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Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts. (2010). Timmermann, Allan ; Patton, Andrew.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:98:y:2010:i:3:p:605-625.

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  2. The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure. (2023). Skiadopoulos, George ; Hiraki, Kazuhiro.
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  3. Fund flows and performance: New evidence from retail and institutional SRI mutual funds. (2023). Zhao, Yuan ; Klinkowska, Olga.
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  4. Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets. (2023). Yeomans, Julian Scott ; Luukka, Pasi ; Ahmed, Sheraz ; Patari, Eero.
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  5. Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam.
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  7. Risk factor extraction with quantile regression method. (2022). Sun, Edward W ; Lai, Wan-Ni.
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  8. The response to dynamic incentives in insurance contracts with a deductible: Evidence from a differences-in-regression-discontinuities design. (2022). Klein, Tobias ; Upadhyay, Suraj ; Salm, Martin.
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  9. Have risk premia vanished?. (2022). Timmermann, Allan ; Smith, Simon C.
    In: Journal of Financial Economics.
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  10. Stocks for the long run? Evidence from a broad sample of developed markets. (2022). Odoherty, Michael S ; Cederburg, Scott ; Anarkulova, Aizhan.
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  11. The Shift from Active to Passive and its Effect on Intraday Stock Dynamics. (2022). Steliaros, Michael ; de Rossi, Giuliano.
    In: Journal of Banking & Finance.
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  12. Investor attention, information acquisition, and value premium: A mispricing perspective. (2022). Oriani, Raffaele ; Ahmad, Fawad.
    In: International Review of Financial Analysis.
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  13. Risk in Network Economies. (2022). Sellemi, Victor.
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  14. Comonotonicity and low volatility effect. (2021). Sun, Edward ; Chen, Yi-Ting ; Lai, Wan-Ni.
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  15. Index option returns and generalized entropy bounds. (2021). Liu, Yan.
    In: Journal of Financial Economics.
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  16. Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J.
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  17. Predicting stock returns with implied cost of capital: A partial least squares approach. (2021). Peng, Xiaowen ; Huang, Ronghong ; Cannavan, Damien ; Hoang, Khoa.
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  18. Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets. (2021). Zaremba, Adam ; Bilgin, Mehmet ; Szczygielski, Jan J ; Mercik, Aleksander ; Long, Huaigang.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002349.

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  19. The alpha momentum effect in commodity markets. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szczygielski, Jan Jakub ; Zaremba, Adam.
    In: Energy Economics.
    RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319301902.

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  20. Herding for profits: Market breadth and the cross-section of global equity returns. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szyszka, Adam ; Zaremba, Adam.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:97:y:2021:i:c:p:348-364.

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  21. Institutional Investors and Granularity in Equity Markets. (2021). Raymond, Steve ; Liu, Hanwei ; Ghysels, Eric.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:15654.

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  22. Currency Anomalies. (2021). Bartram, Söhnke ; Garratt, Anthony ; Djuranovik, Leslie .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:15653.

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  23. The Perception of Dependence, Investment Decisions, and Stock Prices. (2021). Weber, Martin ; Ungeheuer, Michael.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:76:y:2021:i:2:p:797-844.

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  24. Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications. (2020). Ungeheuer, Michael ; Ruenzi, Stefan ; Weigert, Florian.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:2001.

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  25. Characteristic-Sorted Portfolios: Estimation and Inference. (2020). Crump, Richard ; Cattaneo, Matias ; Schaumburg, Ernst ; Farrell, Max H.
    In: The Review of Economics and Statistics.
    RePEc:tpr:restat:v:102:y:2020:i:3:p:531-551.

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  26. The Response to Dynamic Incentives in Insurance Contracts with a Deductible: Evidence from a Differences-in-Regression-Discontinuities Design. (2020). Salm, Martin ; Upadhyay, Suraj ; Klein, Tobias J.
    In: IZA Discussion Papers.
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  27. An Adaptive Test of Stochastic Monotonicity. (2020). Kim, Dongwoo ; Wilhelm, Daniel ; Chetverikov, Denis.
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    RePEc:ifs:cemmap:17/20.

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

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  29. Return dispersion and fund performance: Australia – The land of opportunity?. (2020). Warren, Geoffrey J ; von Reibnitz, Anna ; Cao, Ying.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19304822.

