[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Market maturity and mispricing. (2016). Jacobs, Heiko.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:122:y:2016:i:2:p:270-287.

Full description at Econpapers || Download paper

Cited: 55

Citations received by this document

Cites: 82

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Changes in shares outstanding and country stock returns around the world. (2024). Zaremba, Adam ; Chiah, Mardy ; Long, Huaigang ; Umar, Zaghum.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001518.

    Full description at Econpapers || Download paper

  2. Why isnt composite equity issuance favored by the stock market? A risk-based explanation for the anomaly. (2024). Yu, Huaibing.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002205.

    Full description at Econpapers || Download paper

  3. Cryptocurrency anomalies and economic constraints. (2024). Zaremba, Adam ; Liedtke, Gerrit ; Fieberg, Christian.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001509.

    Full description at Econpapers || Download paper

  4. Stock market anomalies and machine learning across the globe. (2023). Mueller, Sebastian ; Kaiser, Georg Sebastian ; Azevedo, Vitor.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00318-z.

    Full description at Econpapers || Download paper

  5. Prospect theory and mutual fund flows: Evidence from China. (2023). Han, Jing ; Wang, Cheng.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001336.

    Full description at Econpapers || Download paper

  6. The impact of the Russia-Ukraine crisis on the stock market: Evidence from Australia. (2023). Hasan, Mostafa Monzur ; Ahmed, Shaker ; Kamal, Md Rajib.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23001026.

    Full description at Econpapers || Download paper

  7. Overnight versus intraday returns of anomalies in China. (2023). Chou, Robin K ; Chang, Hui-Wen ; Lin, Chaonan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000732.

    Full description at Econpapers || Download paper

  8. Enhanced momentum strategies. (2023). Windmuller, Steffen ; Hanauer, Matthias X.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622002928.

    Full description at Econpapers || Download paper

  9. Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.

    Full description at Econpapers || Download paper

  10. Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

    Full description at Econpapers || Download paper

  11. Machine learning goes global: Cross-sectional return predictability in international stock markets. (2023). Zaremba, Adam ; Metko, Daniel ; Fieberg, Christian ; Cakici, Nusret.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001318.

    Full description at Econpapers || Download paper

  12. Probability distortions, collectivism, and international stock prices. (2023). Sejdiu, Vulnet ; Hollstein, Fabian.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000503.

    Full description at Econpapers || Download paper

  13. Where Is the Carbon Premium? Global Performance of Green and Brown Stocks. (2023). Wilms, Ole ; Rudebusch, Glenn D ; Huber, Daniel ; Bauer, Michael D.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_10246.

    Full description at Econpapers || Download paper

  14. The trend premium around the world: Evidence from the stock market. (2023). Zhang, Cheng ; Liu, Pengfei ; Lin, Hai.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:23:y:2023:i:2:p:317-358.

    Full description at Econpapers || Download paper

  15. Bounded rationality, asymmetric information and mispricing in financial markets. (2022). Diao, Xundi ; Gong, Qingbin.
    In: Economic Theory.
    RePEc:spr:joecth:v:74:y:2022:i:1:d:10.1007_s00199-021-01366-5.

    Full description at Econpapers || Download paper

  16. The Moderating Effect of Market-Specific Factors on the Return Predictability of Investor Sentiment. (2022). Suzuki, Yoshihisa ; Vuong, Ngoc Bao.
    In: SAGE Open.
    RePEc:sae:sagope:v:12:y:2022:i:3:p:21582440221114322.

    Full description at Econpapers || Download paper

  17. Customer satisfaction and international business: A multidisciplinary review and avenues for research. (2022). Fornell, Claes ; Sharma, Udit ; Morgeson, Forrest V ; Tomas, G.
    In: Journal of International Business Studies.
    RePEc:pal:jintbs:v:53:y:2022:i:8:d:10.1057_s41267-022-00546-2.

    Full description at Econpapers || Download paper

  18. Overnight returns, daytime reversals, and future stock returns: Is China different?. (2022). Man, Yimei ; Chiah, Mardy ; Cheema, Muhammad A.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001044.

    Full description at Econpapers || Download paper

  19. Salience theory and the cross-section of stock returns: International and further evidence. (2022). Zaremba, Adam ; Cakici, Nusret.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:146:y:2022:i:2:p:689-725.

    Full description at Econpapers || Download paper

  20. Does market openness mitigate the impact of culture? An examination of international momentum profits and post-earnings-announcement drift. (2022). Holmes, Phil ; Guo, Jiaqi.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001712.

