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Biased Expectations and Conditional Size Effect

https://doi.org/10.2139/ssrn.5573438
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Quality minus junk
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Firm characteristics and analyst following
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The relationship between return and market value of common stocks
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Size-related anomalies and stock return seasonality
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The anomalous stock market behavior of small firms in January
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Differential information and the small firm effect
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Asset pricing and the bid-ask spread
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Constraints on short-selling and asset price adjustment to private information
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Political and legal restraints on ownership and control of public companies
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Common risk factors in the returns on stocks and bonds
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Limited attention, information disclosure, and financial reporting
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Is size dead? A review of the size effect in equity returns
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Asset pricing with liquidity risk
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Short sales, institutional investors and the cross-section of stock returns
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Investor attention, overconfidence and category learning
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Institutional investors and the limits of arbitrage
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The short of it: Investor sentiment and anomalies
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Size, value, and momentum in international stock returns
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The role of shorting, firm size, and time on market anomalies
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The other side of value: The gross profitability premium
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A five-factor asset pricing model
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Momentum crashes
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Accruals, cash flows, and operating profitability in the cross section of stock returns
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Size matters, if you control your junk
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The volatility puzzle of the beta anomaly
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Breadth of ownership and stock returns
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Short-sale constraints and stock returns
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Stock price reaction to news and no-news: drift and reversal after headlines
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Illiquidity and stock returns: cross-section and time-series effects
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Arbitrage Risk and Stock Mispricing
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Investor Attention and Stock Returns
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Liquidity Risk and Expected Stock Returns
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Disagreement after News: Gradual Information Diffusion or Differences of Opinion?
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An Analysis of the Amihud Illiquidity Premium
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Market Frictions, Price Delay, and the Cross-Section of Expected Returns
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All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
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The Inventory Growth Spread
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Digesting Anomalies: An Investment Approach
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Dissecting Anomalies with a Five-Factor Model
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Mispricing Factors
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Price Impact or Trading Volume: Why Is the Amihud (2002) Measure Priced?
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Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns
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Short and Long Horizon Behavioral Factors
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Operating Leverage
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
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Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
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RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
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Does the Stock Market Overreact?
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Measuring the Information Content of Stock Trades
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Structural and Return Characteristics of Small and Large Firms
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Contrarian Investment, Extrapolation, and Risk
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The Limits of Arbitrage
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The Delisting Bias in CRSP Data
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Information Uncertainty and Stock Returns
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Asset Growth and the Cross‐Section of Stock Returns
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Estimation and Evaluation of Conditional Asset Pricing Models
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In Search of Attention
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Value and Momentum Everywhere
inferredcites →https://doi.org/10.1111/jofi.13099openalex-snapshot
Anomalies and the Expected Market Return
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Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors
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The Mispricing of Abnormal Accruals
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The Use of DuPont Analysis by Market Participants
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