, Alan Guoming, 2009. "The cross section of cashflow volatility and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 409-429, June.
- Peerapong Dhangwatnotai & Sampan Nettayanun, 2018. "Value Investing with Quality in the US Public Insurance Companies," PIER Discussion Papers 93, Puey Ungphakorn Institute for Economic Research.
- Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou, 2016. "Time-varying return predictability in the Chinese stock market," Papers 1611.04090, arXiv.org.
- Khan, Muhammad Irfan, 2009. "Price Earning Ratio and Market to Book Ratio," MPRA Paper 23969, University Library of Munich, Germany.
- Pucci, Richard & Skærbæk, Peter, 2020. "The co-performation of financial economics in accounting standard-setting: A study of the translation of the expected credit loss model in IFRS 9," Accounting, Organizations and Society, Elsevier, vol. 81(C).
- Júlio Lobão & Marcos Azeredo, 2018. "Momentum meets value investing in a small European market," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(1), pages 45-58, March.
- P Xidonas & G Mavrotas & J Psarras, 2010. "A multiple criteria decision-making approach for the selection of stocks," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(8), pages 1273-1287, August.
- Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
- Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," SSE/EFI Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004.
- Barbee Jr., William C. & Jeong, Jin-Gil & Mukherji, Sandip, 2008. "Relations between portfolio returns and market multiples," Global Finance Journal, Elsevier, vol. 19(1), pages 1-10.
- Ailie Charteris & Mukashema Rwishema & Tafadzwa-Hidah Chidede, 2018. "Asset Pricing and Momentum: A South African Perspective," Journal of African Business, Taylor & Francis Journals, vol. 19(1), pages 62-85, January.
- Şebnem Er & Bengü Vuran Author-Workplace-Name: Teaching and Research Assistant, PhD, Istanbul University, Faculty of Business Administration, Finance Department, 2012. "Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach," International Journal of Business and Social Research, LAR Center Press, vol. 2(1), pages 108-121, February.
- Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
- Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser, 1999.
"The Profits to Insider Trading: A Performance-Evaluation Perspective,"
Harvard Institute of Economic Research Working Papers
1858, Harvard - Institute of Economic Research.
- Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser, 1999. "The Profits to Insider Trading: A Performance-Evaluation Perspective," NBER Working Papers 6913, National Bureau of Economic Research, Inc.
- Penman, Stephen & Zhang, Xiao-Jun, 2020. "A theoretical analysis connecting conservative accounting to the cost of capital," Journal of Accounting and Economics, Elsevier, vol. 69(1).
- Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
- Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
- Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019.
"Rise and fall of calendar anomalies over a century,"
The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
- Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019. "Rise and Fall of Calendar Anomalies over a Century," Working Papers 201902, University of Pretoria, Department of Economics.
- repec:dau:papers:123456789/4169 is not listed on IDEAS
- Nettayanun Sampan, 2017. "Value Investing: Circle of Competence in the Thai Insurance Industry," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 11(1), pages 1-33, January.
- Fuzuli Aliyev, 2019. "Testing Market Efficiency with Nonlinear Methods: Evidence from Borsa Istanbul," IJFS, MDPI, vol. 7(2), pages 1-11, June.
- Jeong-Bon Kim & Roland Lipka & Heibatollah Sami, 2012. "Portfolio performance and accounting measures of earnings: an alternative look at usefulness," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 87-107, January.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002.
"Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hodgson, Douglas J & Linton, Oliver & Vorkink, Keith, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Vasilios Sogiakas, 2017. "Efficiency of the UK Stock Exchange," Journal of Risk & Control, Risk Market Journals, vol. 4(1), pages 51-69.
- Paulo Alves, 2013.
"The Fama French Model or the Capital Asset Pricing Model: International Evidence,"
The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 79-89.
- Alves, Paulo, 2013. "The Fama French Model or the capital asset pricing model: international evidence," MPRA Paper 51434, University Library of Munich, Germany, revised 2013.
- repec:dau:papers:123456789/2514 is not listed on IDEAS
- Hülya Yılmaz, 2022. "Determinants of Dynamic Capital Structure and the Speed of Adjustment to Optimal Leverage: A Study on Financial Institutions in Turkey," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 72(72-1), pages 137-155, June.
- Graham Baird & James Dodd & Lawrence Middleton, 2020. "A growth adjusted price-earnings ratio," Papers 2001.08240, arXiv.org.
- Hao Fang & Yen-Hsien Lee, 2013. "Are the Global REIT Markets Efficient by a New Approach?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(6), pages 743-757, December.
- Ebrahim, M. Shahid & Girma, Sourafel & Shah, M. Eskandar & Williams, Jonathan, 2014.
"Rationalizing the value premium in emerging markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 51-70.
- M. Shahid Embrahim & Sourafel Girma & M. Eskander Shah & Jonathan Williams, 2013. "Rationalizing the Value Premium in Emerging Markets," Working Papers 13010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
- Claude Bergeron & Tov Assogbavi & Jean-pierre Gueyie, 2020. "Conditional capital asset pricing model, long-run risk, and stock valuation," Economics Bulletin, AccessEcon, vol. 40(1), pages 77-86.
- Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023.
"Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models,"
Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
- Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2020. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 118924, London School of Economics and Political Science, LSE Library.
- Patricia M. Fairfield & Trevor S. Harris, 1993. "Price†Earnings and Price†to†Book Anomalies: Tests of an Intrinsic Value Explanation," Contemporary Accounting Research, John Wiley & Sons, vol. 9(2), pages 590-611, March.
- repec:kap:iaecre:v:12:y:2006:i:4:p:475-490 is not listed on IDEAS
- K. Lebedeva, 2015. "An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(3), pages 5-31.
- Pierre Giot & Mikael Petitjean, 2009.
"Short-term market timing using the bond-equity yield ratio,"
The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
- GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & PETITJEAN, Mikael, 2009. "Short-term market timing using the bond-equity yield ratio," LIDAM Reprints CORE 2224, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Javid, Attiya Yasmin, 2008. "Time Varying Risk Return Relationship: Evidence from Listed Pakistani Firms," MPRA Paper 37561, University Library of Munich, Germany.
- Allen, D. E. & Cleary, F., 1998. "Determinants of the cross-section of stock returns in the Malaysian stock market," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 253-275.
- John Y. Campbell & Tuomo Vuolteenaho, 2004.
"Bad Beta, Good Beta,"
American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December.
- John Y. Campbell & Tuomo Vuolteenaho, 2002. "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers 1971, Harvard - Institute of Economic Research.
- Campbell, John & Vuolteenaho, Tuomo, 2004. "Bad Beta, Good Beta," Scholarly Articles 3122489, Harvard University Department of Economics.
- John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers 2016, Harvard - Institute of Economic Research.
- John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," NBER Working Papers 9509, National Bureau of Economic Research, Inc.
- Ladislav Kristoufek & Paulo Ferreira, 2018. "Capital asset pricing model in Portugal: Evidence from fractal regressions," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(3), pages 173-183, November.
- Yin, Libo & Liao, Huiyi, 2024. "Anatomy of recent value premium's travails," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Zura Kakushadze, 2014. "4-Factor Model for Overnight Returns," Papers 1410.5513, arXiv.org, revised Jun 2015.
- WARBURTON, Christopher E.S., 2013. "When Markets Fail: Asset Prices, Government Expenditures, and the Velocity of Money," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 13(2), pages 73-92.
- Chen, An-Sing & Chang, Hung-Chou & Cheng, Lee-Young, 2019. "Time-varying Variance Scaling: Application of the Fractionally Integrated ARMA Model," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 1-12.
- Roland Füss & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia In The Cross-Section of Global Equity," Working Papers on Finance 1913, University of St. Gallen, School of Finance, revised May 2020.
- Judson Caskey & Kyle Peterson, 2014. "Conservatism measures that control for the effects of economic rents on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 731-756, May.
- Yong-Chul Shin & Kun Yu & Neil Fargher, 2016. "Do investors misprice components of net periodic pension cost?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 845-878, September.
- Wayne E. Ferson & Campbell R. Harvey, 1999.
"Conditioning Variables and the Cross Section of Stock Returns,"
Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, August.
- Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
- van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
- O. M. Joy & C. P. Jones, 1979. "Earnings Reports And Market Efficiencies: An Analysis Of The Contrary Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 51-63, March.
- Adelina Gschwandtner & Michael Hauser, 2016.
"Profit persistence and stock returns,"
Applied Economics, Taylor & Francis Journals, vol. 48(37), pages 3538-3549, August.
- Adelina Gschwandtner & Michael Hauser, 2013. "Profit Persistence and Stock Returns," Studies in Economics 1320, School of Economics, University of Kent.
- Mihai Chişu, 2019. "Risk Aversion And Financial Effects Into The Asset Management Industry," Romanian Economic Business Review, Romanian-American University, vol. 14(2), pages 25-39, June.
- 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.