    Full description at Econpapers || Download paper

  21. Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns. (2022). Bouri, Elie ; Zhou, Wenyu ; Zaremba, Adam ; Long, Huaigang.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:61:y:2022:i:c:s1386418122000295.

    Full description at Econpapers || Download paper

  22. Boosting agnostic fundamental analysis: Using machine learning to identify mispricing in European stock markets. (2022). Hanauer, Matthias X ; Kononova, Marina ; Rapp, Marc Steffen.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001465.

    Full description at Econpapers || Download paper

  23. False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987). (2021). Zaremba, Adam ; Pham, Nga ; Bianchi, Robert J ; Cakici, Nusret.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001827.

    Full description at Econpapers || Download paper

  24. Global market inefficiencies. (2021). Bartram, Söhnke ; Grinblatt, Mark.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:139:y:2021:i:1:p:234-259.

    Full description at Econpapers || Download paper

  25. Liquidity and the cross-section of international stock returns. (2021). Zaremba, Adam ; Cakici, Nusret.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000819.

    Full description at Econpapers || Download paper

  26. Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns. (2021). Zaremba, Adam ; Cakici, Nusret.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000524.

    Full description at Econpapers || Download paper

  27. Stock liquidity and default risk around the world. (2021). Huang, Allen ; Liu, Benjamin ; Ali, Searat ; Duong, Huu Nhan ; Nadarajah, Sivathaasan.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:55:y:2021:i:c:s1386418120300665.

    Full description at Econpapers || Download paper

  28. Investor sentiment and stock returns: Global evidence. (2021). Duxbury, Darren ; Su, Chen ; Wang, Wenzhao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:63:y:2021:i:c:p:365-391.

    Full description at Econpapers || Download paper

  29. Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

    Full description at Econpapers || Download paper

  30. Distress risk anomaly and misvaluation. (2021). Panayides, Photis M ; Lambertides, Neophytos ; Andreou, Christoforos K.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:53:y:2021:i:5:s0890838920300925.

    Full description at Econpapers || Download paper

  31. Air pollution and behavioral biases: Evidence from stock market anomalies. (2021). Pham, Mia Hang ; Nguyen, Hung T.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303701.

    Full description at Econpapers || Download paper

  32. High-Frequency Trading and Price Informativeness. (2021). Gider, Jasmin ; Westheide, Christian.
    In: CRC TR 224 Discussion Paper Series.
    RePEc:bon:boncrc:crctr224_2021_257.

    Full description at Econpapers || Download paper

  33. Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?. (2020). Czapkiewicz, Anna ; Maydybura, Alina ; Karathanasopoulos, Andreas ; Zaremba, Adam ; Bagheri, Noushin.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x17305899.

    Full description at Econpapers || Download paper

  34. Anomalies across the globe: Once public, no longer existent?. (2020). Jacobs, Heiko ; Muller, Sebastian.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:135:y:2020:i:1:p:213-230.

    Full description at Econpapers || Download paper

  35. Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns. (2020). Maydybura, Alina ; Umutlu, Mehmet ; Zaremba, Adam.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:121:y:2020:i:c:s0378426620302284.

    Full description at Econpapers || Download paper

  36. Institutional investor sentiment, beta, and stock returns. (2020). Wang, Wenzhao.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318303684.

    Full description at Econpapers || Download paper

  37. Why cryptocurrency markets are inefficient: The impact of liquidity and volatility. (2020). Yoon, Seong-Min ; Kang, Sang Hoon ; Ko, Hee-Un ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300656.

    Full description at Econpapers || Download paper

  38. Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China. (2020). Yan, Cheng ; Wang, Guipu ; Zhang, Jinhua.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:90:y:2020:i:c:p:11-20.

    Full description at Econpapers || Download paper

  39. Maxing Out in China: Optimism or Attention?. (2020). Nartea, Gilbert ; Man, Yimei ; Cheema, Muhammad A.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:20:y:2020:i:4:p:961-971.

    Full description at Econpapers || Download paper

  40. High-frequency trading and price informativeness. (2019). Westheide, Christian ; Schmickler, Simon ; Gider, Jasmin.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:248.

    Full description at Econpapers || Download paper

  41. Tail risk and expected stock returns around the world. (2019). Chen, Lifang ; Zhu, Yanjian ; Long, Huaigang ; Jiang, Yuexiang.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:56:y:2019:i:c:p:162-178.

