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Demand Shifts and Asset Pricing

https://doi.org/10.2139/ssrn.4686997
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s11142-013-9231-1openalex-extracted
The Supraview of Return Predictive Signals
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Price reversals
inferredcites →https://doi.org/10.1016/j.finmar.2013.08.004openalex-extracted
Industry-based style investing
inferredcites →https://doi.org/10.1016/j.jbankfin.2018.11.008openalex-extracted
Asset growth, style investing, and momentum
inferredcites →https://doi.org/10.1016/j.jempfin.2015.05.006openalex-extracted
A tale of feedback trading by hedge funds
inferredcites →https://doi.org/10.1016/j.jfineco.2003.10.003openalex-extracted
Style effects in the cross-section of stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2004.04.003openalex-extracted
Comovement
inferredcites →https://doi.org/10.1016/j.jfineco.2005.01.001openalex-extracted
Short interest, institutional ownership, and stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.003openalex-extracted
Investor attention, overconfidence and category learning
inferredcites →https://doi.org/10.1016/j.jfineco.2006.09.007openalex-extracted
Asset Fire Sales (and Purchases) in Equity Markets
inferredcites →https://doi.org/10.1016/j.jfineco.2008.09.002openalex-extracted
Price-based return comovement
inferredcites →https://doi.org/10.1016/j.jfineco.2008.12.009openalex-extracted
Institutional industry herding
inferredcites →https://doi.org/10.1016/j.jfineco.2011.06.003openalex-extracted
Stock price fragility
inferredcites →https://doi.org/10.1016/j.jfineco.2011.08.006openalex-extracted
Complicated firms
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.001openalex-extracted
The short of it: Investor sentiment and anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2012.08.005openalex-extracted
Style investing, comovement and return predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2014.08.007openalex-extracted
X-CAPM: An extrapolative capital asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-extracted
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2016.01.002openalex-extracted
Institutional investors and stock return anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2018.04.007openalex-extracted
Extrapolation and bubbles
inferredcites →https://doi.org/10.1016/j.jfineco.2018.08.003openalex-extracted
Mark Twain’s Cat: Investment experience, categorical thinking, and stock selection
inferredcites →https://doi.org/10.1016/j.jfineco.2018.09.012openalex-extracted
Preference for Dividends and Return Comovement
inferredcites →https://doi.org/10.1016/j.jfineco.2018.11.008openalex-extracted
Technological Links and Predictable Returns
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-extracted
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-extracted
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jfineco.2019.10.007openalex-extracted
Shared analyst coverage: Unifying momentum spillover effects
inferredcites →https://doi.org/10.1016/j.jfineco.2020.10.003openalex-extracted
Extrapolative Beliefs in the Cross-Section: What Can We Learn from the Crowds?
inferredcites →https://doi.org/10.1016/j.jfineco.2020.12.012openalex-extracted
Salience theory and stock prices: Empirical evidence
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Institutional investors, heterogeneous benchmarks and the comovement of asset prices
inferredcites →https://doi.org/10.1016/j.jfineco.2023.103716openalex-extracted
Cross-stock momentum and factor momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2024.103852openalex-extracted
Gradual information diffusion across commonly owned firms
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/s0022109000014381openalex-extracted
Style Investing and Institutional Investors
inferredcites →https://doi.org/10.1017/s0022109009990020openalex-extracted
Dynamic Style Preferences of Individual Investors and Stock Returns
inferredcites →https://doi.org/10.1017/s0022109016000454openalex-extracted
On the Style-Based Feedback Trading of Mutual Fund Managers
inferredcites →https://doi.org/10.1017/s0022109017000102openalex-extracted
Institutional Investment Constraints and Stock Prices
inferredcites →https://doi.org/10.1017/s0022109018000479openalex-extracted
Text-Based Industry Momentum
inferredcites →https://doi.org/10.1017/s0022109020000885openalex-extracted
Where Does the Predictability from Sorting on Returns of Economically Linked Firms Come From?
inferredcites →https://doi.org/10.1017/s0022109021000247openalex-extracted
Naïve Style-Level Feedback Trading in Passive Funds
inferredcites →https://doi.org/10.1080/0015198x.2023.2292534openalex-extracted
Reversals and the Returns to Liquidity Provision
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/685965openalex-extracted
Expectations and Investment
inferredcites →https://doi.org/10.1086/701683openalex-extracted
A Demand System Approach to Asset Pricing
inferredcites →https://doi.org/10.1086/712313openalex-extracted
Imperfect Macroeconomic Expectations: Evidence and Theory
inferredcites →https://doi.org/10.1092/j4gu-bhwh-8hme-le0xopenalex-extracted
Do Institutional Investors Prefer Near-Term Earnings over Long-Run Value?