- Song-Kyoo (Amang) Kim, 2024. "Kelly Criterion Extension: Advanced Gambling Strategy," Mathematics, MDPI, vol. 12(11), pages 1-9, June.
- Bellavite Pellegrini, Carlo & Romelli, Davide & Sironi, Emiliano, 2011. "The impact of governance and productivity on stock returns in European industrial companies," MPRA Paper 104654, University Library of Munich, Germany, revised 2011.
- Nakano, Shuhei & Hirata, Yoshito & Iwayama, Koji & Aihara, Kazuyuki, 2015. "Intra-day response of foreign exchange markets after the Tohoku-Oki earthquake," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 203-214.
- Ming Chen, James, 2018. "Baryonic Beta Dynamics: An Econophysical Model of Systematic Risk/Dinámica de la Beta Bariónica: Un modelo Econofísico de Riesgo Sistemático," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 263-276, Enero.
- Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020.
"Price gap anomaly in the US stock market: The whole story,"
The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019. "Price Gap Anomaly in the US Stock Market: The Whole Story," Working Papers 201963, University of Pretoria, Department of Economics.
- Tomasz Wisniewski & Geoffrey Lightfoot & Simon Lilley, 2012. "Speculating on presidential success: exploring the link between the price–earnings ratio and approval ratings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 106-122, January.
- Polk, Christopher & Thompson, Samuel & Vuolteenaho, Tuomo, 2006. "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, Elsevier, vol. 81(1), pages 101-141, July.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010.
"Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 305-344, January.
- John Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or glamour? fundamentals and systemic risk in stock returns," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc.
- Polk, Christopher & Vuolteenaho, Tuomo & Campbell, John Y., 2010. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Scholarly Articles 9887622, Harvard University Department of Economics.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Harvard Institute of Economic Research Working Papers 2082, Harvard - Institute of Economic Research.
- Mella, Javier, 2024. "Corporate taxes, partisan politics, and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
- Diane Wilcox & Tim Gebbie, 2013. "Factorising equity returns in an emerging market through exogenous shocks and capital flows," Papers 1306.5302, arXiv.org, revised Jul 2013.
- Dimson, Elroy & Mussavian, Massoud, 1999. "Three centuries of asset pricing," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1745-1769, December.
- Oluwaseun Damilola Ajayi & Emmanuel Kofi Gavu, 2024. "South African Real Estate Investment Trusts Prefer Tuesdays," JRFM, MDPI, vol. 17(5), pages 1-18, May.
- Tran, Vu Le, 2023. "Sentiment and covariance characteristics," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Auer, Benjamin R. & Rottmann, Horst, 2019.
"Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?,"
Journal of Economics and Business, Elsevier, vol. 103(C), pages 61-79.
- Benjamin R. Auer & Horst Rottmann, 2018. "Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?," CESifo Working Paper Series 7204, CESifo.
- Auer, Benjamin R. & Rottmann, Horst, 2018. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Weidener Diskussionspapiere 64, University of Applied Sciences Amberg-Weiden (OTH).
- Bevanda Lea-Marija & Zaimović Azra & Arnaut-Berilo Almira, 2021. "Performance of Value and Growth Stocks in the Aftermath of the Global Financial Crisis," Business Systems Research, Sciendo, vol. 12(2), pages 268-283, December.
- Durham, J. Benson, 2001. "Sensitivity analyses of anomalies in developed stock markets," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1503-1541, August.
- Salim Chahine, 2008. "Value versus growth stocks and earnings growth in style investing strategies in Euro-markets," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 347-358, December.
- Pheng Bian Ong & Mohamed Hisham Hanifa & Mansor Mohd Isa, 2018. "Do Firm Size and Value Affect Shareholder Returns in Malaysia?," Capital Markets Review, Malaysian Finance Association, vol. 26(2), pages 53-69.
- Thorsten Hens & Sabine Elmiger, 2019. "Economic Foundations for Finance," Springer Texts in Business and Economics, Springer, number 978-3-030-05427-4, December.
- Skočir, Matevž & Lončarski, Igor, 2024. "On the importance of asset pricing factors in the relative valuation," Research in International Business and Finance, Elsevier, vol. 70(PB).
- Dave E. Allen & Henrietta Lisnawati & Martyn Clissold, 1998. "Predicting Earnings Growth Using E/P Ratios: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 115-127, June.
- Kay Stankov & Dirk Schiereck & Volker Flögel, 2024. "Cost mitigation of factor investing in emerging equity markets," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 303-325, May.
- Riccardo Ferretti & Andrea Cipollini & Francesco Pattarin, 2016. "Can an unglamorous non-event affect prices? The role of newspapers," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1142847-114, December.
- Javed Iqbal & Sara Azher, 2014. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(2), pages 71-100, July-Dec.
- Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
- Sanjay Sehgal & Vanita Tripathi, 2005. "Size Effect in Indian Stock Market: Some Empirical Evidence," Vision, , vol. 9(4), pages 27-42, October.
- Lizińska Joanna & Czapiewski Leszek, 2019. "Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 19(1), pages 43-55, June.
- Hoang, Khoa & Huang, Ronghong & Truong, Helen, 2023. "Resurrecting the market factor: A case of data mining across international markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- La Porta, Rafael, et al, 1997.
"Good News for Value Stocks: Further Evidence on Market Efficiency,"
Journal of Finance, American Finance Association, vol. 52(2), pages 859-874, June.
- Rafael La Porta & Josef Lakonishok & Andrei Shleifer & Robert Vishny, 1995. "Good News for Value Stocks: Further Evidence on Market Efficiency," NBER Working Papers 5311, National Bureau of Economic Research, Inc.
- LaPorta, Rafael & Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert, 1997. "Good News for Value Stocks: Further Evidence on Market Efficiency," Scholarly Articles 30725119, Harvard University Department of Economics.
- Helmut Dietl & Carlos Gomez-Gonzalez & Cornel Nesseler, 2017. "Are women or men better team managers? Evidence from professional team sports," Working Papers 364, University of Zurich, Department of Business Administration (IBW).
- Madiha Kazmi & Umara Noreen & Imran Abbas Jadoon & Attayah Shafique, 2021. "Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model," Risks, MDPI, vol. 9(12), pages 1-14, December.
- Clare, A. D. & Priestley, R. & Thomas, S. H., 1998.
"Reports of beta's death are premature: Evidence from the UK,"
Journal of Banking & Finance, Elsevier, vol. 22(9), pages 1207-1229, September.
- Andrew Clare, Richard Priestley & Steven Thomas, "undated". "Reports of beta's death are premature: evidence from the UK," CERF Discussion Paper Series 96-05, Economics and Finance Section, School of Social Sciences, Brunel University.
- Mahata, Ajit & Rai, Anish & Nurujjaman, Md. & Prakash, Om, 2021. "Modeling and analysis of the effect of COVID-19 on the stock price: V and L-shape recovery," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
- Enrico G. De Giorgi & Thierry Post & Atakan Yalcin, 2012. "A Concave Security Market Line," Koç University-TUSIAD Economic Research Forum Working Papers 1211, Koc University-TUSIAD Economic Research Forum.
- Zura Kakushadze, 2020. "Quant Bust 2020," Papers 2006.05632, arXiv.org.
- Huang, Lin & Wu, Jia & Zhang, Rui, 2014. "Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model," Emerging Markets Review, Elsevier, vol. 21(C), pages 96-116.
- Javier Estrada, 2023. "Multifactor funds: an early (bearish) assessment," Journal of Asset Management, Palgrave Macmillan, vol. 24(4), pages 299-311, July.
- Vendrame, Vasco & Tucker, Jon & Guermat, Cherif, 2016. "Some extensions of the CAPM for individual assets," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 78-85.
- Fernandez, Pablo, 2004. "Are calculated betas good for anything?," IESE Research Papers D/555, IESE Business School.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020.
"Dissecting Characteristics Nonparametrically,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo.
- Syed Shafqat Mukarram & Abubakr Saeed & Shawkat Hammoudeh & Muhammad Mustafa Raziq, 2018. "Women on Indian boards and market performance: a role-congruity theory perspective," Asian Business & Management, Palgrave Macmillan, vol. 17(1), pages 4-36, February.
- Romana Bangash & Faisal Khan & Zohra Jabeen, 2018. "Size, Value and Momentum in Pakistan Equity Market: Size and Liquidity Exposures," Global Social Sciences Review, Humanity Only, vol. 3(1), pages 374-392, March.
- Pingui Rao & Heng Yue & Xin Zhou, 2018. "Return predictability and the real option value of segments," Review of Accounting Studies, Springer, vol. 23(1), pages 167-199, March.
- Nejadmalayeri, Ali, 2021. "Asset liquidity, business risk, and beta," Global Finance Journal, Elsevier, vol. 48(C).
- Becker, Connie & Ferson, Wayne & Myers, David H. & Schill, Michael J., 1999. "Conditional market timing with benchmark investors," Journal of Financial Economics, Elsevier, vol. 52(1), pages 119-148, April.