    Full description at Econpapers || Download paper

  42. Oil prices and stock market anomalies. (2019). Scrimgeour, Frank ; Cheema, Muhammad A.
    In: Energy Economics.
    RePEc:eee:eneeco:v:83:y:2019:i:c:p:578-587.

    Full description at Econpapers || Download paper

  43. The cross-section of emerging market stock returns. (2019). Lauterbach, Jochim G ; Hanauer, Matthias X.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:38:y:2019:i:c:p:265-286.

    Full description at Econpapers || Download paper

  44. The cross-section of returns in frontier equity markets: Integrated or segmented pricing?. (2019). Maydybura, Alina ; Zaremba, Adam.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:38:y:2019:i:c:p:219-238.

    Full description at Econpapers || Download paper

  45. Global Market Inefficiencies. (2019). Grinblatt, Mark ; Bartram, Sohnke M.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14232.

    Full description at Econpapers || Download paper

  46. Price-Based Investment Strategies. (2018). Shemer, Jacob Koby ; Zaremba, Adam.
    In: Springer Books.
    RePEc:spr:sprbok:978-3-319-91530-2.

    Full description at Econpapers || Download paper

  47. Exploiting uncertainty with market timing in corporate bond markets. (2018). Bekti, Demir ; Regele, Tobias .
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0063-6.

    Full description at Econpapers || Download paper

  48. Is there momentum in factor premia? Evidence from international equity markets. (2018). Zaremba, Adam ; Shemer, Jacob.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:46:y:2018:i:c:p:120-130.

    Full description at Econpapers || Download paper

  49. Do aggregate analyst recommendations predict market returns in international markets?. (2018). Marks, Joseph ; Yezegel, Ari.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:59:y:2018:i:c:p:234-254.

    Full description at Econpapers || Download paper

  50. Anomalies Abroad: Beyond Data Mining. (2017). Yuan, Yu ; Stambaugh, Robert ; Lu, Xiaomeng .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23809.

    Full description at Econpapers || Download paper

  51. Digesting anomalies in emerging European markets: A comparison of factor pricing models. (2017). Zaremba, Adam ; Czapkiewicz, Anna.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:31:y:2017:i:c:p:1-15.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Akbas, F. ; Armstrong, W.J. ; Sorescu, S. ; Subrahmanyam, A. Smart money, dumb money, and capital market anomalies. 2015 Journal of Financial Economics. 118 355-382

  2. Baker, M. ; Stein, J. Market liquidity as a sentiment indicator. 2004 Journal of Financial Markets. 7 271-299

  3. Baker, M. ; Wurgler, J. Investor sentiment and the cross-section of stock returns. 2006 Journal of Finance. 61 1645-1680

  4. Barber, B.M. ; George, E.D. ; Lehavy, R. ; Trueman, B. The earnings announcement premium around the globe. 2013 Journal of Financial Economics. 108 118-138

  5. Barberis, N. ; Thaler, R. A survey of behavioral finance. 2003 En : Harris, G.M. ; Stulz, M.R. Constantinides, Handbook of the Economics of Finance. Elsevier Science B.V.: Amsterdam

  6. Bekaert, G. ; Harvey, C.R. Research in emerging markets finance: looking to the future. 2002 Emerging Markets Review. 3 429-448

  7. Bernard, V.L. ; Thomas, J.K. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. 1990 Journal of Accounting and Economics. 13 305-340

  8. Bhattacharya, U. ; Daouk, H. ; Jorgenson, B. ; Kehr, C.H. When an event is not an event: the curious case of an emerging market. 2000 Journal of Financial Economics. 55 69-101

  9. Bris, A. ; Goetzmann, W.N. ; Zhu, N. Efficiency and the bear: short sales and markets around the world. 2007 Journal of Finance. 62 1029-1079

  10. Busse, J.A. ; Goyal, A. ; Wahal, S. Investing in a global world. 2014 Review of Finance. 18 561-590

  11. Campbell, J.Y. ; Hilscher, J. ; Szilagyi, J. In search of distress risk. 2008 Journal of Finance. 63 2899-2939

  12. Chan, K. ; Hameed, A. Stock price synchronicity and analyst coverage in emerging markets. 2006 Journal of Financial Economics. 80 115-147

