On the public citation graph

Dissecting Anomalies with a Five-Factor Model

https://doi.org/10.1093/rfs/hhv043
0 signed · 961 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(95)00826-zopenalex-snapshot
Market underreaction to open market share repurchases
inferredcites →https://doi.org/10.1016/b978-0-12-780850-5.50018-6openalex-snapshot
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation,…
inferredcites →https://doi.org/10.1016/j.jfineco.2009.09.001openalex-snapshot
A skeptical appraisal of asset pricing tests☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.05.011openalex-snapshot
Size, value, and momentum in international stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2013.10.005openalex-snapshot
Betting against beta
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/294442openalex-snapshot
Dividend Policy, Growth, and the Valuation of Shares
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-snapshot
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1111/0022-1082.00209openalex-snapshot
Characteristics, Covariances, and Average Returns: 1929 to 1997
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-snapshot
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb05004.xopenalex-snapshot
Does the Stock Market Overreact?
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05166.xopenalex-snapshot
The New Issues Puzzle
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02741.xopenalex-snapshot
Do Long‐Term Shareholders Benefit From Corporate Acquisitions?
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
inferredcites →https://doi.org/10.2307/1913811openalex-snapshot
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2307/1924119openalex-snapshot
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.2307/2284818openalex-snapshot
Studies in the Theory of Capital Markets.
inferredcites →https://doi.org/10.2307/2329464openalex-snapshot
Do Long-Term Shareholders Benefit From Corporate Acquisitions?
inferredcites →https://doi.org/10.2307/2331308openalex-snapshot
Determining the Number of Priced State Variables in the ICAPM
inferredcites →https://doi.org/10.2307/2331355openalex-snapshot
Multifactor Portfolio Efficiency and Multifactor Asset Pricing
inferredcites →https://doi.org/10.2469/dig.v27.n1.5openalex-snapshot
Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?
inferredcites →https://doi.org/10.3386/w20591openalex-snapshot
Understanding Defensive Equity
inferredcites →https://doi.org/10.3386/w20592openalex-snapshot
. . . and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.3386/w21698openalex-snapshot
Which Alpha?
inferredcites →https://doi.org/10.3386/w4965openalex-snapshot
Market Underreaction to Open Market Share Repurchases

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1752654openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2021846openalex-extracted
An Intertemporal CAPM with Stochastic Volatility
inferred← citeshttps://doi.org/10.2139/ssrn.2257869openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2322830openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2388879openalex-extracted
Asset Pricing Implications of Money: New Evidence
inferred← citeshttps://doi.org/10.2139/ssrn.2440922openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2535572openalex-extracted
Do Stock Return Factors Outperform Other Risk Factors? Evidence from a Large Cross-Section of Anomalies
inferred← citeshttps://doi.org/10.2139/ssrn.2547280openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2554706openalex-extracted
Equity Risk Factors and the Intertemporal CAPM
inferred← citeshttps://doi.org/10.2139/ssrn.2559458openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2578681openalex-extracted
New Evidence on Conditional Factor Models
inferred← citeshttps://doi.org/10.2139/ssrn.2610864openalex-extracted
Which Alpha?
inferred← citeshttps://doi.org/10.2139/ssrn.2626701openalex-extracted
Mispricing Factors
inferred← citeshttps://doi.org/10.2139/ssrn.2665374openalex-extracted
High-Dimensional Panel Data with Time Heterogeneity: Estimation and Inference
inferred← citeshttps://doi.org/10.2139/ssrn.2676709openalex-extracted
Comparing Asset Pricing Models
inferred← citeshttps://doi.org/10.2139/ssrn.2696195openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2698267openalex-extracted
Option Return Predictability
inferred← citeshttps://doi.org/10.2139/ssrn.2699190openalex-extracted
The Investment CAPM
inferred← citeshttps://doi.org/10.2139/ssrn.2752822openalex-extracted
What Difference Do New Factor Models Make in Portfolio Allocation?
