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Multifactor Expected-Returns Models and the Performance of Superstock Portfolios in the UK Equity Market

https://doi.org/10.2139/ssrn.1101830
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Outgoing claims: the papers this work cites, builds on, or argues with.

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EXPLAINING THE CROSS-SECTION OF UK EXPECTED STOCK RETURNS
inferredcites →https://doi.org/10.1016/0022-0531(76)90046-6openalex-extracted
The arbitrage theory of capital asset pricing
inferredcites →https://doi.org/10.1016/0304-405x(81)90018-0openalex-extracted
The relationship between return and market value of common stocks
inferredcites →https://doi.org/10.1016/0304-405x(83)90027-2openalex-extracted
Transaction costs and the small firm effect
inferredcites →https://doi.org/10.1016/0304-405x(83)90031-4openalex-extracted
The relationship between earnings' yield, market value and return for NYSE common stocks
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Measuring abnormal performance
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Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(95)00868-fopenalex-extracted
Commonality in the determinants of expected stock returns
inferredcites →https://doi.org/10.1023/a:1011270907471openalex-extracted
An Examination of Alternative Factor Models in UK Stock Returns
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U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?
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Research and Development Activity and Expected Returns in the United Kingdom
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Value versus Growth: The International Evidence
inferredcites →https://doi.org/10.1111/0022-1082.00209openalex-extracted
Characteristics, Covariances, and Average Returns: 1929 to 1997
inferredcites →https://doi.org/10.1111/1468-5957.00093openalex-extracted
Do Stock Market Investors Overreact?
inferredcites →https://doi.org/10.1111/1468-5957.00286openalex-extracted
The Profitability of Momentum Investing
inferredcites →https://doi.org/10.1111/1468-5957.00412openalex-extracted
An Analysis of Contrarian Investment Strategies in the UK
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PORTFOLIO SELECTION*
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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1965.tb02930.xopenalex-extracted
SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb05004.xopenalex-extracted
Does the Stock Market Overreact?
inferredcites →https://doi.org/10.1111/j.1540-6261.1986.tb04548.xopenalex-extracted
Sample-Dependent Results Using Accounting and Market Data: Some Evidence
inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb03952.xopenalex-extracted
Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05110.xopenalex-extracted
Evidence of Predictable Behavior of Security Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-extracted
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05169.xopenalex-extracted
Size and Book-to-Market Factors in Earnings and Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05202.xopenalex-extracted
Multifactor Explanations of Asset Pricing Anomalies
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1287/mnsc.9.2.277openalex-extracted
A Simplified Model for Portfolio Analysis
inferredcites →https://doi.org/10.1515/9781400829095.213openalex-extracted
8. Data-Snooping Biases in Tests of Financial Asset Pricing Models
inferredcites →https://doi.org/10.2139/ssrn.135681openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2358openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.286272openalex-extracted
Accounting Information Free of Selection Bias: A New UK Database 1953-1999
inferredcites →https://doi.org/10.2139/ssrn.98678openalex-extracted
Characteristics, Covariances, and Average Returns: 1929-1997
inferredcites →https://doi.org/10.2307/1910098openalex-extracted
Equilibrium in a Capital Asset Market
inferredcites →https://doi.org/10.2307/1913811openalex-extracted
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2307/1924119openalex-extracted
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.2307/2296205openalex-extracted
Liquidity Preference as Behavior Towards Risk
inferredcites →https://doi.org/10.2307/2328473openalex-extracted
inferredcites →https://doi.org/10.2307/2329112openalex-extracted
inferredcites →https://doi.org/10.2307/2329241openalex-extracted
inferredcites →https://doi.org/10.2307/2329262openalex-extracted
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.2307/2329302openalex-extracted
inferredcites →https://doi.org/10.2307/2329556openalex-extracted
inferredcites →https://doi.org/10.2307/3003264openalex-extracted
The Valuation of Uncertain Income Streams and the Pricing of Options
inferredcites →https://doi.org/10.2469/faj.v59.n6.2573openalex-extracted
Capturing the Value Premium in the United Kingdom
inferredcites →https://doi.org/10.3386/w3001openalex-extracted
Data-Snooping Biases in Tests of Financial Asset Pricing Models
inferredcites →https://doi.org/10.3386/w4360openalex-extracted
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.3386/w7284openalex-extracted
Comparing Asset Pricing Models: An Investment Perspective
inferredcites →https://doi.org/10.3905/jpm.1985.409007openalex-extracted
Persuasive evidence of market inefficiency
inferredcites →https://doi.org/10.3905/jpm.1999.319734openalex-extracted
Murphy's Law and Market Anomalies
inferredcites →https://doi.org/10.1016/s0304-405x(00)00044-1openalex-snapshot
Comparing asset pricing models: an investment perspective
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-snapshot
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb04772.xopenalex-snapshot
Contrarian Investment, Extrapolation, and Risk

What points at this work

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

inferred← citeshttps://doi.org/10.1108/03074351111140270openalex-snapshot
Selecting stocks and building portfolios: a sorting exercise
inferred← citeshttps://doi.org/10.1177/0972150915619815openalex-snapshot
A Model of Security Selection and Portfolio Building through Z-scores
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