  13. Chen, L. ; Novy-Marx, R. ; Zhang, L. An alternative three-factor model. Unpublished working paper. 2011 Washington University, University of Rochester, Ohio State University:
    Paper not yet in RePEc: Add citation now
  14. Chui, A.C. ; Titman, S. ; Wei, K.J. Individualism and momentum around the world. 2010 Journal of Finance. 65 361-392

  15. Cooper, M.J. ; Gulen, H. ; Schill, M.J. Asset growth and the cross-section of stock returns. 2008 Journal of Finance. 63 1609-1651

  16. Daniel, K. ; Hirshleifer, D. ; Subrahmanyam, A. Investor psychology and security market under- and overreactions. 1998 Journal of Finance. 53 1839-1885

  17. Daniel, K. ; Titman, S. Market reactions to tangible and intangible information. 2006 Journal of Finance. 61 1605-1643

  18. DellaVigna, S. ; Pollet, J.M. Investor inattention and Friday earnings announcements. 2009 Journal of Finance. 64 709-749

  19. DeVault, L.A. ; Sias, R.W. ; Starks, L.T. Who are the sentiment traders? Evidence from the cross-section of stock returns and demand. Unpublished working paper. 2015 University of Arizona, University of Texas at Austin:
    Paper not yet in RePEc: Add citation now
  20. Diether, K.B. ; Malloy, C.J. ; Scherbina, A. Differences of opinion and the cross section of stock returns. 2002 Journal of Finance. 57 2113-2141

  21. Dyck, A. ; Lins, K.V. ; Pomorski, L. Does active management pay? New international evidence. 2013 Review of Asset Pricing Studies. 3 200-228

  22. Edelen, R. ; Ince, O. ; Kadlec, G.B. Institutional investors and stock return anomalies. 2016 Journal of Financial Economics. 119 472-488

  23. Eisdorfer, A. ; Goyal, A. ; Zhdanov, A. Distress anomaly and shareholder risk: international evidence. Unpublished working paper. 2014 University of Connecticut, University of Lausanne, Pennsylvania State University:
    Paper not yet in RePEc: Add citation now
  24. Eling, M. ; Faust, R. The performance of hedge funds and mutual funds in emerging markets. 2010 Journal of Banking and Finance. 34 1993-2009

  25. Engelberg, J. ; McLean, R.D. ; Pontiff, J. Anomalies and news. Unpublished working paper. 2015 University of California at San Diego, University of Alberta, Boston College:
    Paper not yet in RePEc: Add citation now
  26. Fama, E.F. Efficient capital markets. 1991 Journal of Finance. 46 1575-1617

  27. Fama, E.F. ; French, K. Size, value, and momentum in international stock returns. 2012 Journal of Financial Economics. 105 457-472

  28. Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 Journal of Financial Economics. 33 3-56

  29. Fama, E.F. ; French, K.R. Profitability, investment, and average returns. 2006 Journal of Financial Economics. 82 491-518

  30. Ferreira, M.A. ; Keswani, A. ; Miguel, A. ; Ramos, S.B. The determinants of mutual fund performance: a cross-country study. 2013 Review of Finance. 17 483-525

  31. Fidelity, 2014. A case for active investment in emerging markets. Whitepaper, November 2014.
    Paper not yet in RePEc: Add citation now
  32. Frazzini, A. ; Lamont, O.A. The earnings announcement premium and trading volume. 2007 :

  33. Green, J. ; Hand, J.R. ; Zhang, X.F. The remarkable multidimensionality in the cross-section of expected U.S. stock returns. Unpublished working paper. 2014 Pennsylvania State University, University of North Carolina, Yale University:
    Paper not yet in RePEc: Add citation now
  34. Green, J. ; Hand, J.R. ; Zhang, X.F. The supraview of return predictive signals. 2013 Review of Accounting Studies. 18 692-730
    Paper not yet in RePEc: Add citation now
  35. Griffin, J.M. Are the Fama and French factors global or country specific?. 2002 Review of Financial Studies. 15 783-803

  36. Griffin, J.M. ; Hirschey, N.H. ; Kelly, P.J. How important is the financial media in global markets?. 2011 Review of Financial Studies. 24 3941-3992

  37. Griffin, J.M. ; Kelly, P.J. ; Nardari, F. Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. 2010 Review of Financial Studies. 23 3225-3277

  38. Griffin, J.M. ; Nardari, F. ; Stulz, R.M. Do investors trade more when stocks have performed well? Evidence from 46 countries. 2007 Review of Financial Studies. 20 905-951

