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Biases in Decomposing Holding-Period Portfolio Returns

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Cited by:

  1. Luo, Di & Farag, Hisham, 2024. "ESG and aggregate disagreement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
  2. Mustafa Disli & Koen Inghelbrecht & Koen Schoors & Hannes Stieperaere, 2019. "Stock Price Anchoring," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/966, Ghent University, Faculty of Economics and Business Administration.
  3. Pedrono, Justine, 2022. "The currency channel of the global bank leverage cycle," Journal of International Money and Finance, Elsevier, vol. 126(C).
  4. J. Davies & Jonathan Fletcher & Andrew Marshall, 2015. "Testing index-based models in U.K. stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 337-362, August.
  5. Zhong, Angel & Limkriangkrai, Manapon & Gray, Philip, 2014. "Anomalies, risk adjustment and seasonality: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 207-218.
  6. Jing Zhang & Wei Zhang & Youwei Li & Xu Feng, 2022. "The role of hedge funds in the asset pricing: evidence from China," The European Journal of Finance, Taylor & Francis Journals, vol. 28(2), pages 219-243, January.
  7. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 27, July-Dece.
  8. Vitali Alexeev & Katja Ignatieva, 2021. "Biases in variance of decomposed portfolio returns," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1152-1178, December.
  9. Alan Gregory & Cherif Guermat & Fawaz Al‐Shawawreh, 2010. "UK IPOs: Long Run Returns, Behavioural Timing and Pseudo Timing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 612-647, June.
  10. Patel, Vinay & Michayluk, David, 2016. "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 202-214.
  11. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
  12. Weimin Liu & Di Luo & Seyoung Park & Huainan Zhao, 2022. "The cross‐sectional return predictability of employment growth: A liquidity risk explanation," The Financial Review, Eastern Finance Association, vol. 57(1), pages 155-178, February.
  13. Luo, Di, 2022. "ESG, liquidity, and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  14. Cynthia M. Gong & Di Luo & Huainan Zhao, 2021. "Liquidity risk and the beta premium," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 789-814, December.
  15. Jonathan Fletcher, 2009. "Risk Reduction and Mean‐Variance Analysis: An Empirical Investigation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7‐8), pages 951-971, September.
  16. Stefan Kanne & Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers, 2012. "To buy or not to buy? The value of contradictory analyst signals," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 405-428, December.
  17. Nan Qin & Vijay Singal, 2022. "Equal-weighting and value-weighting: which one is better?," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 743-768, February.
  18. Fletcher, Jonathan, 2011. "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 375-385.
  19. Bilinski, Pawel & Liu, Weimin & Strong, Norman, 2012. "Does liquidity risk explain low firm performance following seasoned equity offerings?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2770-2785.
  20. Daniel Chai & Robert Faff & Philip Gharghori, 2013. "Liquidity in asset pricing: New Australian evidence using low-frequency data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 375-400, August.
  21. Pätäri, Eero & Ahmed, Sheraz & Luukka, Pasi & Yeomans, Julian Scott, 2023. "Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
  22. Justine Pedrono, 2022. "The Currency Channel of the Global Bank Leverage Cycle," Working papers 870, Banque de France.
  23. Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2009. "The Value of Alpha Forecasts in Portfolio Construction," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 97-121, June.
  24. Fletcher, Jonathan, 2018. "An empirical examination of the diversification benefits of U.K. international equity closed-end funds," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 23-34.
  25. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
  26. Kwaku Opong & Antonios Siganos, 2013. "Compositional changes in the FTSE100 index from the standpoint of an arbitrageur," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 120-132, April.
  27. Gray, Philip & Liao, Iris Siyu & Strydom, Maria, 2018. "The profitability of trading NOA and accruals: One effect or two?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 211-224.
  28. Jonathan Fletcher & Patricia Ntozi-Obwale, 2009. "Exploring the Conditional Performance of U.K. Unit Trusts," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 21-44, August.
  29. Justine Pedrono, 2015. "Banking Leverage Procyclicality: A Theoretical Model Introducing Currency Diversification," Working Papers halshs-01203758, HAL.
  30. Fletcher, Jonathan, 2018. "Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 114-129.
  31. Zhang, Xinyue & Bissoondoyal-Bheenick, Emawtee & Zhong, Angel, 2023. "Investor sentiment and stock market anomalies in Australia," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 284-303.
  32. Fletcher, Jonathan & Basu, Devraj, 2016. "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 109-118.
  33. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015, January-A.
  34. Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne, 2012. "To buy or not to buy? The value of contradictory analyst signals," Cologne Graduate School Working Paper Series 03-03, Cologne Graduate School in Management, Economics and Social Sciences.
  35. Chau Duong & Gioia Pescetto & Daniel Santamaria, 2014. "How value-glamour investors use financial information: UK evidence of investors' confirmation bias," The European Journal of Finance, Taylor & Francis Journals, vol. 20(6), pages 524-549, June.
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