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Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation
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Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
7 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
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A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1
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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1
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The 7 references without a DOI — listed, not checked
no DOI — not checkedMaslar, D. A. “Illiquidity Spillover: The Cross-Market Price Impact of Firm-Level Illiquidity.” Working Paper, University of Tennessee (2013).
no DOI — not checkedHandbook of the Economics of Finance, Vol. 1
no DOI — not checkedDo Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?
no DOI — not checkedAnginer, D. , and C. Yildizhan . “Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns.” World Bank Working Paper WPS 5319 (2013).
no DOI — not checkedChoi, J. , and Y. Kim . “Anomalies and Market (Dis)Integration.” Working Paper, University of Illinois at Urbana–Champaign (2016).
no DOI — not checkedEmpirical Asset Pricing: The Cross Section of Stock Returns
no DOI — not checkedOn the Pricing of Corporate Debt: The Risk Structure of Interest Rates
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