- Feng Sun & Cheng Liu & Xiaoguang Zhou, 2017. "Analysis of industry risk premium with MVS three dimensions vector factor model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1374814-137, January.
- Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017.
"The cross-section and time series of stock and bond returns,"
Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
- Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
- Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
- Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
- 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.
- Robert E. Houmes & Terrance R. Skantz, 2010. "Highly Valued Equity and Discretionary Accruals," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 60-92, January.
- Yanhui Zhao & Roger J. Calantone & Clay M. Voorhees, 2018. "Identity change vs. strategy change: the effects of rebranding announcements on stock returns," Journal of the Academy of Marketing Science, Springer, vol. 46(5), pages 795-812, September.
- Nawar Hashem & Larry Su, 2015.
"Industry Concentration and the Cross-Section of Stock Returns: Evidence from the UK,"
Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 769-785, August.
- Nawar, Hashem, 2010. "Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK," MPRA Paper 28440, University Library of Munich, Germany, revised Nov 2010.
- Alexander Nezlobin & Madhav V. Rajan & Stefan Reichelstein, 2016. "Structural properties of the price-to-earnings and price-to-book ratios," Review of Accounting Studies, Springer, vol. 21(2), pages 438-472, June.
- Tarunika Jain Agrawal & Sanjay Sehgal & Vibhuti Vasishth, 2020. "Firm Attributes, Corporate Fundamentals and Investment Strategies: An Empirical Study for Indian Stock Market," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 45(3), pages 366-387, August.
- Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
- Keun-Yeob Oh & Bonghan Kim & Honkee Kim, 2006. "An empirical study of the relation between stock price and EPS in panel data: Korea case," Applied Economics, Taylor & Francis Journals, vol. 38(20), pages 2361-2369.
- Antoine Falck & Adam Rej & David Thesmar, 2021. "Why and how systematic strategies decay," Papers 2105.01380, arXiv.org.
- De Nard, Gianluca & Zhao, Zhao, 2022. "A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 654-676.
- Tang, Gordon Y. N. & Shum, Wai Cheong, 2003. "The relationships between unsystematic risk, skewness and stock returns during up and down markets," International Business Review, Elsevier, vol. 12(5), pages 523-541, October.
- Sabine Elmiger, 2019. "CAPM-anomalies: quantitative puzzles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(3), pages 643-667, October.
- Cheuk, Man-Yin & Fan, Dennis K. & So, Raymond W., 2006. "Insider trading in Hong Kong: Some stylized facts," Pacific-Basin Finance Journal, Elsevier, vol. 14(1), pages 73-90, January.
- Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
- Wayne Ferson & Campbell R. Harvey, 1994.
"An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns,"
NBER Chapters, in: The Internationalization of Equity Markets, pages 59-147,
National Bureau of Economic Research, Inc.
- Wayne E. Ferson & Campbell R. Harvey, 1993. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Working Papers 4595, National Bureau of Economic Research, Inc.
- Ron Bird & Richard Gerlach, 2006. "A Bayesian Model Averaging Approach to Enhance Value Investment," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 5(2), pages 111-127, August.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2015.
"Nonparametric testing for anomaly effects in empirical asset pricing models,"
Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2014. "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers 09-2014, Singapore Management University, School of Economics.
- Sara Kelly Anzinger & Chinmoy Ghosh & Milena Petrova, 2017. "The Other Side of Value: The Effect of Quality on Price and Return in Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 429-457, April.
- Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q1), pages 49-70.
- Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser, "undated". "Estimating the Returns to Insider Trading," Rodney L. White Center for Financial Research Working Papers 19-99, Wharton School Rodney L. White Center for Financial Research.
- Liliam Sanchez Carrete & Vitor Corona & Rosana Tavares, 2016. "Impact of Number of Security Analysts in Liquidity of Brazilian Stocks," International Business Research, Canadian Center of Science and Education, vol. 9(11), pages 105-115, November.
- Yin-Ching Jan & Su-Ling Chiu, 2010. "Holding Period And Cross-Sectional Stock Returns: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(3), pages 79-91.
- Jiri NOVAK, 2014. "Does Stock Liquidity Explain the Premium for Stock Price Momentum?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(1), pages 79-95, February.
- Zura Kakushadze, 2014. "Factor Models for Alpha Streams," Papers 1406.3396, arXiv.org, revised Oct 2014.
- Timo H. Leivo, 2012. "Combining value and momentum indicators in varying stock market conditions," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 11(4), pages 400-447, October.
- Zhou, Rhea Tingyu & Lai, Rose Neng, 2009. "Herding and information based trading," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 388-393, June.
- López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
- Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2011. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01 [rev.], University of Cologne, Centre for Financial Research (CFR).
- 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.
- Saumya Ranjan Dash & Jitendra Mahakud, 2014. "Do Asset Pricing Models Explain Size, Value, Momentum and Liquidity Effects? The Case of an Emerging Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(3), pages 217-251, December.
- Mehnaz Roushan Laura & Nafiz Ul Fahad, 2017. "The Classical Approaches to Testing the Unconditional CAPM: UK Evidence," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 220-232, March.
- Zura Kakushadze & Jim Kyung-Soo Liew, 2015. "Custom v. Standardized Risk Models," Risks, MDPI, vol. 3(2), pages 1-27, May.
- Greg Filbeck & Xin Zhao & Ryan Knoll, 2017. "An analysis of working capital efficiency and shareholder return," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 265-288, January.
- T G Saji & S Harikumar, 2015. "Earnings Growth and Value Premium: The Indian Experience," Vikalpa: The Journal for Decision Makers, , vol. 40(4), pages 444-454, December.
- Mahnoor Sattar, 2017. "CAPM Vs Fama-French Three-Factor Model: An Evaluation of Effectiveness in Explaining Excess Return in Dhaka Stock Exchange," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(5), pages 119-119, April.
- Sampan Nettayanun, 2016. "Value Investing: Circle of Competence in the Thai Insurance Industry," PIER Discussion Papers 46, Puey Ungphakorn Institute for Economic Research.
- Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
- Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
- Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
- Erkin Diyarbakirlioglu & Marc Desban & Souad Lajili Jarjir, 2022. "Asset pricing models with measurement error problems: A new framework with Compact Genetic Algorithms," Post-Print hal-03643083, HAL.
- Weichuan Deng & Pawel Polak & Abolfazl Safikhani & Ronakdilip Shah, 2023. "A Unified Framework for Fast Large-Scale Portfolio Optimization," Papers 2303.12751, arXiv.org, revised Nov 2023.
- Hediger, Simon & Michel, Loris & Näf, Jeffrey, 2022. "On the use of random forest for two-sample testing," Computational Statistics & Data Analysis, Elsevier, vol. 170(C).
- Praveen Kumar Das & S P Uma Rao, 2011. "Value Premiums And The January Effect: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 1-15.
- Wang, Zitian & Wang, Lili & Tan, Shaohua, 2008. "Emergent and spontaneous computation of factor relationships from a large factor set," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3939-3959, December.
- Nikhil Rastogi & V.N. Reddy & Kiran Kumar Kotha, 2013. "Order imbalance and returns: evidence from India," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 9(2), pages 92-109, March.
- Bajzik, Josef, 2021.
"Trading volume and stock returns: A meta-analysis,"
International Review of Financial Analysis, Elsevier, vol. 78(C).
- Josef Bajzik, 2020. "Trading Volume and Stock Returns: A Meta-Analysis," Working Papers IES 2020/45, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2020.
- Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013. "The drivers of downside equity tail risk," MPRA Paper 45591, University Library of Munich, Germany.
- Alan Gregory & Richard D.F. Harris & Maria Michou, 2003. "Contrarian Investment and Macroeconomic Risk," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(1‐2), pages 213-256, January.
- Charilaos Mertzanis & Noha Allam, 2018. "Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 29-59, April.
- 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.
- Hui Guo, 2005. "Time-varying risk premia and the cross section of stock returns," Working Papers 2002-013, Federal Reserve Bank of St. Louis.
- Mihir Dash & Sadguna Kantheti & Guttula Krishna Teja, 2018. "The Book-to-Market Anomaly for Banking Stocks in the Indian Stock Market: A Panel Regression Analysis," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(1), pages 15-23, February.
- Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
- Hakkı Öztürk & Tolun A. Karabulut, 2018. "The Relationship between Earnings-to-Price, Current Ratio, Profit Margin and Return: An Empirical Analysis on Istanbul Stock Exchange," Accounting and Finance Research, Sciedu Press, vol. 7(1), pages 109-109, February.
- Shujie Ma & Oliver Linton & Jiti Gao, 2017.
"Estimation and inference in semiparametric quantile factor models,"
Monash Econometrics and Business Statistics Working Papers
8/17, Monash University, Department of Econometrics and Business Statistics.
- Ma, S. & Linton, O. & Gao, J., 2019. "Estimation and Inference in Semiparametric Quantile Factor Models," Cambridge Working Papers in Economics 1939, Faculty of Economics, University of Cambridge.
