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Unexpected Returns

https://doi.org/10.2139/ssrn.5574850
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Robust Estimation of a Location Parameter
inferredcites →https://doi.org/10.1016/0304-405x(81)90018-0openalex-snapshot
The relationship between return and market value of common stocks
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Asset pricing and the bid-ask spread
inferredcites →https://doi.org/10.1016/0304-405x(95)00868-fopenalex-snapshot
Commonality in the determinants of expected stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.009openalex-snapshot
Profitability, investment and average returns
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.014openalex-snapshot
Maxing out: Stocks as lotteries and the cross-section of expected returns
inferredcites →https://doi.org/10.1016/j.jfineco.2011.03.024openalex-snapshot
Limits-to-arbitrage, investment frictions, and the asset growth anomaly
inferredcites →https://doi.org/10.1016/j.jfineco.2012.10.005openalex-snapshot
Anomalies and financial distress
inferredcites →https://doi.org/10.1016/j.jfineco.2014.08.007openalex-snapshot
X-CAPM: An extrapolative capital asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-snapshot
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2020.01.002openalex-snapshot
Security analysts and capital market anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2021.10.006openalex-snapshot
Market efficiency in the age of big data
inferredcites →https://doi.org/10.1016/j.jfineco.2023.103713openalex-snapshot
Dynamics of subjective risk premia
inferredcites →https://doi.org/10.1016/j.rfe.2012.06.001openalex-snapshot
Volume, volatility and information linkages in the stock and option markets
inferredcites →https://doi.org/10.1016/s0169-2070(96)00719-4openalex-snapshot
Testing the equality of prediction mean squared errors
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-snapshot
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1023/a:1020221918065openalex-snapshot
Inventory Changes and Future Returns
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/296025openalex-snapshot
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1086/296409openalex-snapshot
Parsimonious Modeling of Yield Curves
inferredcites →https://doi.org/10.1093/qje/qjv037openalex-snapshot
Learning from Inflation Experiences *
inferredcites →https://doi.org/10.1093/qje/qjw034openalex-snapshot
What is the Expected Return on the Market?*
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhae009openalex-snapshot
Which Subjective Expectations Explain Asset Prices?
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hht082openalex-snapshot
Expectations of Returns and Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhw084openalex-snapshot
Asset Pricing When ‘This Time Is Different’
inferredcites →https://doi.org/10.1111/0022-1082.00144openalex-snapshot
Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests
inferredcites →https://doi.org/10.1111/0022-1082.00192openalex-snapshot
The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect
inferredcites →https://doi.org/10.1111/1540-6261.00456openalex-snapshot
Learning, Asset‐Pricing Tests, and Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb03952.xopenalex-snapshot
Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb04772.xopenalex-snapshot
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-snapshot
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01370.xopenalex-snapshot
Asset Growth and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12778openalex-snapshot
What Is the Expected Return on a Stock?
inferredcites →https://doi.org/10.1111/jofi.13016openalex-snapshot
Subjective Cash Flow and Discount Rate Expectations
inferredcites →https://doi.org/10.1146/annurev-financial-073009-104107openalex-snapshot
Limits of Arbitrage
inferredcites →https://doi.org/10.1198/073500102753410444openalex-snapshot
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.1287/mnsc.2013.1806openalex-snapshot
From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return
inferredcites →https://doi.org/10.1561/104.00000112openalex-snapshot
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.2307/1913837openalex-snapshot
Asset Prices in an Exchange Economy
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