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Short- and Long-Horizon Behavioral Factors

Citations

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Cited by:

  1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  2. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
  3. Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
  4. Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
  5. 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.
  6. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
  7. Shi, Huai-Long & Zhou, Wei-Xing, 2021. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  8. Ahmed, Shamim & Bu, Ziwen & Symeonidis, Lazaros & Tsvetanov, Daniel, 2023. "Which factor model? A systematic return covariation perspective," Journal of International Money and Finance, Elsevier, vol. 136(C).
  9. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
  10. Ali, Usman & Hirshleifer, David, 2020. "Shared analyst coverage: Unifying momentum spillover effects," Journal of Financial Economics, Elsevier, vol. 136(3), pages 649-675.
  11. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, C.E.P.R. Discussion Papers.
  12. Jonathan Fletcher, 2018. "An Examination of the Benefits of Factor Investing in U.K. Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 154-170, April.
  13. Azevedo, Vitor & Müller, Sebastian, 2024. "Analyst recommendations and mispricing across the globe," Journal of Banking & Finance, Elsevier, vol. 169(C).
  14. Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
  15. Ge, Yao & Qiao, Zheng & Zheng, Hao, 2023. "Local labor market and the cross section of stock returns," Journal of International Money and Finance, Elsevier, vol. 138(C).
  16. Jonathan Fletcher, 2024. "AN examination of linear factor models in U.K. stock returns in the presence of dynamic trading," Review of Quantitative Finance and Accounting, Springer, vol. 63(3), pages 1121-1147, October.
  17. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
  18. Chen, Shan & Liu, Xujun & Li, Tao, 2023. "Does the investment-profitability correlation affect the factor premiums? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  19. Lin, Hung-Wen & Huang, Jing-Bo & Lin, Kun-Ben & Zhang, Joyce & Chen, Shu-Heng, 2020. "Which is the better fourth factor in China? Reversal or turnover?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  20. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
  21. Thuy Duong Dang & Fabian Hollstein & Marcel Prokopczuk & Zhiguo He, 2023. "Which Factors for Corporate Bond Returns?," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(4), pages 615-652.
  22. Fink, Josef & Palan, Stefan & Theissen, Erik, 2024. "Earnings Autocorrelation and the Post-Earnings-Announcement Drift: Experimental Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 59(6), pages 2799-2837, September.
  23. Nazaire, Gregory & Pacurar, Maria & Sy, Oumar, 2021. "Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?," Finance Research Letters, Elsevier, vol. 41(C).
  24. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021, January-A.
  25. Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
  26. Köstlmeier, Siegfried, 2024. "Pricing and mispricing of accounting fundamentals: Global evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 71-87.
  27. Li, Zhiyong & Wan, Yifan & Wang, Tianyi & Yu, Mei, 2023. "Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  28. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
  29. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
  30. Hamza Bennani & Matthias Neuenkirch, 2024. "Too complex to digest? Federal tax bills and their processing in US financial markets," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 31(5), pages 1179-1203, October.
  31. Hou, Yuting & Jin, Xiu, 2024. "Downside liquidity risk premium: From the perspective of higher moment," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
  32. Vitor Azevedo & Georg Sebastian Kaiser & Sebastian Mueller, 2023. "Stock market anomalies and machine learning across the globe," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 419-441, September.
  33. Avramov, D. & Ge, S. & Li, S. & Linton, O. B., 2025. "Dual Industry Effects and Cross-Stock Predictability," Janeway Institute Working Papers 2506, Faculty of Economics, University of Cambridge.
  34. Raymond Kan & Xiaolu Wang, 2024. "Optimal Portfolio Choice with Unknown Benchmark Efficiency," Management Science, INFORMS, vol. 70(9), pages 6117-6138, September.
  35. Ghazi, Soroush & Schneider, Mark & Dorobiala, Zachary, 2024. "Speculative and non-speculative equity premia," Economics Letters, Elsevier, vol. 236(C).
