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Leading Stocks and the Stock Market Expected Returns

https://doi.org/10.2139/ssrn.4768908
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Limited attention and the earnings announcement returns of past stock market winners
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Stock Returns and the Term Structure
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Dividend yields and expected stock returns
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Business conditions and expected returns on stocks and bonds
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Limited attention, information disclosure, and financial reporting
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Approximately normal tests for equal predictive accuracy in nested models
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Institutional ownership and return predictability across economically unrelated stocks
inferredcites →https://doi.org/10.1016/j.jfineco.2006.10.002openalex-extracted
Asymmetric stock market volatility and the cyclical behavior of expected returns
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Investor attention, psychological anchors, and stock return predictability
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The short of it: Investor sentiment and anomalies
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Innovative efficiency and stock returns
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Anomalies and financial distress
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Search-based peer firms: Aggregating investor perceptions through internet co-searches
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Smart money, dumb money, and capital market anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2016.03.004openalex-extracted
Short interest and aggregate stock returns
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Information percolation, momentum and reversal
inferredcites →https://doi.org/10.1016/j.jfineco.2018.10.001openalex-extracted
Manager sentiment and stock returns
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Shared analyst coverage: Unifying momentum spillover effects
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Market efficiency in the age of big data
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Learning with Information Capacity Constraints
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Investor Attention and Stock Returns
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Do Cross-Sectional Predictors Contain Systematic Information?
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On the psychology of prediction.
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Inference on Treatment Effects after Selection among High-Dimensional Controls
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When Are Contrarian Profits Due to Stock Market Overreaction?
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-extracted
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm046openalex-extracted
The Dog That Did Not Bark: A Defense of Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-extracted
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
inferredcites →https://doi.org/10.1093/rfs/hhp063openalex-extracted
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
inferredcites →https://doi.org/10.1093/rfs/hhu019openalex-extracted
Attracting Investor Attention through Advertising
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Geographic Lead-Lag Effects
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Follow the Leader: Using the Stock Market to Uncover Information Flows Between Firms
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Do Industries Explain Momentum?
inferredcites →https://doi.org/10.1111/0022-1082.00206openalex-extracted
Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
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The Determinants and Consequences of Information Acquisition via EDGAR
inferredcites →https://doi.org/10.1111/j.1540-6261.1976.tb01900.xopenalex-extracted
INFLATION AND RATES OF RETURN ON COMMON STOCKS
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RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
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Inferring Trade Direction from Intraday Data
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.1540-6261.2009.01474.xopenalex-extracted
Predictive Systems: Living with Imperfect Predictors
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01493.xopenalex-extracted
Media Coverage and the Cross‐section of Stock Returns
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/jofi.12041openalex-extracted
International Stock Return Predictability: What Is the Role of the United States?
inferredcites →https://doi.org/10.1111/jofi.12149openalex-extracted
Connected Stocks
inferredcites →https://doi.org/10.1111/jofi.12286openalex-extracted
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.1111/jofi.12733openalex-extracted
Sparse Signals in the Cross‐Section of Returns
inferredcites →https://doi.org/10.1111/jofi.13099openalex-extracted
Anomalies and the Expected Market Return
inferredcites →https://doi.org/10.1111/jofi.13229openalex-extracted
Pockets of Predictability
inferredcites →https://doi.org/10.1214/07-aos582openalex-extracted
Lasso-type recovery of sparse representations for high-dimensional data
inferredcites →https://doi.org/10.1257/aer.20141271openalex-extracted
Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage
inferredcites →https://doi.org/10.1257/aer.p20151022openalex-extracted
Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments
inferredcites →https://doi.org/10.1287/mnsc.2016.2477openalex-extracted
The Comovement of Investor Attention
inferredcites →https://doi.org/10.1287/mnsc.2017.2734openalex-extracted
Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach
inferredcites →https://doi.org/10.2139/ssrn.1508484openalex-extracted
International Stock Return Predictability: What is the Role of the United States?
inferredcites →https://doi.org/10.2139/ssrn.2155491openalex-extracted
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.2139/ssrn.2215764openalex-extracted
Institutional Ownership and Return Predictability Across Economically Unrelated Stocks
inferredcites →https://doi.org/10.2139/ssrn.460660openalex-extracted
All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
inferredcites →https://doi.org/10.2139/ssrn.879793openalex-extracted
The Dog that Did Not Bark: A Defense of Return Predictability
inferredcites →https://doi.org/10.2307/2526578openalex-extracted
Hypothesis Testing with Efficient Method of Moments Estimation
inferredcites →https://doi.org/10.3386/w2977openalex-extracted
When are Contrarian Profits Due to Stock Market Overreaction?
inferredcites →https://doi.org/10.3386/w6553openalex-extracted
Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies
inferredcites →https://doi.org/10.3982/ecta9626openalex-extracted
Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain
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