inferredcites →https://doi.org/10.1093/qje/qjw040openalex-extracted
Technological Innovation, Resource Allocation, and Growth*
inferredcites →https://doi.org/10.1093/revfin/hhm003openalex-extracted
Industry Information Diffusion and the Lead-lag Effect in Stock Returns
inferredcites →https://doi.org/10.1093/rfs/10.2.275openalex-extracted
Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
inferredcites →https://doi.org/10.1093/rfs/15.2.533openalex-extracted
Momentum and Autocorrelation in Stock Returns
inferredcites →https://doi.org/10.1093/rfs/3.2.175openalex-extracted
When Are Contrarian Profits Due to Stock Market Overreaction?
inferredcites →https://doi.org/10.1093/rfs/hhaa021openalex-extracted
The Cross-Section of Risk and Returns
inferredcites →https://doi.org/10.1093/rfs/hhab070openalex-extracted
Extrapolative Bubbles and Trading Volume
inferredcites →https://doi.org/10.1093/rfs/hhab104openalex-extracted
Ratings-Driven Demand and Systematic Price Fluctuations
inferredcites →https://doi.org/10.1093/rfs/hhab117openalex-extracted
Comomentum: Inferring Arbitrage Activity from Return Correlations
inferredcites →https://doi.org/10.1093/rfs/hhab126openalex-extracted
The Return Expectations of Public Pension Funds
inferredcites →https://doi.org/10.1093/rfs/hhac055openalex-extracted
Benchmarking Intensity
inferredcites →https://doi.org/10.1093/rfs/hhad006openalex-extracted
Factor Momentum
inferredcites →https://doi.org/10.1093/rfs/hhm052openalex-extracted
Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights
inferredcites →https://doi.org/10.1093/rfs/hhs066openalex-extracted
Evaporating Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhs103openalex-extracted
A Flow-Based Explanation for Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hht014openalex-extracted
An Institutional Theory of Momentum and Reversal
inferredcites →https://doi.org/10.1093/rfs/hht082openalex-extracted
Expectations of Returns and Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-extracted
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhw026openalex-extracted
Commonality in Liquidity: A Demand-Side Explanation
inferredcites →https://doi.org/10.1093/rfs/hhx031openalex-extracted
It Depends on Where You Search: Institutional Investor Attention and Underreaction to News
inferredcites →https://doi.org/10.1093/rfs/hhy097openalex-extracted
Arbitrage Trading: The Long and the Short of It
inferredcites →https://doi.org/10.1093/rfs/hhz145openalex-extracted
Geographic Lead-Lag Effects
inferredcites →https://doi.org/10.1093/rof/rfaa004openalex-extracted
An Augmented q -Factor Model with Expected Growth
inferredcites →https://doi.org/10.1111/0022-1082.00146openalex-extracted
Do Industries Explain Momentum?
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
inferredcites →https://doi.org/10.1111/1540-6261.00456openalex-extracted
Learning, Asset‐Pricing Tests, and Market Efficiency
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On the anomaly tilts of factor funds
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Positive Feedback Investment Strategies and Destabilizing Rational Speculation
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Evidence of Predictable Behavior of Security Returns
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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Multifactor Explanations of Asset Pricing Anomalies
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05223.xopenalex-extracted
Expectations and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03806.xopenalex-extracted
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-extracted
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
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Hedge Funds and the Technology Bubble
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The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-extracted
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01060.xopenalex-extracted
Liquidity and Autocorrelations in Individual Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01324.xopenalex-extracted
Which Shorts Are Informed?
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01379.xopenalex-extracted
Economic Links and Predictable Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01455.xopenalex-extracted
Hedge Fund Risk Dynamics: Implications for Performance Appraisal
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01578.xopenalex-extracted
Market Segmentation and Cross‐predictability of Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01633.xopenalex-extracted
Style‐Related Comovement: Fundamentals or Labels?
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01663.xopenalex-extracted
Who Drove and Burst the Tech Bubble?