  36. Birru, Justin & Young, Trevor, 2022. "Sentiment and uncertainty," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1148-1169.
  37. Chen, Zilin & Chu, Liya & Liang, Dawei & Tu, Jun, 2022. "Far away from home: Investors’ underreaction to geographically dispersed information," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  38. Li, Zhiyong & Rao, Xiao, 2022. "Evaluating asset pricing models: A revised factor model for China," Economic Modelling, Elsevier, vol. 116(C).
  39. Lin, Chaonan & Chen, Hong-Yi & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2021. "Time-dependent lottery preference and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 272-294.
  40. Bereskin, Fred & Hsu, Po-Hsuan & Latham, William & Wang, Huijun, 2023. "So Sue Me! The cross section of stock returns related to patent infringement allegations," Journal of Banking & Finance, Elsevier, vol. 148(C).
  41. Soebhag, Amar & Van Vliet, Bart & Verwijmeren, Patrick, 2024. "Non-standard errors in asset pricing: Mind your sorts," Journal of Empirical Finance, Elsevier, vol. 78(C).
  42. Mbengue, Mohamed Lamine & Ndiaye, Bara & Sy, Oumar, 2023. "Which factors explain African stock returns?," Finance Research Letters, Elsevier, vol. 54(C).
  43. Wang, Shaoping & Yu, Lu & Zhao, Qing, 2021. "Do factor models explain stock returns when prices behave explosively? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  44. Hansen, Erwin, 2022. "Economic evaluation of asset pricing models under predictability," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 50-66.
  45. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  46. Hanauer, Matthias X. & Jansen, Maarten & Swinkels, Laurens & Zhou, Weili, 2024. "Factor models for Chinese A-shares," International Review of Financial Analysis, Elsevier, vol. 91(C).
  47. Azevedo, Vitor, 2023. "Analysts’ underreaction and momentum strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  48. Avramov, D. & Ge, S. & Li, S. & Linton, O. B., 2025. "Dual Industry Effects and Cross-Stock Predictability," Cambridge Working Papers in Economics 2512, Faculty of Economics, University of Cambridge.
  49. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
  50. Baba-Yara, Fahiz & Boons, Martijn & Tamoni, Andrea, 2024. "Persistent and transitory components of firm characteristics: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 154(C).
  51. Shi, Yongdong & Wang, Haomiao & Xia, Yu & Zhen, Hongxian, 2023. "Mispricing and anomalies in China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  52. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
  53. repec:grz:wpsses:2020-04 is not listed on IDEAS
  54. Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "Are conditional illiquidity risks priced in China? A cross-sectional test," International Review of Financial Analysis, Elsevier, vol. 81(C).
  55. Long, Huaigang & Chiah, Mardy & Cakici, Nusret & Zaremba, Adam & Bilgin, Mehmet Huseyin, 2024. "ESG investing in good and bad times: An international study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  56. 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.
  57. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
  58. Fabozzi, Frank J. & Huang, Dashan & Jiang, Fuwei & Wang, Jiexun, 2024. "What difference do new factor models make in portfolio allocation?," Journal of International Money and Finance, Elsevier, vol. 140(C).
  59. Yin, Libo & Yang, Zhichen, 2022. "The profitability effect: Insight from a dynamic perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
  60. Theissen, Erik & Zimmermann, Lukas, 2020. "Do contented customers make shareholders wealthy? Implications of intangibles for security pricing," CFR Working Papers 20-12, University of Cologne, Centre for Financial Research (CFR).
  61. Duffy, John & Rabanal, Jean Paul & Rud, Olga A., 2023. "Market reactions to stock splits: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 325-345.
  62. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
  63. Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
  64. Pujian Yang & Liu Yang, 2022. "Asset pricing and nominal price illusion in China," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
  65. Liu, Xufeng & Wan, Die, 2022. "Asymmetric positive feedback trading and stock pricing in China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  66. Yan Lu & Kevin Mullally & Sugata Ray, 2023. "Paying for Performance in Public Pension Plans," Management Science, INFORMS, vol. 69(8), pages 4888-4907, August.