inferred← citeshttps://doi.org/10.2139/ssrn.2754638openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2784898openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2788117openalex-extracted
Predictability and the Cross-Section of Expected Returns in Models with Long-Run Risks
inferred← citeshttps://doi.org/10.2139/ssrn.2798156openalex-extracted
Beta and Biased Beliefs
inferred← citeshttps://doi.org/10.2139/ssrn.2811144openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2819183openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2840035openalex-extracted
Intrinsic Value in Stock Return
inferred← citeshttps://doi.org/10.2139/ssrn.2842269openalex-extracted
Accounting-Based Estimates of the Cost of Capital: A Third Way
inferred← citeshttps://doi.org/10.2139/ssrn.2842514openalex-extracted
Dissecting Arbitrage Costs
inferred← citeshttps://doi.org/10.2139/ssrn.2847874openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2862317openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2869624openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2872168openalex-extracted
Moneyness, Volatility, and the Cross-Section of Option Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2879939openalex-extracted
Much Ado About Nothing: Is the Market Affected by Political Bias?
inferred← citeshttps://doi.org/10.2139/ssrn.2881473openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2883233openalex-extracted
Intellectual Property News and Informed Trading: Evidence from Patenting Activities
inferred← citeshttps://doi.org/10.2139/ssrn.2883765openalex-extracted
Multifactor Models and the APT: Evidence from a Broad Cross-Section of Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2891356openalex-extracted
From the CAPM to Fama-French: A Road Paved with Leverage
inferred← citeshttps://doi.org/10.2139/ssrn.2891491openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2901933openalex-extracted
The Corporate Governance - Performance Puzzle: New Insights
inferred← citeshttps://doi.org/10.2139/ssrn.2908720openalex-extracted
An Empirical Analysis of Factor Seasonalities
inferred← citeshttps://doi.org/10.2139/ssrn.2909085openalex-extracted
The Risk-Return Tradeoff Among Equity Factors
inferred← citeshttps://doi.org/10.2139/ssrn.2924798openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2932970openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2945663openalex-extracted
Shrinking the Cross Section
inferred← citeshttps://doi.org/10.2139/ssrn.2945667openalex-extracted
Predicting Relative Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2969089openalex-extracted
A Factor Structure for Implied Volatility
inferred← citeshttps://doi.org/10.2139/ssrn.2971185openalex-extracted
What Is Quality?
inferred← citeshttps://doi.org/10.2139/ssrn.2971780openalex-extracted
Up and Down: Forecast Revisions, Forecast Dispersion and Momentum
inferred← citeshttps://doi.org/10.2139/ssrn.2978172openalex-extracted
The Risk-Return Tradeoff Among Equity Factors
inferred← citeshttps://doi.org/10.2139/ssrn.2988137openalex-extracted
Growth Stocks Are More Risky: New Evidence on CrosssSectional Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.2989446openalex-extracted
The Corporate Governance Performance Puzzle: New Insights
inferred← citeshttps://doi.org/10.2139/ssrn.2996106openalex-extracted
A Factor Portfolio Asset Pricing Model Based on the Optimal Distribution of Risk and Return
inferred← citeshttps://doi.org/10.2139/ssrn.2997814openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3003357openalex-extracted
The Risk-Return Tradeoff Among Equity Factors
inferred← citeshttps://doi.org/10.2139/ssrn.3008666openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3035887openalex-extracted
The Effect of Mandatory Disclosure on Market Inefficiencies: Evidence from Statement of Financial Accounting Standard Number 161
inferred← citeshttps://doi.org/10.2139/ssrn.3036423openalex-extracted
Diversification Strikes Again: Evidence from Global Equity Factors
inferred← citeshttps://doi.org/10.2139/ssrn.3041227openalex-extracted
Dynamic Momentum and Contrarian Trading
inferred← citeshttps://doi.org/10.2139/ssrn.3043649openalex-extracted
How Pervasive and Investable is the Asset Growth Anomaly?