  39. Harvey, C.R. ; Liu, Y. ; Zhu, H. ...and the cross-section of expected returns. 2016 Review of Financial Studies. 29 5-68

  40. Hirshleifer, D. ; Hou, K. ; Teoh, S.H. ; Zhang, Y. Do investors overvalue firms with bloated balance sheets?. 2004 Journal of Accounting and Economics. 38 297-331

  41. Hou, K. ; Karolyi, G.A. ; Kho, B.-C. What factors drive global stock returns?. 2011 Review of Financial Studies. 24 2527-2574

  42. Hou, K. ; Peng, L. ; Xiong, W. Is R2 a measure of market inefficiency?. 2013 Ohio State University, City University of New York, Princeton University:
    Paper not yet in RePEc: Add citation now
  43. Hou, K. ; Xue, C. ; Zhang, L. Digesting anomalies: an investment approach. 2015 Review of Financial Studies. 28 650-705

  44. Huij, J. ; Post, T. On the performance of emerging market equity mutual funds. 2011 Emerging Markets Review. 12 238-249

  45. Hung, M. ; Li, X. ; Wang, S. Post-earnings-announcement drift in global markets: evidence from an information shock. 2015 Review of Financial Studies. 28 1242-1283

  46. Ince, O.S. ; Porter, R.B. Individual equity return data from Thomson Datastream: handle with care!. 2006 Journal of Financial Research. 29 463-479

  47. Jacobs, H. What explains the dynamics of 100 anomalies?. 2015 Journal of Banking and Finance. 57 65-85

  48. Jegadeesh, N. ; Titman, S. Returns to buying winners and selling losers: implications for stock market efficiency. 1993 Journal of Finance. 48 65-91

  49. Kang, X., Nielsen, F., Fachinotti, G., 2011. Some like it hot. MSCI Barra Research Paper No. 2011-03.
    Paper not yet in RePEc: Add citation now
  50. Kelly, P.J. Information efficiency and firm-specific return variation. 2014 Quarterly Journal of Finance. 4 1450018-

  51. La Porta, R. ; Lakonishok, J. ; Shleifer, A. ; Vishny, R.W. Good news for value stocks: further evidence on market efficiency. 1997 Journal of Finance. 52 859-874

  52. Lakonishok, J. ; Shleifer, A. ; Vishny, R.W. Contrarian investment, extrapolation, and risk. 1994 Journal of Finance. 49 1541-1578

  53. Lesmond, D.A. ; Ogden, J.P. ; Trzcinka, C.A. A new estimate of transaction costs. 1999 Review of Financial Studies. 12 1113-1141

  54. Li, B. ; Rajgopal, S. ; Venkatachalam, M. R2 and idiosyncratic risk are not interchangeable. 2014 Accounting Review. 89 2261-2295
    Paper not yet in RePEc: Add citation now
  55. Loughran, T. ; Ritter, J.R. The new issues puzzle. 1995 Journal of Finance. 50 23-51

  56. M&G Investments, 2015. Emerging markets in focus. Global Emerging Markets Fund brochure.
    Paper not yet in RePEc: Add citation now
  57. McLean, R.D. ; Pontiff, J. Does academic research destroy stock return predictability?. 2016 Journal of Finance. 71 5-32

  58. McLean, R.D. ; Pontiff, J. ; Watanabe, A. Share issuance and cross-sectional returns: international evidence. 2009 Journal of Financial Economics. 94 1-17

  59. Morck, R. ; Yeung, B. ; Yu, W. The information content of stock markets: why do emerging markets have synchronous stock price movements?. 2000 Journal of Financial Economics. 58 215-260
    Paper not yet in RePEc: Add citation now
  60. MSCI, 2014. MSCI market classification framework June 2014.
    Paper not yet in RePEc: Add citation now
  61. Newey, W.K. ; West, K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708

  62. Novy-Marx, R. The other side of value: the gross profitability premium. 2013 Journal of Financial Economics. 108 1-28

  63. Ohlson, J.A. Financial ratios and the probabilistic prediction of bankruptcy. 1980 Journal of Accounting Research. 18 109-131

  64. Petersen, M.A. Estimating standard errors in finance panel data sets: comparing approaches. 2009 Review of Financial Studies. 22 435-480

  65. Pontiff, J. Costly arbitrage and the myth of idiosyncratic risk. 2006 Journal of Accounting and Economics. 42 35-52

  66. Richardson, S. ; Tuna, I. ; Wysocki, P. Accounting anomalies and fundamental analysis: a review of recent research advances. 2010 Journal of Accounting and Economics. 50 410-454