- Mu-En Wu & Wei-Ho Chung, 2019. "Empirical Evaluations on Momentum Effects of Taiwan Index Futures via Stop-Loss and Stop-Profit Mechanisms," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 629-648, March.
- S. P. Kothari & Charles Wasley, 2019. "Commemorating the 50‐Year Anniversary of Ball and Brown (1968): The Evolution of Capital Market Research over the Past 50 Years," Journal of Accounting Research, Wiley Blackwell, vol. 57(5), pages 1117-1159, December.
- Eero J. Pätäri & Ville Karell & Pasi Luukka, 2016. "Can size-, industry-, and leverage-adjustment of valuation ratios benefit the value investor?," International Journal of Business Innovation and Research, Inderscience Enterprises Ltd, vol. 11(1), pages 76-109.
- repec:mfj:journl:v:16:y:2011:i:1-2:p:87-124 is not listed on IDEAS
- Xia, Hui & Min, Xinyu & Deng, Shijie, 2015. "Effectiveness of earnings forecasts in efficient global portfolio construction," International Journal of Forecasting, Elsevier, vol. 31(2), pages 568-574.
- Andrew Y. Chen & Tom Zimmermann, 2022.
"Open Source Cross-Sectional Asset Pricing,"
Critical Finance Review, now publishers, vol. 11(2), pages 207-264, May.
- Chen, Andrew Y. & Zimmermann, Tom, 2020. "Open source cross-sectional asset pricing," CFR Working Papers 20-04, University of Cologne, Centre for Financial Research (CFR).
- Andrew Y. Chen & Tom Zimmermann, 2021. "Open Source Cross-Sectional Asset Pricing," Finance and Economics Discussion Series 2021-037, Board of Governors of the Federal Reserve System (U.S.).
- Blackburn, Douglas W. & Cakici, Nusret, 2017. "Overreaction and the cross-section of returns: International evidence," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 1-14.
- Jiaju Miao & Pawel Polak, 2023. "Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy," Papers 2304.09947, arXiv.org.
- Ahluwalia, Eshan & Mishra, Ajay Kumar & Tripathy, Trilochan, 2020. "Institutional ownership, investor recognition and stock performance around index rebalancing: Evidence from Indian market," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
- Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
- Kees G. Koedijk & Alfred M.H. Slager & Philip A. Stork, 2016.
"Investing in Systematic Factor Premiums,"
European Financial Management, European Financial Management Association, vol. 22(2), pages 193-234, March.
- Stork, Philip & Koedijk, Kees & Slager, Alfred, 2015. "Investing in Systematic Factor Premiums," CEPR Discussion Papers 10824, C.E.P.R. Discussion Papers.
- Dobson, Peter, 2020. "ETFs tracking errors on global markets with consideration of regional diversity," MPRA Paper 103695, University Library of Munich, Germany.
- Rob Bauer & Mathijs Cosemans & Peter C. Schotman, 2010. "Conditional Asset Pricing and Stock Market Anomalies in Europe," European Financial Management, European Financial Management Association, vol. 16(2), pages 165-190, March.
- Nunes, Mauro Fracarolli, 2018. "Supply chain contamination: An exploratory approach on the collateral effects of negative corporate events," European Management Journal, Elsevier, vol. 36(4), pages 573-587.
- Alonso Conde, Ana B. & Rojo Suárez, Javier, 2022. "Trends in the explanatory power of factor-based asset pricing models in determining the cost of capital," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
- Eduard Krkoska & Klaus Reiner Schenk-Hoppé, 2019. "Herding in Smart-Beta Investment Products," JRFM, MDPI, vol. 12(1), pages 1-14, March.
- Pablo Marshall & Eduardo Walker, 2002. "Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 247-268, December.
- Akhigbe, Aigbe & Makar, Stephen & Wang, Li & Whyte, Ann Marie, 2018. "Interest rate derivatives use in banking: Market pricing implications of cash flow hedges," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 113-126.
- Gikas Hardouvelis & George Papanastasopoulos & Dimitrios D. Thomakos & Tao Wang, 2007. "Accruals, Net Stock Issues and Value-Glamour Anomalies: New Evidence on their Relation," Working Paper series 47_07, Rimini Centre for Economic Analysis.
- 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.
- Sara Picas & Pedro Reis & António Pinto & José Luís Abrantes, 2021. "Does Tax, Financial, and Government Incentives Impact Long-Term Portuguese SMEs’ Sustainable Company Performance?," Sustainability, MDPI, vol. 13(21), pages 1-16, October.
- 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.
- Guido Abate & Tommaso Bonafini & Pierpaolo Ferrari, 2021. "Fundamentals-weighting vs. Capitalization-weighting: An Empirical Comparison," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 10(2), pages 1-3.
- 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.
- 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.
- Zura Kakushadze, 2018. "Cryptoasset Factor Models," Papers 1811.07860, arXiv.org, revised Feb 2019.
- Tihana Skrinjaric, 2018. "Rolling Regression Capm On Zagreb Stock Exchange - Can Investors Profit From It?," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 16(2), pages 7-22, November.
- de Groot, Caspar G. M. & Verschoor, Willem F. C., 2002. "Further evidence on Asian stock return behavior," Emerging Markets Review, Elsevier, vol. 3(2), pages 179-193, June.
- Ying Xiao & Chris Yung, 2015. "Extrapolation Errors in IPOs," Financial Management, Financial Management Association International, vol. 44(4), pages 713-751, October.
- Božović, Miloš, 2022. "A common pattern across asset pricing anomalies," Finance Research Letters, Elsevier, vol. 48(C).
- Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,"
American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
- Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
- William P. Lloyd & John S. Jahera Jr. & Steven J. Goldstein, 1986. "The Relation Between Returns, Ownership Structure, And Market Value," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 171-177, June.
- 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.
- Máté Fain & Helena Naffa, 2019. "Performance Measurement of Active Investment Strategies Using Pure Factor Portfolios," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(2), pages 52-86.
- Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020.
"Characteristic-Sorted Portfolios: Estimation and Inference,"
The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
- Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2016. "Characteristic-Sorted Portfolios: Estimation and Inference," Staff Reports 788, Federal Reserve Bank of New York.
- Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2018. "Characteristic-Sorted Portfolios: Estimation and Inference," Papers 1809.03584, arXiv.org, revised Oct 2019.
- Paul Gompers & Joy Ishii & Andrew Metrick, 2003.
"Corporate Governance and Equity Prices,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(1), pages 107-156.
- Paul A. Gompers & Joy L. Ishii & Andrew Metrick, 2001. "Corporate Governance and Equity Prices," NBER Working Papers 8449, National Bureau of Economic Research, Inc.
- Paul A. Gompers & Joy L. Ishii & Andrew Metrick, 2002. "Corporate Governance and Equity Prices," Center for Financial Institutions Working Papers 02-32, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Greg Filbeck & Sue Visscher, 1997. "Dividend yield strategies in the British stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 277-289.
- Alexander F. Wolff, 2013. "Investor sentiment and stock prices in the subprime mortgage crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1301-1309, August.
- Jan Bastin, 2015. "Volatility Effect: An Application on the German Stock Market [Efekt nízkého rizika: Aplikace na německý akciový trh]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2015(1), pages 36-54.
- Wallace N. Davidson III & Dipa Dutia, 1989. "A Note On The Behavior Of Security Returns: A Test Of Stock Market Overreaction And Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(3), pages 245-252, September.
- Johan Knif & James W. Kolari & Gregory Koutmos & Seppo Pynnönen, 2019. "Measuring the relative return contribution of risk factors," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 263-272, July.
- Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
- Patricia Fraser, 1995. "Returns and firm size: A note on the UK experience 1970-1991," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 331-334.
- 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.
- Bathia, Deven & Bredin, Don, 2018. "Investor sentiment: Does it augment the performance of asset pricing models?," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 290-303.
- Marc Badia & Miguel Duro & Fernando Penalva & Stephen G. Ryan, 2021. "Debiasing the Measurement of Conditional Conservatism," Journal of Accounting Research, Wiley Blackwell, vol. 59(4), pages 1221-1259, September.
- Achim Backhaus & Aliya Zhakanova Isiksal & Matthias Bausch, 2022. "What Financial Conditions Affect Dynamic Equity Risk Factor Allocation?," Economies, MDPI, vol. 10(2), pages 1-21, February.
- 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).
- Amir Amel†Zadeh, 2011. "The Return of the Size Anomaly: Evidence from the German Stock Market," European Financial Management, European Financial Management Association, vol. 17(1), pages 145-182, January.
- Matteo Foglia & Maria Cristina Recchioni & Gloria Polinesi, 2021. "Smart Beta Allocation and Macroeconomic Variables: The Impact of COVID-19," Risks, MDPI, vol. 9(2), pages 1-25, February.