  67. Fabian Hollstein & Marcel Prokopczuk, 2023. "Managing the Market Portfolio," Management Science, INFORMS, vol. 69(6), pages 3675-3696, June.
  68. Liu, Dayong & Lu, Zhao & Wang, Guanying & Meng, Qiaoran, 2024. "A two-dimensional innovation activity factor and stock pricing: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 102-114.
  69. Li, Si & He, Fangyi & Shi, Fangquan, 2023. "Cognitive biases, downside risk shocks, and stock expected returns," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  70. Du, Qianqian & Liang, Dawei & Chen, Zilin & Tu, Jun, 2022. "Concept links and return momentum," Journal of Banking & Finance, Elsevier, vol. 134(C).
  71. Chiang, I-Hsuan Ethan & Kirby, Chris & Nie, Ziye Zoe, 2021. "Short-term reversals, short-term momentum, and news-driven trading activity," Journal of Banking & Finance, Elsevier, vol. 125(C).
  72. repec:grz:wpsses:2020-03 is not listed on IDEAS
  73. Xie, Jun & Fang, Yuying & Gao, Bin & Tan, Chunzhi, 2023. "Availability heuristic and expected returns," Finance Research Letters, Elsevier, vol. 51(C).
  74. Dong, Dayong & Wu, Keke & Fang, Jianchun & Gozgor, Giray & Yan, Cheng, 2022. "Investor attention factors and stock returns: Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  75. Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022. "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, vol. 59(PB).
  76. Nusret Cakici & Christian Fieberg & Daniel Metko & Adam Zaremba, 2024. "Do Anomalies Really Predict Market Returns? New Data and New Evidence," Review of Finance, European Finance Association, vol. 28(1), pages 1-44.
  77. Peterburgsky, Stanley, 2024. "An industry-level analysis of a pandemic's impact on stock market risk," International Review of Economics & Finance, Elsevier, vol. 95(C).
  78. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
  79. Du, Hanyu & Hao, Jing & He, Feng & Xi, Wenze, 2022. "Media sentiment and cross-sectional stock returns in the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 60(C).
  80. Fang, Xuyun & Jiang, Zhiqian & Liu, Baixiao & McConnell, John J. & Zhou, Mingshan, 2022. "Ease-of-processing heuristics and asset prices: Evidence from the exchange-traded repo market in China," Journal of Financial Markets, Elsevier, vol. 59(PB).
  81. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.
  82. Xin Chen & Wei He & Libin Tao & Jianfeng Yu, 2023. "Attention and Underreaction-Related Anomalies," Management Science, INFORMS, vol. 69(1), pages 636-659, January.
  83. Park, Keehwan & Jung, Mookwon & Fang, Zhongzheng, 2023. "The value-growth premium in a time-varying risk return framework," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1500-1512.
  84. Chen, Dongxu & Wu, Ke & Zhu, Yifeng, 2022. "Stock return asymmetry in China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  85. Ahmad, Fawad & Oriani, Raffaele, 2022. "Investor attention, information acquisition, and value premium: A mispricing perspective," International Review of Financial Analysis, Elsevier, vol. 79(C).
  86. Assoe, Kodjovi & Attig, Najah & Sy, Oumar, 2024. "The battle of factors," Global Finance Journal, Elsevier, vol. 62(C).
  87. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
  88. Li Lin, 2024. "Quantum Probability Theoretic Asset Return Modeling: A Novel Schr\"odinger-Like Trading Equation and Multimodal Distribution," Papers 2401.05823, arXiv.org.
  89. Lan, Qiujun & Xie, Yuxuan & Mi, Xianhua & Zhang, Chunyu, 2024. "Post earnings announcement drift: A simple earnings surprise measure, the medium effect of investor attention and investing strategy," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  90. Huber, Daniel & Jacobs, Heiko & Müller, Sebastian & Preissler, Fabian, 2023. "International factor models," Journal of Banking & Finance, Elsevier, vol. 150(C).
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