  67. Ritter, J.R. The long-run performance of initial public offerings. 1991 Journal of Finance. 46 3-27

  68. Rouwenhorst, K.G. International momentum strategies. 1998 Journal of Finance. 53 267-284

  69. Rouwenhorst, K.G. Local return factors and turnover in emerging stock markets. 1999 Journal of Finance. 54 1439-1464

  70. Schwert, G.W. Anomalies and market efficiency. 2003 En : Harris, G.M. ; Stulz, M.R. Constantinides, Handbook of the Economics of Finance. Elsevier Science B.V.: Amsterdam

  71. Shiller, R.J. Do stock prices move too much to be justified by subsequent changes in dividends?. 1981 American Economic Review. 71 421-436

  72. Sloan, R.G. Do stock prices fully reflect information in accruals and cash flows about future earnings?. 1996 The Accounting Review. 71 289-315
    Paper not yet in RePEc: Add citation now
  73. Stambaugh, R.F. ; Yu, J. ; Yuan, Y. Arbitrage asymmetry and the idiosyncratic volatility puzzle. 2015 Journal of Finance. 70 1903-1948

  74. Stambaugh, R.F. ; Yu, J. ; Yuan, Y. The long of it: odds that investor sentiment spuriously predicts anomaly returns. 2014 Journal of Financial Economics. 114 613-619

  75. Stambaugh, R.F. ; Yu, J. ; Yuan, Y. The short of it: investor sentiment and anomalies. 2012 Journal of Financial Economics. 104 288-302

  76. Subrahmanyam, A. The cross-section of expected stock returns: what have we learnt from the past twenty-five years of research?. 2010 European Financial Management. 16 27-42

  77. Sun, L. ; Wei, K.C.J. ; Xie, F. On the explanations for the gross profitability effect. 2015 Shanghai University, Hong Kong University, University of Texas:
    Paper not yet in RePEc: Add citation now
  78. Titman, S. ; Wei, K.C.J. ; Xie, F. Market development and the asset growth effect: international evidence. 2013 Journal of Financial and Quantitative Analysis. 48 1405-1432

  79. Titman, S. ; Wei, K.J. ; Xie, F. Capital investments and stock returns. 2004 Journal of Financial and Quantitative Analysis. 39 677-700

  80. Watanabe, A. ; Xu, Y. ; Yao, T. ; Yu, T. The asset growth effect: insights from international equity markets. 2013 Journal of Financial Economics. 108 529-563

  81. White, H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. 1980 Econometrica. 48 817-838

  82. Xing, Y. Interpreting the value effect through the q-theory: an empirical investigation. 2008 Review of Financial Studies. 21 1767-1795

Cocites

Documents in RePEc which have cited the same bibliography

  1. Nonlinear limits to arbitrage. (2022). faff, robert ; Shin, Yongcheol ; Cai, Charlie X ; Chen, Jingzhi.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:6:p:1084-1113.

    Full description at Econpapers || Download paper

  2. Country-Based Investing with Exchange Rate and Reserve Currency. (2022). Galvani, Valentina.
    In: Working Papers.
    RePEc:ris:albaec:2022_005.

    Full description at Econpapers || Download paper

  3. Efficiency of the Stock Markets after the 2008 Financial Crisis: Evidence from the Four Asian Dragons. (2022). Po, KA.
    In: Eurasian Journal of Business and Management.
    RePEc:ejn:ejbmjr:v:10:y:2022:i:2:p:101-115.

    Full description at Econpapers || Download paper

  4. Option measures and stock characteristics. (2022). Sheng, Hainan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001392.

    Full description at Econpapers || Download paper

  5. Kidnapped mutual funds: Irrational preference of naive investors and fund incentive distortion. (2022). Huang, Junkai ; Guo, Songlin ; Chang, Xiaochen.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002356.

    Full description at Econpapers || Download paper

  6. Mutual fund performance persistence: Factor models and portfolio size. (2022). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001016.

    Full description at Econpapers || Download paper

  7. Anomalies and the Expected Market Return. (2022). Rapach, David E ; Li, Yan ; Dong, XI ; Zhou, Guofu.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:77:y:2022:i:1:p:639-681.