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  30. Asset pricing: A tale of night and day. (2020). Rosch, Dominik ; Livdan, Dmitry ; Hendershott, Terrence.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:138:y:2020:i:3:p:635-662.

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  31. What you see is not what you get: The costs of trading market anomalies. (2020). Weller, Brian M ; Patton, Andrew J.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:137:y:2020:i:2:p:515-549.

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  32. Time-varying inflation risk and stock returns. (2020). Duarte, Fernando ; Szymanowska, Marta ; De Roon, Frans ; Boons, Martijn.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:136:y:2020:i:2:p:444-470.

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  33. Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications. (2020). Ruenzi, Stefan ; Weigert, Florian ; Ungeheuer, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300765.

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  34. The long-run reversal in the long run: Insights from two centuries of international equity returns. (2020). Zaremba, Adam ; Raza, Muhammad Wajid ; Kizys, Renatas.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:55:y:2020:i:c:p:177-199.

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  35. Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481.

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  36. On the cross-sectional relation between exchange rates and future fundamentals. (2020). Fatnassi, Ibrahim ; Hammami, Yacine ; Kharrat, Sabrine.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:89:y:2020:i:c:p:484-501.

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  37. Ranking tail risk across international stock markets. (2020). Lai, Wan-Ni ; Groslambert, Bertrand.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-20-00120.

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  38. The Response to Dynamic Incentives in Insurance Contracts with a Deductible: Evidence from a Differences-in-Regression-Discontinuities Design. (2020). Klein, Tobias ; Upadhyay, Suraj ; Salm, Martin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14552.

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  39. Are Characteristics Covariances or Characteristics?. (2020). Fieberg, Christian ; Hornuf, Lars.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8377.

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  40. Option‐implied betas and the cross section of stock returns. (2019). Harris, Richard ; Qiao, Fang ; Li, Xuguang.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:1:p:94-108.

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  41. Frequentist size of Bayesian inequality tests. (2019). Kaplan, David ; Zhuo, Longhao.
    In: Working Papers.
    RePEc:umc:wpaper:1802.

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  42. An adaptive test of stochastic monotonicity. (2019). Kim, Dongwoo ; Wilhelm, Daniel ; Chetverikov, Denis.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:49/19.

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  43. The Cross Section of Country Equity Returns: A Review of Empirical Literature. (2019). Zaremba, Adam.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:165-:d:281162.

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  44. Risk premia in Chinese commodity markets. (2019). Molyboga, Marat ; Jiang, Cheng ; He, Chaohua .
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:15:y:2019:i:c:5.

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  45. International tail risk and World Fear. (2019). Prokopczuk, Marcel ; Benno, Duc Binh ; Hollstein, Fabian ; Simen, Chardin Wese.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:93:y:2019:i:c:p:244-259.

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  46. Short-term momentum (almost) everywhere. (2019). Zaremba, Adam ; Karathanasopoulos, Andreas ; Long, Huaigang.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119300976.

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  47. Price range and the cross-section of expected country and industry returns. (2019). Zaremba, Adam.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:64:y:2019:i:c:p:174-189.

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  48. Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108.

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  49. Alpha momentum and alpha reversal in country and industry equity indexes. (2019). Karathanasopoulos, Andreas ; Umutlu, Mehmet ; Zaremba, Adam.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:53:y:2019:i:c:p:144-161.

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  50. Consumption growth predictability and asset prices. (2019). Min, Byoung-Kyu ; Lee, Changjun ; Roh, Tai-Yong .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:51:y:2019:i:c:p:95-118.

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  51. 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.

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  52. Characteristic-Sorted Portfolios: Estimation and Inference. (2019). Crump, Richard ; Cattaneo, Matias ; Schaumburg, Ernst ; Farrell, Max H.
    In: Papers.
    RePEc:arx:papers:1809.03584.

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  53. Correcting Alpha Misattribution In Portfolio Sorts. (2018). Schmid, Markus ; Zimmermann, Heinz ; Hoechle, Daniel.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2017:17.

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  54. Did Chinas anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?. (2018). Nitschka, Thomas.
    In: Working Papers.
    RePEc:snb:snbwpa:2018-09.

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  55. Demand Elasticities, Nominal Rigidities and Asset Prices. (2018). Clara, Nuno .
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    RePEc:red:sed018:790.