inferred← citeshttps://doi.org/10.2139/ssrn.3045480openalex-extracted
Global Warming Asset Pricing: Estimating a Temperature Risk Premium
inferred← citeshttps://doi.org/10.2139/ssrn.3049245openalex-extracted
Accounting-Based Estimates of the Cost of Capital: A Third Way
inferred← citeshttps://doi.org/10.2139/ssrn.3053816openalex-extracted
Sustain and Deliver: Capturing the Valuation Effects of Sustainability
inferred← citeshttps://doi.org/10.2139/ssrn.3062518openalex-extracted
The Financial Intermediation Premium in the Cross Section of Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3067724openalex-extracted
Can Disclosure Decrease Price Efficiency?
inferred← citeshttps://doi.org/10.2139/ssrn.3069952openalex-extracted
Comparing Asset Pricing Models: Distance-Based Metrics and Bayesian Interpretations
inferred← citeshttps://doi.org/10.2139/ssrn.3089792openalex-extracted
Equity Financing Risk
inferred← citeshttps://doi.org/10.2139/ssrn.3097420openalex-extracted
Noise Trading, Slow Diffusion of Information, and Short-Term Reversals: A Fundamental Analysis Approach
inferred← citeshttps://doi.org/10.2139/ssrn.3100165openalex-extracted
What Goes up Must Not Come Down - Time Series Momentum in Factor Risk Premiums
inferred← citeshttps://doi.org/10.2139/ssrn.3100645openalex-extracted
Do Alpha Males Deliver Alpha? Facial Width-to-Height Ratio and Hedge Funds
inferred← citeshttps://doi.org/10.2139/ssrn.3102852openalex-extracted
The Interactions between Size, Book-to-Market and Momentum in the UK
inferred← citeshttps://doi.org/10.2139/ssrn.3103741openalex-extracted
Inertia of Institutional Investors, Stock Returns, and Performance
inferred← citeshttps://doi.org/10.2139/ssrn.3103838openalex-extracted
Do Lower Returns on Bank Stocks Suggest Lower Cost of Capital? An Explanation for the Low Risk Anomaly and the Loan Growth Effect
inferred← citeshttps://doi.org/10.2139/ssrn.3109456openalex-extracted
The Risk-Return Tradeoo Among Equity Factors
inferred← citeshttps://doi.org/10.2139/ssrn.3109479openalex-extracted
Understanding Stock Price Behavior Around External Financing
inferred← citeshttps://doi.org/10.2139/ssrn.3111334openalex-extracted
The Predictability of Equity Returns from Past Returns: A New Moving Average-Based Perspective
inferred← citeshttps://doi.org/10.2139/ssrn.3114175openalex-extracted
A Review of Norges Bank's Active Management of the Government Pension Fund Global
inferred← citeshttps://doi.org/10.2139/ssrn.3118038openalex-extracted
ETFs, ETNs and Statistical Anomalies
inferred← citeshttps://doi.org/10.2139/ssrn.3122409openalex-extracted
Dynamic Parametric Portfolio Policy
inferred← citeshttps://doi.org/10.2139/ssrn.3128562openalex-extracted
Asset Pricing Models and Anomalies: An Empirical Analysis
inferred← citeshttps://doi.org/10.2139/ssrn.3130008openalex-extracted
How Does Stochastic Volatility Influence Asset Prices? A Parameter-Free Approach
inferred← citeshttps://doi.org/10.2139/ssrn.3130422openalex-extracted
Generalized Information Ratio
inferred← citeshttps://doi.org/10.2139/ssrn.3136708openalex-extracted
A General Framework of Optimal Investment
inferred← citeshttps://doi.org/10.2139/ssrn.3145152openalex-extracted
The Conservative Formula: Quantitative Investing Made Easy
inferred← citeshttps://doi.org/10.2139/ssrn.3165085openalex-extracted
Why Shareholder Wealth Maximization despite Other Objectives
inferred← citeshttps://doi.org/10.2139/ssrn.3165163openalex-extracted
A Re-Examination of the Book-Tax Difference Pricing Anomaly
inferred← citeshttps://doi.org/10.2139/ssrn.3170881openalex-extracted
Governance, Information Flow and Stock Returns: Evidence from a Natural Experiment
inferred← citeshttps://doi.org/10.2139/ssrn.3173138openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3177698openalex-extracted
Peering Into the Distance: What Does Management Forecast News Convey About Future Earnings and Returns?