- Luis Manuel Tovar Rocha & Julio Téllez Pérez & Gabriel Alberto Agudelo Torres, 2022. "The Relationship Between Share Prices and DUPONT Model Components: Evidence from Mexican Stock Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-13, Enero - M.
- Robert E. Houmes & Terrance R. Skantz, 2010. "Highly Valued Equity and Discretionary Accruals," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1-2), pages 60-92.
- Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021.
"Estimation and inference in semiparametric quantile factor models,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
- Shujie Ma & Oliver Linton & Jiti Gao, 2017. "Estimation and inference in semiparametric quantile factor models," Monash Econometrics and Business Statistics Working Papers 8/17, Monash University, Department of Econometrics and Business Statistics.
- Ma, S. & Linton, O. & Gao, J., 2019. "Estimation and Inference in Semiparametric Quantile Factor Models," Cambridge Working Papers in Economics 1933, Faculty of Economics, University of Cambridge.
- Christopher Kantos & Dan diBartolomeo, 2020. "How the pandemic taught us to turn smart beta into real alpha," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 581-590, December.
- Terry L Zivney & Donald J. Thompson II, 1989. "The Effect Of Market Proxy Rebalancing Policies On Detecting Abnormal Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 293-299, December.
- 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.
- Xiaolu Wei & Yubo Tian & Na Li & Huanxin Peng, 2024. "Evaluating ensemble learning techniques for stock index trend prediction: a case of China," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(3), pages 505-530, September.
- Sawaliya, Priya & Sinha, Pankaj, 2018. "Behaviour of asset pricing models in pre and post-recession period: an evidence from India," MPRA Paper 93084, University Library of Munich, Germany, revised 22 Jan 2019.
- Pasaribu, Rowland Bismark Fernando, 2009. "Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham [Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange]," MPRA Paper 36982, University Library of Munich, Germany.
- Bui, Dien Giau & Kong, De-Rong & Lin, Chih-Yung & Lin, Tse-Chun, 2023. "Momentum in machine learning: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Chan, Howard W.H. & Brown, Rob & Ho, Yew Kee, 2006. "Initiation of brokers' recommendations, market predictors and stock returns," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 213-231, July.
- J. Benson Durham, 2002. "The extreme bounds of the cross-section of expected stock returns," Finance and Economics Discussion Series 2002-34, Board of Governors of the Federal Reserve System (U.S.).
- 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).
- Raul Leote de Carvalho & Xiao Lu & Pierre Moulin, 2014. "An integrated risk-budgeting approach for multi-strategy equity portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 24-47, February.
- Stein, Jeremy C, 1996.
"Rational Capital Budgeting in an Irrational World,"
The Journal of Business, University of Chicago Press, vol. 69(4), pages 429-455, October.
- Stein, Jeremy C., 1996. "Rational Capital Budgeting in an Irrational World," Scholarly Articles 3708373, Harvard University Department of Economics.
- Jeremy C. Stein, 1996. "Rational Capital Budgeting in an Irrational World," NBER Working Papers 5496, National Bureau of Economic Research, Inc.
- Eero J. Pätäri & Timo H. Leivo & J.V. Samuli Honkapuro, 2010. "Enhancement of value portfolio performance using data envelopment analysis," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(3), pages 223-246, August.
- Kei Nakagawa & Tomoki Ito & Masaya Abe & Kiyoshi Izumi, 2019. "Deep Recurrent Factor Model: Interpretable Non-Linear and Time-Varying Multi-Factor Model," Papers 1901.11493, arXiv.org.
- Enrico Giorgi & Thorsten Hens, 2006.
"Making prospect theory fit for finance,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 339-360, September.
- De Giorgi, Enrico & Hens, Thorsten, 2005. "Making Prospect Theory Fit for Finance," Discussion Papers 2005/19, Norwegian School of Economics, Department of Business and Management Science.
- Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany.
- Oliver D. Bunn & Robert J. Shiller, "undated".
"Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013,"
Cowles Foundation Discussion Papers
1950, Cowles Foundation for Research in Economics, Yale University.
- Oliver D. Bunn & Robert J. Shiller, 2014. "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," NBER Working Papers 20370, National Bureau of Economic Research, Inc.
- Hanauer, Matthias X. & Lauterbach, Jochim G., 2019. "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 38(C), pages 265-286.
- Philip Gharghori & Ronald Lee & Madhu Veeraraghavan, 2009. "Anomalies and stock returns: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 555-576, September.
- Liu, Jinjing, 2023. "A novel downside beta and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
- Nawar Hashem & Larry Su, 2019. "Internationalization and the Cross-section of Stock Returns: Evidence from Multinational Corporations Publicly Listed in the U.K," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 18(3), pages 245-263, December.
- Yasmeen & Masood, Sarwar & Saghir, Ghauri & Muhammad, Waqas, 2012. "The Capital Asset Pricing Model: Empirical Evidence from Pakistan," MPRA Paper 41961, University Library of Munich, Germany.
- Rassier, Dylan G. & Earnhart, Dietrich, 2015. "Effects of environmental regulation on actual and expected profitability," Ecological Economics, Elsevier, vol. 112(C), pages 129-140.
- Dimitris Kenourgios & Nikolaos Pavlidis, 2005. "Individual Analysts’ Earnings Forecasts: Evidence for Overreaction in the UK Stock Market," Finance 0512011, University Library of Munich, Germany.
- Pawel Dlotko & Wanling Qiu & Simon Rudkin, 2019. "Financial ratios and stock returns reappraised through a topological data analysis lens," Papers 1911.10297, arXiv.org.
- Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0008, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Frankel, Richard & Lee, Charles M. C., 1998. "Accounting valuation, market expectation, and cross-sectional stock returns," Journal of Accounting and Economics, Elsevier, vol. 25(3), pages 283-319, June.
- Gray, Wesley & Kern, Andrew, 2008. "Fundamental Value Investors: Characteristics and Performance," MPRA Paper 12620, University Library of Munich, Germany.
- Nageri Kamaldeen Ibraheem & Abdulkadir Rihanat Idowu, 2019. "Is the Nigerian Stock Market Efficient? Pre and Post 2007-2009 Meltdown Analysis," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 29(3), pages 38-63, September.
- Guglielmo D'Amico & Riccardo De Blasis, 2020. "A review of the Dividend Discount Model: from deterministic to stochastic models," Papers 2001.00465, arXiv.org.
- Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
- Aziz, Tariq & Ansari, Valeed Ahmad, 2014. "Size and value premiums in the Indian stock market," MPRA Paper 60451, University Library of Munich, Germany.
- Khurshid Khudoykulov, 2016. "Verifying capital asset pricing model in Greek capital market," International Journal of Economics and Accounting, Inderscience Enterprises Ltd, vol. 7(1), pages 55-65.
- Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
- Amit Hedau, 2020. "Value Investing: Evidence From Listed Construction And Infrastucture Sector Companies In India," Romanian Economic Business Review, Romanian-American University, vol. 15(4), pages 104-114, december.
- Czereszenko, Witalij, 2021. "Pursuing the aim of Exchange Traded Funds at the time of Covid-19," MPRA Paper 111319, University Library of Munich, Germany.
- Audi, Marc & Sadiq, Azhar & Ali, Amjad, 2021. "Performance Evaluation of Islamic and Non-Islamic Equity and Bonds Indices: Evidence from selected Emerging and Developed Countries," MPRA Paper 109866, University Library of Munich, Germany.
- Alexandra Maria SERBU & Theodor Gabriel TRIFAN, 2024. "Drifting away from market efficiency: the presence of the January effect in the U.S. stock market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(638), S), pages 95-104, Spring.
- Bayram Veli Salur & Cumhur Ekinci, 2023. "Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor," IJFS, MDPI, vol. 11(1), pages 1-21, March.
- repec:dau:papers:123456789/2167 is not listed on IDEAS
- Ian McManus & Owain Ap Gwilym & Stephen Thomas, 2004. "The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(9‐10), pages 1355-1387, November.
- Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Thanh Huong Nguyen, 2019. "Information and Noise in Stock Markets: Evidence on the Determinants and Effects Using New Empirical Measures," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 7-2019, January-A.
- repec:dau:papers:123456789/3005 is not listed on IDEAS
- Sudipta Das, 2019. "Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 339-354, September.
- Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01, University of Cologne, Centre for Financial Research (CFR).
- Katarzyna Gwozdz, 2015. "Assessing The Non-Financial Investment Profitability With Variable Discount Rate," Oeconomia Copernicana, Institute of Economic Research, vol. 6(4), pages 123-138, December.
- Bruno S. Frey & Reiner Eichenberger, 1989. "Should Social Scientists Care about Choice Anomalies?," Rationality and Society, , vol. 1(1), pages 101-122, July.
- Petros Messis & Achilleas Zapranis, 2014. "Herding behaviour and volatility in the Athens Stock Exchange," Journal of Risk Finance, Emerald Group Publishing, vol. 15(5), pages 572-590, November.
- Juhani T. Linnainmaa & Michael R. Roberts, 2016. "The History of the Cross Section of Stock Returns," NBER Working Papers 22894, National Bureau of Economic Research, Inc.
