IDEAS home Printed from https://ideas.repec.org/r/eee/jfinec/v117y2015i2p225-248.html
   My bibliography  Save this item

Deflating profitability

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Wang, Baolian, 2019. "The cash conversion cycle spread," Journal of Financial Economics, Elsevier, vol. 133(2), pages 472-497.
  2. Gonçalves, Andrei S. & Leonard, Gregory, 2023. "The fundamental-to-market ratio and the value premium decline," Journal of Financial Economics, Elsevier, vol. 147(2), pages 382-405.
  3. Ball, Ray & Gerakos, Joseph & Linnainmaa, Juhani T. & Nikolaev, Valeri, 2016. "Accruals, cash flows, and operating profitability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 28-45.
  4. Yin, Libo & Liao, Huiyi, 2020. "Firm’s quality increases and the cross-section of stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 228-243.
  5. Wikrom Prombutr & Chanwit Phengpis & Ying Zhang, 2023. "Anomalies in U.S. REIT Returns: Evidence for and against the Q-theory," International Real Estate Review, Global Social Science Institute, vol. 26(1), pages 43-71.
  6. Doron Avramov & Tarun Chordia & Gergana Jostova & Alexander Philipov, 2022. "The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds [The prediction of corporate bankruptcy: a discriminant analysis]," Review of Finance, European Finance Association, vol. 26(2), pages 355-405.
  7. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  8. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  9. Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  10. Philipp Dirkx & Franziska J. Peter, 2020. "The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 72(4), pages 661-684, October.
  11. Barinov, Alexander, 2023. "Profitability anomaly and aggregate volatility risk," Journal of Financial Markets, Elsevier, vol. 64(C).
  12. Mamdouh Medhat & Berardino Palazzo, 2020. "Equity Financing Risk," Finance and Economics Discussion Series 2020-037, Board of Governors of the Federal Reserve System (U.S.).
  13. Sungsoo Kim & Amitav Saha & Sudipta Bose, 2021. "Do capital expenditures influence earnings performance: Evidence from loss‐making firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2539-2575, April.
  14. Berggrun, Luis & Cardona, Emilio & Lizarzaburu, Edmundo, 2020. "Firm profitability and expected stock returns: Evidence from Latin America," Research in International Business and Finance, Elsevier, vol. 51(C).
  15. Stephen Penman, 2016. "Valuation: Accounting for Risk and the Expected Return," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 106-130, March.
  16. Cakici, Nusret & Zaremba, Adam, 2021. "Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  17. 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.
  18. Borochin, Paul, 2020. "The information content of real operating performance measures from the airline industry," Journal of Financial Markets, Elsevier, vol. 50(C).
  19. Te‐Feng Chen & Lei Sun & K. C. John Wei & Feixue Xie, 2018. "The profitability effect: Insights from international equity markets," European Financial Management, European Financial Management Association, vol. 24(4), pages 545-580, September.
  20. Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
  21. 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.
  22. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
  23. 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.
  24. Konan Chan & Mei‐Xuan Li & Chu‐Bin Lin & Yanzhi Wang, 2022. "Organization capital effect in stock returns—The role of R&D," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1237-1263, July.
  25. Lim, Bryan & Sotes-Paladino, Juan & Wang, George Jiaguo & Yao, Yaqiong, 2024. "The value of growth: Changes in profitability and future stock returns," Journal of Banking & Finance, Elsevier, vol. 158(C).
  26. Peng-Chia Chiu & Timothy D. Haight, 2020. "Investor learning, earnings signals, and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 671-698, February.
  27. Ren, Yangqiu & Hu, Guoliu & Wan, Qing, 2024. "Environmental Protection tax and diversified transition of heavily polluting enterprises: Evidence from a quasi-natural experiment in China," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1570-1592.
  28. Luyang Chen & Markus Pelger & Jason Zhu, 2024. "Deep Learning in Asset Pricing," Management Science, INFORMS, vol. 70(2), pages 714-750, February.
  29. Geertsema, Paul & Lu, Helen, 2020. "The correlation structure of anomaly strategies," Journal of Banking & Finance, Elsevier, vol. 119(C).
  30. Rouen, Ethan & So, Eric C. & Wang, Charles C.Y., 2021. "Core earnings: New data and evidence," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1068-1091.
  31. 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).
  32. Liu, Yi & Mantecon, Tomas, 2017. "Is sustainable competitive advantage an advantage for stock investors?," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 299-314.
  33. Wessel M Badenhorst & Rieka von Well, 2023. "The Value‐relevance of Fair Value Measurement for Inventories," Australian Accounting Review, CPA Australia, vol. 33(2), pages 135-159, June.