inferred← citeshttps://doi.org/10.2139/ssrn.3179655openalex-extracted
Factoring Characteristics into Returns: A Clinical Study on the SMB and HML Portfolio Construction Methods
inferred← citeshttps://doi.org/10.2139/ssrn.3187447openalex-extracted
Limits to Short Arbitrage With Takeover Risk
inferred← citeshttps://doi.org/10.2139/ssrn.3197380openalex-extracted
A Financial Contracting-Based Capital Asset Pricing Model
inferred← citeshttps://doi.org/10.2139/ssrn.3212934openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3223711openalex-extracted
Hidden Gems: Do Compensation Disclosures Reveal Performance Expectations?
inferred← citeshttps://doi.org/10.2139/ssrn.3226952openalex-extracted
Risks and Returns of Cryptocurrency
inferred← citeshttps://doi.org/10.2139/ssrn.3233905openalex-extracted
Shrinking the Cross Section
inferred← citeshttps://doi.org/10.2139/ssrn.3240020openalex-extracted
The Performance of Marketplace Lenders: Evidence from Lending Club Payment Data
inferred← citeshttps://doi.org/10.2139/ssrn.3254454openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3272090openalex-extracted
ESG Factor Investing: Myth or Reality ?
inferred← citeshttps://doi.org/10.2139/ssrn.3275567openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3285248openalex-extracted
Dealing with Drift Uncertainty: A Bayesian Learning Approach
inferred← citeshttps://doi.org/10.2139/ssrn.3286327openalex-extracted
Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests
inferred← citeshttps://doi.org/10.2139/ssrn.3286613openalex-extracted
Learning, Time-variation, and the Factor Zoo
inferred← citeshttps://doi.org/10.2139/ssrn.3289249openalex-extracted
Fuel is Pumping Premiums: A Consumption-Based Explanation of the Value Anomaly
inferred← citeshttps://doi.org/10.2139/ssrn.3290191openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3300728openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3301818openalex-extracted
Wage Growth and Equity Risk Premia
inferred← citeshttps://doi.org/10.2139/ssrn.3303160openalex-extracted
Time Varying Factors in the Performance of Corporate Bond Indices
inferred← citeshttps://doi.org/10.2139/ssrn.3341604openalex-extracted
A New Method for Factor-Mimicking Portfolio Construction
inferred← citeshttps://doi.org/10.2139/ssrn.3346289openalex-extracted
Investment-Momentum: A Two-Dimensional Behavioral Strategy
inferred← citeshttps://doi.org/10.2139/ssrn.3349929openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3359027openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3396726openalex-extracted
Home-Country Media Slant and Equity Prices
inferred← citeshttps://doi.org/10.2139/ssrn.3442749openalex-extracted
The Volatility Effect Revisited
inferred← citeshttps://doi.org/10.2139/ssrn.3454330openalex-extracted
The Information Content of The Implied Volatility Surface: Can Option Prices Predict Jumps?
inferred← citeshttps://doi.org/10.2139/ssrn.3457311openalex-extracted
Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?
