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Dual Industry Effects and Cross-Stock Predictability

https://doi.org/10.2139/ssrn.4849902
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Agnostic fundamental analysis works
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Shared analyst coverage: Unifying momentum spillover effects
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A frog in every pan: Information discreteness and the lead-lag returns puzzle
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Cross-stock momentum and factor momentum
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The time-series relations among expected return, risk, and book-to-market
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Illiquidity and stock returns: cross-section and time-series effects
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Industries and Stock Return Reversals
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Time-Varying Liquidity and Momentum Profits
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Text-Based Industry Momentum
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Risk, Return, and Equilibrium: Empirical Tests
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Liquidity Risk and Expected Stock Returns
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Text-Based Network Industries and Endogenous Product Differentiation
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Industry Information Diffusion and the Lead-lag Effect in Stock Returns
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Overreaction, Delayed Reaction, and Contrarian Profits
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Empirical Asset Pricing via Machine Learning
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Pairs Trading: Performance of a Relative-Value Arbitrage Rule
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Editor's Choice … and the Cross-Section of Expected Returns
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Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
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Replicating Anomalies
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Short and Long Horizon Behavioral Factors
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Dissecting Characteristics Nonparametrically
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Geographic Lead-Lag Effects
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Differences of Opinion and the Cross Section of Stock Returns
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Momentum and Credit Rating
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Dissecting Anomalies
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Economic Links and Predictable Returns
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Sparse Signals in the Cross‐Section of Returns
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Principal Portfolios
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Dispersion in Analysts' Earnings Forecasts as a Measure of Uncertainty
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Comparing Predictive Accuracy
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Overreaction in Macroeconomic Expectations
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Attention and Underreaction-Related Anomalies
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Deep Learning in Asset Pricing
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Information Uncertainty and Analyst Forecast Behavior*
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.1520062openalex-extracted
Text-Based Network Industries and Endogenous Product Differentiation
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Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
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Dissecting Characteristics Nonparametrically
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AlphaPortfolio for Investment and Economically Interpretable AI
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Industry Information Diffusion and the Lead-Lag Effect in Stock Returns
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Investor Sentiment and the Cross-Section of Stock Returns
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An Intertemporal Capital Asset Pricing Model
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Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
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Headline Salience, Managerial Opportunism, and Over- and Underreactions to Earnings
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Industry Relative Price-Earnings Ratios as Indicators of Investment Returns
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