- Ramcharran, Harri, 2002. "An empirical analysis of the determinants of the P/E ratio in emerging markets," Emerging Markets Review, Elsevier, vol. 3(2), pages 165-178, June.
- Patton, Andrew J. & Weller, Brian M., 2020. "What you see is not what you get: The costs of trading market anomalies," Journal of Financial Economics, Elsevier, vol. 137(2), pages 515-549.
- Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc.
- Said Elfakhani, 1993. "Portfolio Performance And The Interaction Between Systematic Risk, Firm Size And Price‐Earnings Ratio: The Canadian Evidence," Review of Financial Economics, John Wiley & Sons, vol. 3(1), pages 51-69, September.
- Deng, Xiaohu & Gao, Lei & Kim, Jeong-Bon, 2020. "Short-sale constraints and stock price crash risk: Causal evidence from a natural experiment," Journal of Corporate Finance, Elsevier, vol. 60(C).
- Kwame Addae-Dapaah & James Webb & Kim Ho & Yan Tan, 2010. "Industrial Real Estate Investment: Does the Contrarian Strategy Work?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 193-227, August.
- A. Balakrishnan, 2016. "Size, Value, and Momentum Effects in Stock Returns: Evidence from India," Vision, , vol. 20(1), pages 1-8, March.
- Leone, Vitor & de Medeiros, Otavio Ribeiro, 2015. "Signalling the Dotcom bubble: A multiple changes in persistence approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 77-86.
- Ghosh, Indranil & Datta Chaudhuri, Tamal & Alfaro-Cortés, Esteban & Gámez Martínez, Matías & García Rubio, Noelia, 2021. "Estimating the relative effects of raw material prices, sectoral outlook and market sentiment on stock prices," Resources Policy, Elsevier, vol. 73(C).
- Gianluca De Nard & Simon Hediger & Markus Leippold, 2022. "Subsampled factor models for asset pricing: The rise of Vasa," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1217-1247, September.
- Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
- Liping Zou & Ruishan Chen, 2017. "Earnings Surprises, Investor Sentiments and Contrarian Strategies," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 133-143.
- Li, Lingxiang, 2016. "New findings on repurchase anomaly — The first-month effect," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 331-349.
- Jordan Moore, 2020. "Glamour among value: P/E ratios and value investor attention," Financial Management, Financial Management Association International, vol. 49(3), pages 673-706, September.
- Johan Knif & James W. Kolari & Gregory Koutmos & Seppo Pynonen, 2023. "Modeling the Time Variation in Factor Exposures," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 12(2), pages 1-2.
- Dimitrios Kyriazis & Chris Christou, 2013. "A Re-examination of the Performance of Value Strategies in the Athens Stock Exchange," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 19(2), pages 131-151, May.
- Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Richardson, Scott & Tuna, Irem & Wysocki, Peter, 2010. "Accounting anomalies and fundamental analysis: A review of recent research advances," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 410-454, December.
- Gerardo “Gerry” Alfonso Perez, 2017. "Value Investing in the Stock Market of Thailand," IJFS, MDPI, vol. 5(4), pages 1-12, November.
- Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Papers physics/0702027, arXiv.org.
- Kavussanos, Manolis G. & Marcoulis, Stelios N., 2004. "4. Cross-Industry Comparisons Of The Behaviour Of Stock Returns In Shipping, Transportation And Other Industries," Research in Transportation Economics, Elsevier, vol. 12(1), pages 107-142, January.
- Dan S. Dhaliwal & Steven E. Kaplan & Rick C. Laux & Eric Weisbrod, 2013. "The Information Content of Tax Expense for Firms Reporting Losses," Journal of Accounting Research, Wiley Blackwell, vol. 51(1), pages 135-164, March.
- Chen, Li-Wen & Yu, Hsin-Yi & Huang, Hsu-Huei, 2015. "Revisiting the earnings–price effect: The importance of future earnings," Finance Research Letters, Elsevier, vol. 13(C), pages 90-96.
- Roche Charles & Dr. Olweny Tobias & Dr. Nasieku Tabitha, 2021. "Fundamental Anomalies and Firms Financial Distress; Evidence from Nairobi Securities Exchange, Kenya," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(2), pages 1-1.
- Alexandra Horobet & Radu Lupu & Sorin Dumitrescu & Dan Gabriel Dumitrescu & Iulia TINTEA, 2011. "Dynamic Trade-Offs In Financial Performances Of Romanian Companies," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2011, pages 85-100, july.
- N. Volkan Kayaçetin & Z. Nuray Güner, 2007. "A Note On The Cross-Section Of Stock Returns On The Istanbul Stock Exchange," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 21(1+2), pages 93-105.
- Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
- Daniel J. Walters & Gülden Ülkümen & David Tannenbaum & Carsten Erner & Craig R. Fox, 2023. "Investor Behavior Under Epistemic vs. Aleatory Uncertainty," Management Science, INFORMS, vol. 69(5), pages 2761-2777, May.
- Chan, Louis K. C. & Jegadeesh, Narasimhan & Lakonishok, Josef, 1995. "Evaluating the performance of value versus glamour stocks The impact of selection bias," Journal of Financial Economics, Elsevier, vol. 38(3), pages 269-296, July.
- Garry L. Shelley & Anca Traian & William J. Trainor Jr., 2020. "Stock market "prediction" models," Economics Bulletin, AccessEcon, vol. 40(2), pages 1548-1556.
- Dolf Diemont & Kyle Moore & Aloy Soppe, 2016. "The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk," Journal of Business Ethics, Springer, vol. 137(2), pages 213-229, August.
- Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
- Maxim Zagonov & Bernd Hanke, 2020. "Investor Attention, Lottery Stocks and the Cross-Section of Expected Returns," Economics Bulletin, AccessEcon, vol. 40(1), pages 18-34.
- De Giorgi, Enrico & Hens, Thorsten & Post, Thierry, 2005. "Prospect Theory and the Size and Value Premium Puzzles," Discussion Papers 2005/20, Norwegian School of Economics, Department of Business and Management Science.
- T.G. Saji, 2018. "Financial Distress and Stock Market Failures: Lessons from Indian Realty Sector," Vision, , vol. 22(1), pages 50-60, March.
- Magdalena Mikolajek-Gocejna & Tomasz Urbas, 2023. "Rational Investors or Rational Expectations in Efficient Market Hypothesis?," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 13(2), pages 167-188.
- Wallace N. Davidson III, 1984. "The Effect Of Rate Cases On Public Utility Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(1), pages 81-93, March.
- Nada S. Ragab & Rabab K. Abdou & Ahmed M. Sakr, 2020. "A Comparative Study between the Fama and French Three-Factor Model and the Fama and French Five-Factor Model: Evidence from the Egyptian Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(1), pages 1-52, January.
- Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, June.
- Kyle Moore & Pengfei Sun & Casper de Vries & Chen Zhou, 2013. "Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk," Working Papers 13-13, Chapman University, Economic Science Institute.
- Şahin, Baki Cem & Danışoğlu, Seza, 2022. "Ambiguity and asset pricing: An empirical investigation for an emerging market," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Alves, Paulo & Ferreira, Miguel, 2008. "Centre Rules the Markets," MPRA Paper 52779, University Library of Munich, Germany, revised 2008.
- Chenet, Hugues & Ryan-Collins, Josh & van Lerven, Frank, 2021. "Finance, climate-change and radical uncertainty: Towards a precautionary approach to financial policy," Ecological Economics, Elsevier, vol. 183(C).
- Fernando Moraes & Rodrigo De-Losso, 2020. "Risk Factor Centrality and the Cross-Section of Expected Returns," Working Papers, Department of Economics 2020_17, University of São Paulo (FEA-USP).
- Miralles-Quiros, Maria del Mar & Miralles-Quiros, Jose Luis & Gonçalves, Luis Miguel, 2017. "Análise do efeito tamanho na Bovespa," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 57(4), August.
- Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
- Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc.
- Pascual-Ezama, David & Paredes, Mercedes Rodríguez & Sanchez-Martín, María-del-Pilar & de Liaño, Beatriz Gil-Gómez, 2018. "Shorter and easier is more useful: A longitudinal analysis of how financial report enforcement affects individual investors," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 74(C), pages 29-37.
- Christophe Morel, 2001. "Stock selection using a multi-factor model - empirical evidence from the French stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 312-334.
- Mattias Hamberg & Jiri Novak, 2010.
"Accounting Conservatism and Transitory Earnings in Value and Growth Strategies,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 37(5‐6), pages 518-537, June.
- Mattias Hamberg & Jiri Novak, 2010. "Accounting Conservatism and Transitory Earnings in Value and Growth Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 518-537.