inferred← citeshttps://doi.org/10.2139/ssrn.3481736openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3489679openalex-extracted
Alpha Go Everywhere: Machine Learning and International Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3494141openalex-extracted
The Cross-Section of Returns: A Non-Parametric Approach
inferred← citeshttps://doi.org/10.2139/ssrn.3497848openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3507251openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3516263openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3529140openalex-extracted
New and Old Sorts: Implications for Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.3532495openalex-extracted
CEO Social Media Presence and Insider Trading Behavior
inferred← citeshttps://doi.org/10.2139/ssrn.3533486openalex-extracted
Equity Term Structures without Dividend Strips Data
inferred← citeshttps://doi.org/10.2139/ssrn.3533524openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3546295openalex-extracted
A Comparison of Global Factor Models
inferred← citeshttps://doi.org/10.2139/ssrn.3546725openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3553765openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3555473openalex-extracted
Time-Series Efficient Factors
inferred← citeshttps://doi.org/10.2139/ssrn.3591086openalex-extracted
Resource Allocation in the Brain and the Capital Asset Pricing Model
inferred← citeshttps://doi.org/10.2139/ssrn.3616486openalex-extracted
Corporate Sustainability and Stock Returns: Evidence from Employee Satisfaction
inferred← citeshttps://doi.org/10.2139/ssrn.3617910openalex-extracted
Does Cryptocurrency Trading Have Spillover Effects on the Stock Market?
inferred← citeshttps://doi.org/10.2139/ssrn.3655670openalex-extracted
Economic Uncertainty: Mispricing and Ambiguity Premium
inferred← citeshttps://doi.org/10.2139/ssrn.3664237openalex-extracted
Governance by Constraint: The Corporate Governance Implications of an Anomaly
inferred← citeshttps://doi.org/10.2139/ssrn.3706597openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3710507openalex-extracted
Flexible Production Technology, Systematic Risk, and Stock-Level Investment Anomalies
inferred← citeshttps://doi.org/10.2139/ssrn.3740790openalex-extracted
Asset Prices When Investors Ignore Discount Rate Dynamics
inferred← citeshttps://doi.org/10.2139/ssrn.3741925openalex-extracted
An Alternative Test of the Production Based Asset Pricing Model
inferred← citeshttps://doi.org/10.2139/ssrn.3743808openalex-extracted
Investor Base Size and Stock Return Anomalies
inferred← citeshttps://doi.org/10.2139/ssrn.3747038openalex-extracted
Antinoise
inferred← citeshttps://doi.org/10.2139/ssrn.3753409openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3754374openalex-extracted
Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies
inferred← citeshttps://doi.org/10.2139/ssrn.3765217openalex-extracted
Stock Price Reactions to ESG News: The Role of ESG Ratings and Disagreement
inferred← citeshttps://doi.org/10.2139/ssrn.3765625openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3785040openalex-extracted
Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies
inferred← citeshttps://doi.org/10.2139/ssrn.3799873openalex-extracted
Seasonal Inventory Leverage
inferred← citeshttps://doi.org/10.2139/ssrn.3829547openalex-extracted
Comparison of Asset Pricing Models in Capturing Factors Behind Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3832698openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3852305openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3854046openalex-extracted
A One-factor Model for Expected Night-minus-day Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3857315openalex-extracted
On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.3879982openalex-extracted
Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies
inferred← citeshttps://doi.org/10.2139/ssrn.3882108openalex-extracted
The Volatility Puzzle of the Beta Anomaly
inferred← citeshttps://doi.org/10.2139/ssrn.3885288openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3895277openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3907523openalex-extracted
Do Factors Matter?
inferred← citeshttps://doi.org/10.2139/ssrn.3914408openalex-extracted
Sales & Marketing Workforce Growth and Firm Performance
inferred← citeshttps://doi.org/10.2139/ssrn.3922077openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3924821openalex-extracted
How Robust are Empirical Factor Models to the Choice of Breakpoints?