    Full description at Econpapers || Download paper

  8. Disagreement between hedge funds and other institutional investors and the cross?section of expected stock returns. (2022). Sonaer, Gokhan ; Celiker, Umut ; Caglayan, Mustafa O.
    In: The Financial Review.
    RePEc:bla:finrev:v:57:y:2022:i:3:p:663-689.

    Full description at Econpapers || Download paper

  9. A reexamination of the tendering profit anomaly. (2021). Yildirim, Sinan ; Zhang, Hongxian ; Kadapakkam, Palani-Rajan.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:56:y:2021:i:4:d:10.1007_s11156-020-00935-4.

    Full description at Econpapers || Download paper

  10. Noise traders incarnate: Describing a realistic noise trading process. (2021). Schmidt, Daniel ; Peress, Joel .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:54:y:2021:i:c:s1386418120300872.

    Full description at Econpapers || Download paper

  11. Investor sentiment in the equity market and investments in corporate-bond funds. (2021). Islam, Mohd Anisul.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002246.

    Full description at Econpapers || Download paper

  12. Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution. (2021). Rakowski, David ; Yamani, Ehab.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:64:y:2021:i:c:p:247-271.

    Full description at Econpapers || Download paper

  13. Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

    Full description at Econpapers || Download paper

  14. Institutional trading in firms rumored to be takeover targets. (2021). Khadivar, Hamed ; Davis, Frederick ; Walker, Thomas J.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302418.

    Full description at Econpapers || Download paper

  15. Anomalies enhanced: A portfolio rebalancing approach. (2021). Zhou, Guofu ; Huang, Dayong ; Han, Yufeng.
    In: Financial Management.
    RePEc:bla:finmgt:v:50:y:2021:i:2:p:371-424.

    Full description at Econpapers || Download paper

  16. Economic policy uncertainty and momentum. (2021). Wu, Yangru ; Sun, Minxing ; Gu, Ming ; Xu, Weike.
    In: Financial Management.
    RePEc:bla:finmgt:v:50:y:2021:i:1:p:237-259.

    Full description at Econpapers || Download paper

  17. A Review of Main Strands on the Flow-Performance Relationship of Mutual Funds. (2021). Filip, Dariusz.
    In: Athens Journal of Business & Economics.
    RePEc:ate:journl:ajbev7i3-2.

    Full description at Econpapers || Download paper

  18. Why do mutual funds hold lottery stocks?. (2020). Jiang, Lei ; Agarwal, Vikas ; Wen, Quan.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:2008.

    Full description at Econpapers || Download paper

  19. Technical analysis: the psychology of the market of dry bulk freight rates. (2020). Laverne, Taliese ; Galvao, Cassia Bomer ; Clott, Christopher ; Mileski, Joan.
    In: Journal of Shipping and Trade.
    RePEc:spr:josatr:v:5:y:2020:i:1:d:10.1186_s41072-020-00079-7.

    Full description at Econpapers || Download paper

  20. Factor Timing. (2020). Kozak, Serhiy ; Santosh, Shrihari ; Haddad, Valentin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26708.

    Full description at Econpapers || Download paper

  21. Mutual Funds and Mispriced Stocks. (2020). Hameed, Allaudeen ; Cheng, SI ; Avramov, Doron.
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:6:p:2372-2395.

    Full description at Econpapers || Download paper

  22. Style and Skill: Hedge Funds, Mutual Funds, and Momentum. (2020). Jostova, Gergana ; Grinblatt, Mark ; Philipov, Alexander ; Petrasek, Lubomir.
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:12:i:2020:p:5505-553.

    Full description at Econpapers || Download paper

  23. Window dressing in equity mutual funds. (2020). Kuo, Ming-Sin ; Lien, Donald ; Hung, Pi-Hsia.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:78:y:2020:i:c:p:338-354.

    Full description at Econpapers || Download paper

  24. Follow the smart money: Factor forecasting in China. (2020). Qiao, Xiao ; Chi, Yeguang ; Chen, Qinhua.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x1930753x.

    Full description at Econpapers || Download paper

  25. Time-varying demand for lottery: Speculation ahead of earnings announcements. (2020). Zhao, Shen ; Yu, Jianfeng ; Wang, Huijun ; Liu, Bibo .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:138:y:2020:i:3:p:789-817.

    Full description at Econpapers || Download paper

  26. Sophisticated investors and market efficiency: Evidence from a natural experiment. (2020). Kelly, Bryan ; Chen, Yong ; Wu, Wei.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:138:y:2020:i:2:p:316-341.

