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Do Anomalies Really Predict Market Returns? New Data and New Evidence.
- Published in:
- Review of Finance, 2024, v. 28, n. 1, p. 1, doi. 10.1093/rof/rfad025
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- Article
Predicting Returns with Machine Learning across Horizons, Firm Size, and Time.
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- Journal of Financial Data Science, 2023, v. 5, n. 4, p. 119, doi. 10.3905/jfds.2023.1.139
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- Article
Responsible Investing: ESG Ratings and the Cross Section of International Stock Returns.
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- Journal of Impact & ESG Investing, 2022, v. 3, n. 1, p. 80, doi. 10.3905/jesg.2022.1.052
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- Article
Alternative profitability measures and cross-section of expected stock returns: international evidence.
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- Review of Quantitative Finance & Accounting, 2021, v. 56, n. 1, p. 369, doi. 10.1007/s11156-020-00897-7
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- Article
Tangible and intangible information in emerging markets.
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- Review of Quantitative Finance & Accounting, 2020, v. 54, n. 4, p. 1509, doi. 10.1007/s11156-019-00833-4
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- Article
Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns.
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- Journal of Risk & Financial Management, 2019, v. 12, n. 2, p. 1, doi. 10.3390/jrfm12020090
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- Article
Default Risk and Cross Section of Returns.
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- Journal of Risk & Financial Management, 2019, v. 12, n. 2, p. 1, doi. 10.3390/jrfm12020095
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- Article
Equity Options During the Shorting Ban of 2008.
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- Journal of Risk & Financial Management, 2018, v. 11, n. 2, p. 1, doi. 10.3390/jrfm11020017
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- Article
Cross-Sectional Return Predictability in Taiwan Stock Exchange: An Empirical Investigation.
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- Review of Pacific Basin Financial Markets & Policies, 2014, v. 17, n. 2, p. 1, doi. 10.1142/S0219091514500106
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- Article
Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs.
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- Journal of Real Estate Finance & Economics, 2014, v. 48, n. 3, p. 415, doi. 10.1007/s11146-013-9410-7
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- Article
Practical Applications of Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets.
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- Journal of Portfolio Management, 2014, p. 20
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- Article
Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets.
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- Journal of Portfolio Management, 2013, v. 39, n. 2, p. 101, doi. 10.3905/jpm.2013.39.2.101
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- Article
A Generalized Measure of Riskiness.
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- Management Science, 2011, v. 57, n. 8, p. 1406, doi. 10.1287/mnsc.1110.1373
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- Article
The Conditional Beta and the Cross-Section of Expected Returns.
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- Financial Management (Wiley-Blackwell), 2009, v. 38, n. 1, p. 103, doi. 10.1111/j.1755-053X.2009.01030.x
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- Article
Idiosyncratic Volatility and the Cross Section of Expected Returns.
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- Journal of Financial & Quantitative Analysis, 2008, v. 43, n. 1, p. 29, doi. 10.1017/S002210900000274X
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- Article
Does Idiosyncratic Risk Really Matter?
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- Journal of Finance (Wiley-Blackwell), 2005, v. 60, n. 2, p. 905, doi. 10.1111/j.1540-6261.2005.00750.x
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- Article
Value at Risk for Interest Rate-Dependent Securities.
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- Journal of Fixed Income, 2003, v. 12, n. 4, p. 81, doi. 10.3905/jfi.2003.319342
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- Article
MATCHED-LONG TERM MATURITY STOCK AND BOND RETURNS IN INTERNATIONAL MARKETS.
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- American Economist, 2002, v. 46, n. 2, p. 45, doi. 10.1177/056943450204600204
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- Article
PRICING EURODOLLAR FUTURES OPTIONS WITH THE HEATH-JARROW-MORTON MODEL.
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- Journal of Futures Markets, 2001, v. 21, n. 7, p. 655, doi. 10.1002/fut.1703
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- Article
Closed-End Equity Funds: Betting on Discounts and Premiums.
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- Journal of Investing, 2000, v. 9, n. 4, p. 83, doi. 10.3905/joi.2000.319443
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- Article
The Value of Deposit Insurance in the Presence of Interest Rate and Credit Risk.
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- Financial Markets, Institutions & Instruments, 1999, v. 8, n. 5, p. 45, doi. 10.1111/1468-0416.00032
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- Article
Empirical Tests of Valuation Models for Options on T-Note and T-Bond Futures.
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- Journal of Futures Markets, 1993, v. 13, n. 1, p. 1, doi. 10.1002/fut.3990130102
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- Article
Pricing Stock Index Futures with Stochastic Interest Rates.
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- Journal of Futures Markets, 1991, v. 11, n. 4, p. 441, doi. 10.1002/fut.3990110404
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- Article
Foreign Acquisitions in the United States and the Effect on Shareholder Wealth.
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- Journal of International Financial Management & Accounting, 1991, v. 3, n. 1, p. 39, doi. 10.1111/j.1467-646X.1991.tb00090.x
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- Article
Premiums on Stock Index Futures-Some Evidence.
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- Journal of Futures Markets, 1990, v. 10, n. 4, p. 367, doi. 10.1002/fut.3990100405
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- Article
American vs. European Options on the Value Line Index.
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- Journal of Futures Markets, 1988, v. 8, n. 3, p. 373, doi. 10.1002/fut.3990080310
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- Article