inferred← citeshttps://doi.org/10.2139/ssrn.3927297openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3931332openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3938357openalex-extracted
Stock Market Alphas Help Predict Macroeconomic Innovations
inferred← citeshttps://doi.org/10.2139/ssrn.3949463openalex-extracted
Asset Pricing with Panel Trees Under Global Split Criteria
inferred← citeshttps://doi.org/10.2139/ssrn.3954885openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3967460openalex-extracted
Instability of Factor Strength in Asset Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3969743openalex-extracted
The Cross-Section of Stock Returns before 1926 (And Beyond)
inferred← citeshttps://doi.org/10.2139/ssrn.3979231openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3992035openalex-extracted
Technical Indicators and Cross-Sectional Expected Returns
inferred← citeshttps://doi.org/10.2139/ssrn.4019643openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4023334openalex-extracted
To Sell or Not to Sell? Disposition Effect and Investment Style
inferred← citeshttps://doi.org/10.2139/ssrn.4036943openalex-extracted
Financial Market Anomalies
inferred← citeshttps://doi.org/10.2139/ssrn.4037351openalex-extracted
High-Dimensional High-Frequency Regression
inferred← citeshttps://doi.org/10.2139/ssrn.4039024openalex-extracted
Two Risk Factors in the Long Run: A Key to Decipher Asset Pricing Puzzles
inferred← citeshttps://doi.org/10.2139/ssrn.4052995openalex-extracted
Amihud Premium: The Compensation for Illiquidity or Mispricing?
inferred← citeshttps://doi.org/10.2139/ssrn.4058423openalex-extracted
Low Market-Beta or Low CAPM-Beta Anomaly? A Stricter Explanation Standard and a New Variant
inferred← citeshttps://doi.org/10.2139/ssrn.4058538openalex-extracted
The Wealth Creation Effect in Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.4080705openalex-extracted
Combining Factors
inferred← citeshttps://doi.org/10.2139/ssrn.4100653openalex-extracted
Dividend levels (not changes) signal future earnings
inferred← citeshttps://doi.org/10.2139/ssrn.4104000openalex-extracted
Weighted-Average Quantile Regression
inferred← citeshttps://doi.org/10.2139/ssrn.4115411openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4120030openalex-extracted
Heterogeneous Environmental Regulations and the Market Value of Firms
inferred← citeshttps://doi.org/10.2139/ssrn.4155525openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4260904openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4308916openalex-extracted
A Factor Model for Stock Options
inferred← citeshttps://doi.org/10.2139/ssrn.4316977openalex-extracted
Does Ultimate Consumption Risk Rescue the CCAPM? A Replication of Parker and Julliard (2005)
inferred← citeshttps://doi.org/10.2139/ssrn.4336292openalex-extracted
Informative Value, Profitability, and Investment Factors
inferred← citeshttps://doi.org/10.2139/ssrn.4368296openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4371651openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4394069openalex-extracted
Intangibles Investment and Asset Quality
inferred← citeshttps://doi.org/10.2139/ssrn.4394695openalex-extracted
Learning-by-investing
inferred← citeshttps://doi.org/10.2139/ssrn.4405852openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4413856openalex-extracted
Equity Term Structures without Dividend Strips Data
inferred← citeshttps://doi.org/10.2139/ssrn.4421469openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4476939openalex-extracted
Second Moment Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.4485470openalex-extracted
Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital
inferred← citeshttps://doi.org/10.2139/ssrn.4494834openalex-extracted
Textual Analysis of Annual Reports by Hedge Funds
inferred← citeshttps://doi.org/10.2139/ssrn.4510357openalex-extracted
The Technological Origins of Aggregate Fluctuations and Systematic Risk
inferred← citeshttps://doi.org/10.2139/ssrn.4519182openalex-extracted
ChatGPT, Generative AI, and Investment Advisory
inferred← citeshttps://doi.org/10.2139/ssrn.4547337openalex-extracted
You have a point - but a point is not enough: The case for distributional forecasts of earnings
inferred← citeshttps://doi.org/10.2139/ssrn.4573028openalex-extracted
Fundamental-Driven CSR Return Comovement
showing the first 200 of 929
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.