    Full description at Econpapers || Download paper

  27. Security analysts and capital market anomalies. (2020). Li, Frank Weikai ; Guo, LI ; John, K C.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:137:y:2020:i:1:p:204-230.

    Full description at Econpapers || Download paper

  28. Disclosure processing costs, investors’ information choice, and equity market outcomes: A review. (2020). Marinovic, Ivan ; Dehaan, ED ; Blankespoor, Elizabeth.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:70:y:2020:i:2:s016541012030046x.

    Full description at Econpapers || Download paper

  29. Do actively managed mutual funds exploit stock market mispricing?. (2020). Lee, Changjun ; Kang, Jangkoo ; Jeon, Hyunglae .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300863.

    Full description at Econpapers || Download paper

  30. Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain. (2020). peress, joel ; Kang, Namho ; Dong, XI.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:15235.

    Full description at Econpapers || Download paper

  31. WHATS IN A NAME? A CAUTIONARY TALE OF PROFITABILITY ANOMALIES AND LIMITS TO ARBITRAGE. (2020). DeLisle, Jared ; Zaynutdinova, Gulnara R ; Yuksel, Zafer H.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:43:y:2020:i:2:p:305-344.

    Full description at Econpapers || Download paper

  32. Quality investing in Asian stock markets. (2020). Shen, Jianfu ; Allen, Chi Cheong .
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:60:y:2020:i:3:p:3033-3064.

    Full description at Econpapers || Download paper

  33. Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies. (2020). Christiansen, Charlotte ; Xu, Yue ; Xing, Ran.
    In: CREATES Research Papers.
    RePEc:aah:create:2020-14.

    Full description at Econpapers || Download paper

  34. Skill and Fees in Active Management. (2019). Stambaugh, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26027.

    Full description at Econpapers || Download paper

  35. When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?. (2019). Topaloglu, Selim ; Moneta, Fabio ; Calluzzo, Paul.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:10:p:4555-4574.

    Full description at Econpapers || Download paper

  36. Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2019). Rottmann, Horst ; Auer, Benjamin R.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:103:y:2019:i:c:p:61-79.

    Full description at Econpapers || Download paper

  37. Evaluating fund capacity: issues and methods. (2019). O'Neill, Michael J ; Warren, Geoffrey J.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:59:y:2019:i:s1:p:773-800.

    Full description at Econpapers || Download paper

  38. Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2018). Rottmann, Horst ; Auer, Benjamin R.
    In: Weidener Diskussionspapiere.
    RePEc:zbw:hawdps:64.

    Full description at Econpapers || Download paper

  39. Are equity market anomalies disappearing? Evidence from the U.K.. (2018). cotter, john ; McGeever, Niall.
    In: Working Papers.
    RePEc:ucd:wpaper:201804.

    Full description at Econpapers || Download paper

  40. Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment. (2018). Chen, Yong ; Wu, Wei ; Kelly, Bryan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:24552.

    Full description at Econpapers || Download paper

  41. Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7204.

    Full description at Econpapers || Download paper

  42. Predicting Relative Returns. (2017). Haddad, Valentin ; Santosh, Shrihari ; Kozak, Serhiy.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23886.

    Full description at Econpapers || Download paper

  43. Information percolation, momentum and reversal. (2017). Andrei, Daniel ; Cujean, Julien.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:123:y:2017:i:3:p:617-645.

    Full description at Econpapers || Download paper

  44. Hedge fund politics and portfolios. (2017). Devault, Luke ; Sias, Richard .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:75:y:2017:i:c:p:80-97.

    Full description at Econpapers || Download paper

  45. What drives the “Smart-Money” effect? Evidence from investors’ money flow to mutual fund classes. (2017). Yuksel, Zafer H ; Jiang, George J.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:40:y:2017:i:c:p:39-58.

    Full description at Econpapers || Download paper

  46. Noise Traders Incarnate: Describing a Realistic Noise Trading Process. (2017). peress, joel ; Schmidt, Daniel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12434.

    Full description at Econpapers || Download paper

  47. Do academic investment insights benefit society?. (2016). Lai, Wan-Ni .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:38:y:2016:i:c:p:172-176.

    Full description at Econpapers || Download paper

  48. Market maturity and mispricing. (2016). Jacobs, Heiko.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:122:y:2016:i:2:p:270-287.

    Full description at Econpapers || Download paper

  49. SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles. (2016). Bialkowski, Jedrzej ; Starks, Laura T.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:16/11.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-29 01:27:59 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.