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01679.xopenalex-extracted
In Search of Attention
inferredcites →https://doi.org/10.1111/jofi.12149openalex-extracted
Connected Stocks
inferredcites →https://doi.org/10.1111/jofi.12754openalex-extracted
Sentiment Metrics and Investor Demand
inferredcites →https://doi.org/10.1111/jofi.13033openalex-extracted
Tracking Retail Investor Activity
inferredcites →https://doi.org/10.1111/jofi.13131openalex-extracted
Factor Momentum and the Momentum Factor
inferredcites →https://doi.org/10.1111/jofi.13199openalex-extracted
Principal Portfolios
inferredcites →https://doi.org/10.1111/jofi.13281openalex-extracted
Attention Spillover in Asset Pricing
inferredcites →https://doi.org/10.1207/s15427579jpfm0403_4openalex-extracted
On Characteristics Momentum
inferredcites →https://doi.org/10.1257/aer.103.5.1728openalex-extracted
Asset Prices and Institutional Investors
inferredcites →https://doi.org/10.1257/aer.20210476openalex-extracted
Is There Too Much Benchmarking in Asset Management?
inferredcites →https://doi.org/10.1287/mnsc.2018.3066openalex-extracted
When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?
inferredcites →https://doi.org/10.1287/mnsc.2020.3945openalex-extracted
Hedge Fund Manager Skill and Style-Shifting
inferredcites →https://doi.org/10.1287/mnsc.2023.4877openalex-extracted
On the Other Side of Hedge Fund Equity Trades
inferredcites →https://doi.org/10.1561/104.00000112openalex-extracted
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.1259871openalex-extracted
Style Investing, Comovement and Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.1288988openalex-extracted
What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data
inferredcites →https://doi.org/10.2139/ssrn.141615openalex-extracted
Pairs Trading: Performance of a Relative Value Arbitrage Rule
inferredcites →https://doi.org/10.2139/ssrn.161739openalex-extracted
Do Institutional Investors Prefer Near-Term Earnings Over Long-Run Value?
inferredcites →https://doi.org/10.2139/ssrn.2024259openalex-extracted
Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios
inferredcites →https://doi.org/10.2139/ssrn.2193068openalex-extracted
Technological Innovation, Resource Allocation and Growth
inferredcites →https://doi.org/10.2139/ssrn.2506683openalex-extracted
Institutional Investors and Stock Return Anomalies
inferredcites →https://doi.org/10.2139/ssrn.2786516openalex-extracted
Indexing and Stock Market Serial Dependence Around the World
inferredcites →https://doi.org/10.2139/ssrn.2961979openalex-extracted
Replicating Anomalies
inferredcites →https://doi.org/10.2139/ssrn.3637649openalex-extracted
Taking Sides on Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.3771930openalex-extracted
Extrapolative Expectations, Corporate Activities, and Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.3830569openalex-extracted
Extrapolative Market Participation
inferredcites →https://doi.org/10.2139/ssrn.4207132openalex-extracted
Institutional Participation in Information Production and Anomaly Returns
inferredcites →https://doi.org/10.2139/ssrn.4349550openalex-extracted
Reversals and the Returns to Liquidity Provision
inferredcites →https://doi.org/10.2139/ssrn.463005openalex-extracted
Industry Information Diffusion and the Lead-Lag Effect in Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.464843openalex-extracted
Investor Sentiment and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.4705500openalex-extracted
Correlated Demand Shocks and Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.720601openalex-extracted
Dynamic Style Preferences of Individual Investors and Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.724362openalex-extracted
Investor Attention, Overconfidence and Category Learning
inferredcites →https://doi.org/10.2307/2118454openalex-extracted
Trading Volume and Serial Correlation in Stock Returns
inferredcites →https://doi.org/10.2307/2329554openalex-extracted
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
inferredcites →https://doi.org/10.2307/2672914openalex-extracted
Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility
inferredcites →https://doi.org/10.2307/2937816openalex-extracted
Fads, Martingales, and Market Efficiency
inferredcites →https://doi.org/10.2308/accr.00000006openalex-extracted
Should Investors Follow the Prophets or the Bears? Evidence on the Use of Public Information by Analysts and Short Sellers
inferredcites →https://doi.org/10.3386/w27402openalex-extracted
Which Investors Matter for Equity Valuations and Expected Returns?
inferredcites →https://doi.org/10.3386/w28103openalex-extracted
Ratings-Driven Demand and Systematic Price Fluctuations
inferredcites →https://doi.org/10.3386/w28624openalex-extracted
Discontinued Positive Feedback Trading and the Decline of Return Predictability
inferredcites →https://doi.org/10.3386/w28967openalex-extracted
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
inferredcites →https://doi.org/10.3386/w2977openalex-extracted
When are Contrarian Profits Due to Stock Market Overreaction?
inferredcites →https://doi.org/10.3905/jpm.1998.24openalex-extracted
Characteristics or Covariances?
inferredcites →https://doi.org/10.3905/jpm.2019.45.3.013openalex-extracted
Factor Momentum Everywhere
inferredcites →https://doi.org/10.53479/35522openalex-extracted
Do Teams Alleviate or Exacerbate the Extrapolation Bias in the Stock Market?
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