- Stephen H. Penman & Xiao-Jun Zhang, 2021. "Connecting book rate of return to risk and return: the information conveyed by conservative accounting," Review of Accounting Studies, Springer, vol. 26(1), pages 391-423, March.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Robert D. Arnott & Jason C. Hsu & Jun Liu & Harry Markowitz, 2015. "Can Noise Create the Size and Value Effects?," Management Science, INFORMS, vol. 61(11), pages 2569-2579, November.
- Ikram ul Haq & Kashif Rashid, 2014. "Stock Market Efficiency and Size of the Firm: Empirical Evidence from Pakistan," Oeconomics of Knowledge, Saphira Publishing House, vol. 6(1), pages 10-31, March.
- Ming-Chi Chen & Chin-Yu Wang & So-De Shyu, 2012. "Liquidity and the Future Stock Returns of the REIT Industry," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 588-603, October.
- Debarati Basu & Deepak Chawla, 2010. "An Empirical Test of CAPM—The Case of Indian Stock Market," Global Business Review, International Management Institute, vol. 11(2), pages 209-220, June.
- Roll, Richard W. & Cornell, Brad, 2004. "A Delegated Agent Asset-pricing model," University of California at Los Angeles, Anderson Graduate School of Management qt9f06903n, Anderson Graduate School of Management, UCLA.
- Chin-Shien Lin & Haider Ali Khan & Chi-Chung Huang, 2002. "Can the neuro fuzzy model predict stock indexes better than its rivals?," CIRJE F-Series CIRJE-F-165, CIRJE, Faculty of Economics, University of Tokyo.
- Harshita & Shveta Singh & Surendra S. Yadav, 2018. "Changing Nature of the Value Premium in the Indian Stock Market," Vision, , vol. 22(2), pages 135-143, June.
- Kaserer Christoph & Hanauer Matthias X., 2017. "25 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(2), pages 98-116, June.
- Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
- Russell P. Robins & Geoffrey Peter Smith, 2020. "Selection bias and pseudo discoveries on the constancy of stock return anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1407-1426, November.
- Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012. "Investment strategies beating the market. What can we squeeze from the market?," Working Papers 2012-04, Faculty of Economic Sciences, University of Warsaw.
- Keng-Hoong Ng & Kok-Chin Khor, 2017. "StockProF: a stock profiling framework using data mining approaches," Information Systems and e-Business Management, Springer, vol. 15(1), pages 139-158, February.
- Aysenur Tarakcioglu Altinay & Mesut Dogan & Bilge Leyli Demirel Ergun & Sevdie Alshiqi, 2023. "The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 3-21.
- Lau, Sie Ting & Lee, Chee Tong & McInish, Thomas H., 2002. "Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 207-222, July.
- Houmes, Robert & Chira, Inga, 2015. "The effect of ownership structure on the price earnings ratio — returns anomaly," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 140-147.
- Lect. Aurora Murgea Ph. D, 2010. "Classical Lassical And Behavioural Finance In Investor Decision," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 2(38), pages 1-12, May.
- Thomas W. Hall & Jeffrey J. Tsay, 1988. "An Evaluation Of The Performance Of Portfolios Selected From Value Line Rank One Stocks: 1976–1982," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 227-240, September.
- Alagidede, Paul, 2008. "Month-of-the-year and pre-holiday seasonality in African stock markets," Stirling Economics Discussion Papers 2008-23, University of Stirling, Division of Economics.
- Jacek Lipiec, 2014. "Capital Asset Pricing Model Testing at Warsaw Stock Exchange: Are Family Businesses the Remedy for Economic Recessions?," IJFS, MDPI, vol. 2(3), pages 1-14, July.
- Martin Lettau & Sydney Ludvigson, 2001.
"Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,"
Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- Ariel Lanza & Enrico Bernardini & Ivan Faiella, 2020. "Mind the gap! Machine learning, ESG metrics and sustainable investment," Questioni di Economia e Finanza (Occasional Papers) 561, Bank of Italy, Economic Research and International Relations Area.
- Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 186-210.
- Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Guerard, John B. & Markowitz, Harry & Xu, GanLin, 2015. "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," International Journal of Forecasting, Elsevier, vol. 31(2), pages 550-560.
- Gerald Lander, 2006. "Returns of Small Growth Stocks: An Empirical Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(4), pages 475-490, November.
- Thorsten Hens & Terje Lensberg & Klaus Schenk-Hoppé & Peter Wöhrmann, 2011. "An evolutionary explanation of the value premium puzzle," Journal of Evolutionary Economics, Springer, vol. 21(5), pages 803-815, December.
- Sasidharan, Anand, 2009. "Does seasonality persists in Indian stock markets?," MPRA Paper 24185, University Library of Munich, Germany, revised Aug 2010.
- Ahmed Al Samman & Mahmoud Moustafa Otaify, 2017. "How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 300-315.
- Dominique, C-Rene & Rivera-Solis, Luis Eduardo & Des Rosiers, Francois, 2010. "Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index," MPRA Paper 22604, University Library of Munich, Germany.
- David McMillan & Mark Wohar, 2011. "Sum of the parts stock return forecasting: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 21(12), pages 837-845.
- Das, Sudipta, 2015. "Empirical evidence of conditional asset pricing in the Indian stock market," Economic Systems, Elsevier, vol. 39(2), pages 225-239.
- repec:fst:rfsisf:v:8:y:2023:i:special-june_2023:p:45-56 is not listed on IDEAS
- Reid, Donald W. & Tew, Bernard V., 1986. "A Review Of Asset Pricing Theories Under Uncertainty," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271818, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
- Engelberg, Joseph & McLean, R. David & Pontiff, Jeffrey, 2020. "Analysts and anomalies," Journal of Accounting and Economics, Elsevier, vol. 69(1).
- Francesco Campanella & Mario Mustilli & Eugenio D¡¯Angelo, 2016. "Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 27-42, February.
- Kwok-Wah Fung, Alexander & Lam, Kin, 2004. "Overreaction of index futures in Hong Kong," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 331-351, June.
- repec:hal:journl:dumas-00934738 is not listed on IDEAS
- Doug Rolph & Pu Shen, 1999. "Do the spreads between the E/P ratio and interest rates contain information on future equity market movements?," Research Working Paper 99-03, Federal Reserve Bank of Kansas City.
- Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
- Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics.
- Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
- Lenia Mukoyi & Kanayo K. Ogujiuba, 2022. "Comparison of Multifactor Asset Pricing Models in the South African Stock Market [2000–2016]," JRFM, MDPI, vol. 16(1), pages 1-22, December.
- Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
- 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.
- Guo, Hui & Savickas, Robert, 2010. "Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1637-1649, July.
- Shujie Ma & Oliver Linton & Jiti Gao, 2018. "Estimation in semiparametric quantile factor models," CeMMAP working papers CWP07/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Geertsema, Paul & Lu, Helen, 2020. "The correlation structure of anomaly strategies," Journal of Banking & Finance, Elsevier, vol. 119(C).
- Manas Mayur, 2015. "Relationship between Price–Earnings Ratios and Stock Value in an Emerging Market," Paradigm, , vol. 19(1), pages 52-64, June.
- Roland Fuess & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns," BAFFI CAREFIN Working Papers 19116, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Javier DePeña & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers 03/03, School of Economics and Business Administration, University of Navarra.
- De Giorgi, Enrico G. & Post, Thierry & Yalçın, Atakan, 2019. "A concave security market line," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 65-81.
- Timotheos Angelidis & Nikolaos Tessaromatis, 2014. "Global portfolio management under state dependent multiple risk premia," Proceedings of Economics and Finance Conferences 0400966, International Institute of Social and Economic Sciences.
- Leković Miljan, 2018. "Evidence for and Against the Validity of Efficient Market Hypothesis," Economic Themes, Sciendo, vol. 56(3), pages 369-387, September.
- Altınkılıç, Oya & Hansen, Robert S. & Ye, Liyu, 2016. "Can analysts pick stocks for the long-run?," Journal of Financial Economics, Elsevier, vol. 119(2), pages 371-398.
- Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
- Walter L Eckardt Jr. & Bruce D. Bagamery, 1983. "Short Selling: The Mutual Fund Alternative," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 231-238, September.
- Zura Kakushadze, 2014. "Russian-Doll Risk Models," Papers 1412.4342, arXiv.org, revised Nov 2017.
- Edward M. Miller, 1992. "Firm Size Related Implications Of The Cost Of Accounting Information And Analysis," Review of Financial Economics, John Wiley & Sons, vol. 1(2), pages 68-80, March.
- Zaremba Adam & Konieczka Przemysław, 2017. "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 53(3), pages 26-47, September.
- Avkiran, Necmi K. & Morita, Hiroshi, 2010. "Predicting Japanese bank stock performance with a composite relative efficiency metric: A new investment tool," Pacific-Basin Finance Journal, Elsevier, vol. 18(3), pages 254-271, June.
- Itemgenova, Aigerim & Sikveland, Marius, 2020. "The determinants of the price-earnings ratio in the Norwegian aquaculture industry," Journal of Commodity Markets, Elsevier, vol. 17(C).
