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Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle
48/48 checkable references clean · checked 2026-08-20
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.
29 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.
The 48 checked references that resolve
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High idiosyncratic volatility and low returns: International and further U.S. evidence
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Maxing out: Stocks as lotteries and the cross-section of expected returns
resolves10.1016/j.jfineco.2016.03.002
Accruals, cash flows, and operating profitability in the cross section of stock returns
resolves10.1111/jofi.12383
Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
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Does revenue momentum drive or ride earnings or price momentum?
resolves10.1111/j.1468-5957.2006.00662.x
The Usefulness of Book‐to‐Market and ROE Expectations for Explaining UK Stock Returns
resolves10.1016/j.jfineco.2018.01.005
The 52-week high, q-theory, and the cross section of stock returns
resolves10.1016/j.bar.2018.10.002
Model-based earnings forecasts vs. financial analysts' earnings forecasts
resolves10.1016/j.jacceco.2003.10.002
Limited attention, information disclosure, and financial reporting
resolves10.1111/0022-1082.00184
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
resolves10.1016/j.irfa.2015.11.003
The roles of past returns and firm fundamentals in driving US stock price movements
resolves10.1093/rfs/hhy104
Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns
resolves10.1016/j.jempfin.2019.07.007
How do disposition effect and anchoring bias interact to impact momentum in stock returns?
resolves10.1016/j.jfineco.2011.04.003
Investor attention, psychological anchors, and stock return predictability
resolves10.1016/j.jimonfin.2010.08.004
The 52-week high momentum strategy in international stock markets
resolves10.1016/j.jbankfin.2015.08.014
The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?
resolves10.1506/KHNW-PJYL-ADUB-0RP6
The Walk‐down to Beatable Analyst Forecasts: The Role of Equity Issuance and Insider Trading Incentives*
The 29 references without a DOI — listed, not checked
no DOI — not checkedIlliquidity and stock returns: cross-section and time-series effects
no DOI — not checkedLeft-tail momentum: Underreaction to bad news, costly arbitrage and equity returns
no DOI — not checkedExpected versus Ex Post Profitability in the Cross-Section of Industry Returns
no DOI — not checkedForecasting profitability and earnings
no DOI — not checkedref22
no DOI — not checkedref24
no DOI — not checkedref26
no DOI — not checkedConstructing and Testing Alternative Versions of the Fama-French and Carhart Models in the UK
no DOI — not checkedref29
no DOI — not checkedref31
no DOI — not checkedref41
no DOI — not checkedReturns to buying winners and selling losers: Implications for stock market efficiency
no DOI — not checkedref45
no DOI — not checkedDoes Earnings Growth Drive the Quality Premium?
no DOI — not checkedref47
no DOI — not checkedThe effect of 52 week highs and lows on analyst stock recommendations Account
no DOI — not checkedref51
no DOI — not checkedref55
no DOI — not checkedThe q-factors and macroeconomic conditions: asymmetric effects of the business cycles on long and short sides
no DOI — not checkedProfitability and Investment Factors for US
no DOI — not checkedCostly arbitrage and the myth of idiosyncratic risk
no DOI — not checkedref65
no DOI — not checkedDissecting the profitability premium
no DOI — not checkedLimited investor attention, relative fundamental strength, and the cross-section of stock returns
no DOI — not checkedref73
no DOI — not checkedref74
no DOI — not checkedref75
no DOI — not checkedThis table represents the Fama-MacBeth cross-sectional regression with overreaction proxies. The table reports the average slope coefficients and the corresponding newey-west t-statistic. Each month, the stock returns over the next 12 months are regressed on the IVOL, the expected profitability (EROA), the PH52, the interaction terms between the IVOL, the EROA, and the PH52, and overreaction proxies (MAX, CO12, and I/K). MAX is the average of 5 maximum daily returns over the past 3 months, I/K is the ratio of capital expenditure plus research and development to capital, and CO12 is the continuing overreaction measure of
no DOI — not checkedref77
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