  34. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
  35. Kuppenheimer, Gregory & Shelly, Stuart & Strauss, Jack, 2023. "Can machine learning identify sector-level financial ratios that predict sector returns?," Finance Research Letters, Elsevier, vol. 57(C).
  36. Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "China's illiquidity premium: Due to risk-taking or mispricing?," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
  37. Ball, Ray & Nikolaev, Valeri V., 2022. "On earnings and cash flows as predictors of future cash flows," Journal of Accounting and Economics, Elsevier, vol. 73(1).
  38. Yu, Hsin-Yi & Chen, Li-Wen & Chen, Chang-Yi, 2022. "The profitability effect: An evaluation of alternative explanations," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  39. Ball, Ray & Gerakos, Joseph & Linnainmaa, Juhani T. & Nikolaev, Valeri, 2020. "Earnings, retained earnings, and book-to-market in the cross section of expected returns," Journal of Financial Economics, Elsevier, vol. 135(1), pages 231-254.
  40. Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017. "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 19-35.
  41. Zhuang, Yuan & Nie, Jing & Wu, Weixing, 2022. "Peer influence and the value of cash holdings," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 265-284.
  42. Lin, Qi, 2017. "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, vol. 31(C), pages 141-163.
  43. Birru, Justin, 2018. "Day of the week and the cross-section of returns," Journal of Financial Economics, Elsevier, vol. 130(1), pages 182-214.
  44. R. Jared DeLisle & H. Zafer Yüksel & Gulnara R. Zaynutdinova, 2020. "What'S In A Name? A Cautionary Tale Of Profitability Anomalies And Limits To Arbitrage," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 305-344, May.
  45. Yin, Libo & Yang, Zhichen, 2022. "The profitability effect: Insight from a dynamic perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
  46. Atif Ellahie, 2021. "Earnings beta," Review of Accounting Studies, Springer, vol. 26(1), pages 81-122, March.
  47. Wahal, Sunil, 2019. "The profitability and investment premium: Pre-1963 evidence," Journal of Financial Economics, Elsevier, vol. 131(2), pages 362-377.
  48. Nusret Cakici & Sris Chatterjee & Yi Tang & Lin Tong, 2021. "Alternative profitability measures and cross-section of expected stock returns: international evidence," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 369-391, January.
  49. 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.
  50. Kilic, Mete & Yang, Louis & Zhang, Miao Ben, 2022. "The cross-section of investment and profitability: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 145(3), pages 706-724.
  51. Geertsema, Paul & Lu, Helen, 2019. "Revisiting the price effect in US stocks," Finance Research Letters, Elsevier, vol. 30(C), pages 139-144.
  52. Cakici, Nusret & Zaremba, Adam, 2021. "Liquidity and the cross-section of international stock returns," Journal of Banking & Finance, Elsevier, vol. 127(C).
  53. Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz, 2017. "Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?," Working Papers on Finance 1717, University of St. Gallen, School of Finance, revised Mar 2020.
  54. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
  55. Dr. Alireza Momeni & Amin Gholami* & Azam Pezhvan, 2018. "Investigating Relationship between Accruals, Cash Flow and Profitability with Stock Return in Firms Accepted in Tehran Stock Exchange," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 4(9), pages 284-291, 09-2018.
  56. Dai, Yiqing & Haque, Tariq & Zurbruegg, Ralf, 2020. "Factor return forecasting using cashflow spreads," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 917-931.
  57. 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.
  58. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
  59. Vincent, Kendro & Hsu, Yu-Chin & Lin, Hsiou-Wei, 2021. "Investment styles and the multiple testing of cross-sectional stock return predictability," Journal of Financial Markets, Elsevier, vol. 56(C).
  60. Huynh, Thanh D., 2017. "Conditional asset pricing in international equity markets," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 168-189.
  61. 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.
  62. Hui Tian & Andrew Yim & David P. Newton, 2021. "Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression," Management Science, INFORMS, vol. 67(8), pages 5209-5233, August.
  63. Yu, Huaibing, 2022. "Does sustainable competitive advantage make a difference in stock performance during the Covid-19 pandemic?," Finance Research Letters, Elsevier, vol. 48(C).
  64. Artikis, Panagiotis G. & Diamantopoulou, Lydia & Papanastasopoulos, Georgios A. & Sorros, John N., 2022. "Asset growth and stock returns in european equity markets: Implications of investment and accounting distortions," Journal of Corporate Finance, Elsevier, vol. 73(C).
  65. Asad Kausar, 2018. "Post-Earnings-Announcement Drift and the Return Predictability of Earnings Levels: One Effect or Two?," Management Science, INFORMS, vol. 64(10), pages 4877-4892, October.
  66. Serge Rugwiro & SungSup Brian Choi, 2019. "Re-examination of Fama–French Models in the Korean Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 23-45, March.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.