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  56. The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio.
    In: Annals of Finance.
    RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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  57. An adaptive test of stochastic monotonicity. (2018). Wilhelm, Daniel ; Kim, Dongwoo ; Chetverikov, Denis.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:24/18.

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  58. Are specialist funds “special”?. (2018). Fricke, Daniel.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:91335.

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  59. Non-myopic betas. (2018). Vilkov, Grigory ; Malamud, Semyon.
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    RePEc:eee:jfinec:v:129:y:2018:i:2:p:357-381.

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  60. Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI.
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    RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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  61. Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Pätäri, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville ; Patari, Eero.
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    RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

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  62. The Effect of Investment Constraints on Hedge Fund Investor Returns. (2018). Joenvaara, Juha ; Tolonen, Pekka ; Kosowski, Robert.
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  63. Frequentist size of Bayesian inequality tests. (2018). Kaplan, David ; Zhuo, Longhao.
    In: Papers.
    RePEc:arx:papers:1607.00393.

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  64. Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S.
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    RePEc:aah:create:2018-22.

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  65. Combining Equity Country Selection Strategies. (2017). Zaremba, Adam.
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  66. Factor pricing in commodity futures and the role of liquidity. (2017). CHONG, Terence Tai Leung ; Chan, Wing Hong ; Tsui, Sunny Chun.
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  67. Factor Pricing in Commodity Futures and the Role of Liquidity. (2017). CHONG, Terence Tai Leung ; Chan, Wing Hong ; Tsui, Chun .
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  68. Buzz Factor or Innovation Potential: What Explains Cryptocurrencies’ Returns?. (2017). Vergne, Jean-Philippe ; Wang, Sha.
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  69. Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios.
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  70. The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna.
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  71. Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels .
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  72. Picking Funds with Confidence. (2017). Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S ; Wermers, Russ.
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  73. Individual Investor Activity and Performance. (2016). Söderlind, Paul ; Martinez, Jose Vincente ; Soderlind, Paul ; Dahlquist, Magnus.
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  74. The Forecast Ability of Option-implied Densities from Emerging Markets Currencies. (2016). ORNELAS, JOSE.
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  75. Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices. (2016). Zaremba, Adam.
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  76. Skewness Preference and Seasoned Equity Offers. (2016). DeLisle, Jared ; Autore, Don M.
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  77. Mortgage risk and the yield curve. (2016). Venter, Gyuri ; Vedolin, Andrea ; Mueller, Philippe ; Malkhozov, Aytek.
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  78. Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades. (2016). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
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  79. Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components. (2015). Vintila, Georgeta ; Georgeta, Vintil ; Alin, Punescu Radu .
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  80. Extreme Downside Liquidity Risk. (2015). Ruenzi, Stefan ; Weigert, Florian ; Ungeheuer, Michael .
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  81. The role of internal and external certification mechanisms in seasoned equity offerings. (2015). Tourani-Rad, Alireza ; Lau, Sie Ting ; Krishnamurti, Chandrasekhar ; Yang, Ting ; Koerniadi, Hardjo.
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  82. Understanding the price of volatility risk in carry trades. (2015). Valente, Giorgio ; Ahmed, Shamim .
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  83. Testing the liquidity preference hypothesis using survey forecasts. (2015). Silva Junior, Antonio Francisco ; ORNELAS, JOSE ; Silva Jr., Antonio Francisco de Almeida, ; Ornelas, Jose Renato Haas, .
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  84. Mortgage risk and the yield curve. (2015). Venter, Gyuri ; Mueller, Philippe ; Vedolin, Andrea ; Malkhozov, Aytek.
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  85. Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective. (2014). Schmeling, Maik ; Sarno, Lucio.
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  86. Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market. (2014). Xiang, JU ; Zhu, Xiaoneng .
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  87. Nonparametric tests for tail monotonicity. (2014). Bucher, Axel ; Berghaus, Betina .
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  88. Evaluating the Rating of Stiftung Warentest: How Good Are Mutual Fund Ratings and Can They Be Improved?. (2014). Weber, Martin ; Mller, Sebastian.
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  89. Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies. (2014). ORNELAS, JOSE ; Jose Renato Haas Ornelas, .
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  90. Testing the Liquidity Preference Hypothesis using Survey Forecasts. (2014). ORNELAS, JOSE ; Antonio Francisco de Almeida Silva Jr, ; Jose Renato Haas Ornelas, .
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