- Teppo Martikainen, 1991. "The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 52-64, Spring.
- Fernando Moraes & Rodrigo De-Losso, 2020. "Risk Factors’ CPDAG Roots and the Cross-Section of Expected Returns," Working Papers, Department of Economics 2020_18, University of São Paulo (FEA-USP).
- Kerda Varaku, 2019. "Stock Price Forecasting and Hypothesis Testing Using Neural Networks," Papers 1908.11212, arXiv.org.
- Santiago Velásquez & Juho Kanniainen & Saku Mäkinen & Jaakko Valli, 2018. "Layoff announcements and intra-day market reactions," Review of Managerial Science, Springer, vol. 12(1), pages 203-228, January.
- S. G. Badrinath & Omesh Kini, 2001. "The Robustness Of Abnormal Returns From The Earnings Yield Contrarian Investment Strategy," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(3), pages 385-401, September.
- Nawazish Mirza & Amir Hasnaoui & Birjees Rahat, 2020. "Credit Quality and Stock Returns of Commercial Banks," Economics Bulletin, AccessEcon, vol. 40(1), pages 1-17.
- Tang, Gordon Y. N. & Shum, Wai Cheong, 2004. "The risk-return relations in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 179-195, April.
- Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 547-559, October.
- Alireza Namdari & Tariq S. Durrani, 2021. "A Multilayer Feedforward Perceptron Model in Neural Networks for Predicting Stock Market Short-term Trends," SN Operations Research Forum, Springer, vol. 2(3), pages 1-30, September.
- Wang, Ming-Hui & Ke, Mei-Chu & Liang Liao, Tung & Chiang, Yi-Chein & Hsu, Chuan-Hao, 2020. "Alternative estimation method of earnings growth rate for PEGR strategy," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Asgar Ali & K. N. Badhani, 2021. "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 55-78, March.
- Michael Lacina & B. Brian Lee & Dong Wuk Kim, 2018. "Management of Revenue and Earnings in Korean Firms Influenced by Cognitive Reference Points," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-36, June.
- Kyosev, Georgi & Hanauer, Matthias X. & Huij, Joop & Lansdorp, Simon, 2020. "Does earnings growth drive the quality premium?," Journal of Banking & Finance, Elsevier, vol. 114(C).
- József Móczár, 2010. "Anatomy and Lessons of the Global Financial Crisis," Public Finance Quarterly, State Audit Office of Hungary, vol. 55(4), pages 753-775.
- Andrew Metrick, 1997. "The Equity Performance of Investment Newsletters," Harvard Institute of Economic Research Working Papers 1805, Harvard - Institute of Economic Research.
- Ronald F. Anderson & Gerald D. Newbould, 1991. "Marginal Returns in Small and Large Companies," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 1(2), pages 115-124, Winter.
- Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
- An Zhiyong & Hou Yilin, 2019. "Population Policy, Demographic Change, and Firm Returns: Evidence from China," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 19(1), pages 1-11, January.
- Han, Ki C. & Suk, David Y., 1998. "The effect of ownership structure on firm performance: Additional evidence," Review of Financial Economics, Elsevier, vol. 7(2), pages 143-155.
- Keith Anderson & Chris Brooks, 2005. "The Long-Term P/E Radio," ICMA Centre Discussion Papers in Finance icma-dp2005-02, Henley Business School, University of Reading.
- Edward R. Lawrence & John Geppert & Arun J. Prakash, 2007. "Asset pricing models: a comparison," Applied Financial Economics, Taylor & Francis Journals, vol. 17(11), pages 933-940.
- Ding, David K. & Chua, Jia Leng & Fetherston, Thomas A., 2005. "The performance of value and growth portfolios in East Asia before the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 185-199, March.
- Amjad Taha & Gulcay Tuna, 2023. "Oil Price and Composite Risk Exposure within International Capital Asset Pricing Model: A Case of Saudi Arabia and Turkey," Energies, MDPI, vol. 16(7), pages 1-18, March.
- Leung, Mark T. & Daouk, Hazem & Chen, An-Sing, 2000. "Forecasting stock indices: a comparison of classification and level estimation models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 173-190.
- Wu, Wan-Ting, 2014. "The forward E/P ratio and earnings growth," Advances in accounting, Elsevier, vol. 30(1), pages 128-142.
- 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.
- Schnaubelt, Matthias & Seifert, Oleg, 2020. "Valuation ratios, surprises, uncertainty or sentiment: How does financial machine learning predict returns from earnings announcements?," FAU Discussion Papers in Economics 04/2020, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Şebnem Er & Bengü Vuran Author-Workplace-Name: Teaching and Research Assistant, PhD, Istanbul University, Faculty of Business Administration, Finance Department, 2012. "Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(1), pages 108-121, February.
- Zhenni Jin & Kun Guo & Yi Sun & Lin Lai & Zhewen Liao, 2020. "The industrial asymmetry of the stock price prediction with investor sentiment: Based on the comparison of predictive effects with SVR," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1166-1178, November.
- Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
- Thomas Jeanjean & Hervé Stolowy & Michael Erkens, 2010. "Really “Lost in translation”? The economic consequences of issuing an annual report in English," Post-Print hal-00479511, HAL.
- Carol Wang & James E. Larsen & Fall M. Ainina & Marlena L. Akhbari & Nicolas Gressis, 2011. "Why the Dogs of the Dow Bark Loudly in China," American Journal of Economics and Business Administration, Science Publications, vol. 3(3), pages 560-568, November.
- Yen, Jenn Yaw & Sun, Qian & Yan, Yuxing, 2004. "Value versus growth stocks in Singapore," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 19-34, February.
- Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D., 2013. "Connecting two markets: An equilibrium framework for shorts, longs, and stock loans," Journal of Financial Economics, Elsevier, vol. 108(2), pages 302-322.
- Bruno R. Arthur & Ani L. Katchova, 2015. "Accrual Anomaly for Agribusiness Stocks," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 372-387, June.
- Chiu, She-Chih & Lin, Hsuan-Chu & Chien, Chin-Chen & Liang, Chia-Chen, 2022. "Does Form 20-F reconciliation elimination for IFRS filers affect the risk forecasting ability of accounting numbers?," Journal of Contemporary Accounting and Economics, Elsevier, vol. 18(3).
- M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012. "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers 12010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Nudrat Fatima & Muhammad Waqas & Rameez Hassan & Ahmad Fraz & Muhammad Arif, 2017. "Cash to Price Ratio & Stock Returns: Evidence from Emerging Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(11), pages 153-162, November.
- Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz, 2018. "Investment Strategies that Beat the Market. What Can We Squeeze from the Market?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 36-55, December.
- Tihana Škrinjarić & Boško Šego, 2018. "Using Grey Incidence Analysis Approach in Portfolio Selection," IJFS, MDPI, vol. 7(1), pages 1-16, December.
- Yi, Jong-Hwan, 2001. "Pre-offering earnings and the long-run performance of IPOs," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 53-67.
- repec:idn:journl:v:1:y:2019:i:sp1:p:1-26 is not listed on IDEAS
- Victor Bernard & Jacob Thomas & James Wahlen, 1997. "Accounting†Based Stock Price Anomalies: Separating Market Inefficiencies from Risk," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 89-136, June.
- Simpson, Marc W. & Ramchander, Sanjay, 2008. "An inquiry into the economic fundamentals of the Fama and French equity factors," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 801-815, December.
- Skočir, Matevž & Lončarski, Igor, 2018. "Multi-factor asset pricing models: Factor construction choices and the revisit of pricing factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 65-80.
- Charles P. Harper & Lawrence C. Rose, 1993. "Accuracy of Appraisers and Appraisal Methods of Closely Held Companies," Entrepreneurship Theory and Practice, , vol. 17(3), pages 21-33, April.
- Dmitry S. Voronov & Lyudmila A. Ramenskaya, 2023. "Evaluation of the cost of capital and the discount rate based on the Russian financial statistics," Journal of New Economy, Ural State University of Economics, vol. 24(1), pages 50-80, April.
- Sangwon Suh, 2018. "Portfolio Selection using New Factors based on Firm Characteristics," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 43(1), pages 77-99, March.
- Paul Munene Muiruri, 2014. "Effects of Estimating Systematic Risk in Equity Stocks in the Nairobi Securities Exchange (NSE) (An Empirical Review of Systematic Risks Estimation)," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(4), pages 228-248, October.
- Shamsuddin, Abul F. M. & Hillier, John R., 2004. "Fundamental determinants of the Australian price-earnings multiple," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 565-576, November.
- Hani Nuri Rohuma, 2023. "Fama and French (1993) Three-Factor Model: Evidence from Conventional and Shariah-Compliant Portfolios in Bursa Malaysia," International Journal of Business and Management, Canadian Center of Science and Education, vol. 17(7), pages 1-66, February.
- Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
- Lanh Tran, 2017. "How Wave - Wavelet Trading Wins and "Beats" the Market," Papers 1704.00383, arXiv.org.