Alternative factor specifications, security characteristics, and the cross-section of expected stock returns

No abstract is available for this paper.

• Publication year

  1998

• Venue

  Journal of Financial Economics

• Publication date

  1998-09-01

• Fields of study

  Economics

• Identifiers
  DOI 10.1016/S0304-405X(98)00028-2
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Investor Psychology and Security Market Under- and Overreactions

  1999cited by this paper
• The Alpha Factor Asset Pricing Model: A Parable

  1999cited by this paper
• An Asymptotic Theory for Estimating Beta‐Pricing Models Using Cross‐Sectional Regression

  1998cited by this paper
• A Model of Investor Sentiment

  1997cited by this paper
• Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

  1997cited by this paper
• Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns

  1997cited by this paper
• Multifactor Explanations of Asset Pricing Anomalies

  1996cited by this paper
• Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

  1996cited by this paper
• Cross-Sectional Determinants of Expected Returns

  1996cited by this paper
• Understanding Risk and Return

  1996cited by this paper
• Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings

  1996cited by this paper
• Overreaction, Delayed Reaction, and Contrarian Profits

  1995cited by this paper
• Investment analysis and price formation in securities markets

  1995influential reference
• Multifactor Models Do Not Explain Deviations from the CAPM

  1994cited by this paper
• Posted versus effective spreads: Good prices or bad quotes?

  1994influential reference
• Contrarian Investment, Extrapolation, and Risk

  1994cited by this paper
• Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

  1993cited by this paper
• NYSE vs NASDAQ returns: Market microstructure or the poor performance of initial public offerings?

  1993influential reference
• A Test for the Number of Factors in an Approximate Factor Model

  1993cited by this paper
• Common risk factors in the returns on stocks and bonds

  1993cited by this paper
• Differences in the Risks and Returns of NYSE and NASD Stocks

  1993cited by this paper
• On the Estimation of Beta-Pricing Models

  1992cited by this paper
• Data-Snooping Biases in Tests of Financial Asset Pricing Models

  1990cited by this paper
• Market microstructure and asset pricing: An empirical investigation of NYSE and NASDAQ securities

  1990cited by this paper
• Evidence of Predictable Behavior of Security Returns

  1990cited by this paper
• A Test of the Efficiency of a Given Portfolio

  1989influential reference
• The empirical foundations of the arbitrage pricing theory

  1988cited by this paper
• Risk and Return in an Equilibrium Apt: Application of a New Test Methodology

  1988influential reference
• Estimating the components of the bid/ask spread

  1988cited by this paper
• Multivariate proxies and asset pricing relations: Living with the Roll critique

  1987cited by this paper
• Multi‐Beta CAPM or Equilibrium‐APT?: A Reply

  1985cited by this paper
• A Unified Beta Pricing Theory

  1984cited by this paper
• A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm

  1983cited by this paper
• Dividends and Taxes: Some Empirical Evidence

  1982cited by this paper
• On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis

  1982cited by this paper
• MULTIVARIATE TESTS OF FINANCIAL MODELS A New Approach

  1982cited by this paper
• The relationship between return and market value of common stocks

  1981cited by this paper
• Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium

  1980cited by this paper
• An Empirical Investigation of the Arbitrage Pricing Theory

  1980cited by this paper
• Risk measurement when shares are subject to infrequent trading

  1979cited by this paper
• The effect of personal taxes and dividends on capital asset prices

  1979cited by this paper
• Investment Performance of Common Stocks in Relation to their Price-Earnings Ratios

  1977cited by this paper
• A Critique of the Asset Pricing Theory''s Tests: Part I

  1977cited by this paper
• The effects of dividend yield and dividend policy on common stock prices and returns

  1974cited by this paper
• AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL

  1973cited by this paper
• Risk, Return, and Equilibrium: Empirical Tests

  1973cited by this paper
• Studies in the Theory of Capital Markets.

  1973cited by this paper
• TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY

  1970cited by this paper

• Liquidity, stock valuation metrics, and the entrepreneurial sector

  2026cites this paper
• Monetary policy surprises and the cross sectional stock return predictability in volume sorted portfolios

  2026cites this paper
• What is the best composite liquidity proxy for explaining stock returns? Evidence from the Chinese stock market

  2025cites this paper
• Labor Productivity, Return Predictability, and Operating Profitability

  2025cites this paper
• THE MOMENTUM LIFE CYCLE RE-EXAMINED: USING INCONGRUENT VALUE-GROWTH TO IDENTIFY THE MOMENTUM STAGE OF STOCKS

  2025cites this paper
• Trust anomalies' judgment: Social ranking theories for portfolio construction

  2025cites this paper
• Middlemen, inventories and economic dynamics

  2025cites this paper
• An analysis of vectorised automatic differentiation for statistical applications

  2025cites this paper
• Financial distress and return: A finite mixture approach

  2025cites this paper
• Returns from liquidity provision in cryptocurrency markets

  2025cites this paper
• Asymmetric Relation Between Firm‐Level Characteristics and Returns

  2025cites this paper
• A Take-off Point for Retirement Program

  2025cites this paper
• The nexus of top management structure, stock liquidity and valuation: a puzzle of the Gordian knot

  2025cites this paper
• Liquidity, Monetary Policy and the Commodity Futures Market

  2025cites this paper
• An examination of the characteristics versus covariance debate for contemporary asset‐pricing models: Australian evidence

  2024cites this paper
• Impact of ownership concentration on stock returns: a case of developed economies

  2024cites this paper
• The Effects of the Introduction of Volume-Based Liquidity Constraints in Portfolio Optimization with Alternative Investments

  2024cites this paper
• The Liquidity Uncertainty Premium Puzzle

  2024cites this paper
• Employee Demographic Diversity and Firm Performance

  2024cites this paper
• Bankruptcy forecasting – Market information with ensemble model

  2024cites this paper
• Impact of Ownership Structure and Dividends on Firm Risk and Market Liquidity

  2024cites this paper
• Crowd-sourced CEO approval and turnover

  2024cites this paper
• MIDDLEMEN IN SEARCH EQUILIBRIUM WITH INTENSIVE AND EXTENSIVE MARGINS

  2024cites this paper
• One Factor to Bind the Cross-Section of Returns

  2024cites this paper
• Trading volume, anomaly returns and noise trader risk in China

  2024cites this paper
• ESG and aggregate disagreement

  2024cites this paper
• Which proxy: Capturing lottery feature through aggregation

  2024cites this paper
• Stock Option Incentives and Firm Performance *

  2024cites this paper
• Volume and stock returns in the Chinese market

  2024cites this paper
• Shareholder litigation risk and stock returns

  2024cites this paper
• Does the Options Market Underreact to Firms’ Left-Tail Risk?

  2024cites this paper
• Liquidity and dynamic leverage: the moderating impacts of leverage deviation and target instability

  2024cites this paper
• Market participants' trading behavior toward anomalies: Evidence from the Korean market

  2024cites this paper
• Climate Solutions, Transition Risk, and Stock Returns

  2024cites this paper
• Pricing the Illiquidity Premium for Private Market Assets

  2024cites this paper
• Liquidity Risk and Expected Returns in China’s Stock Market: A Multidimensional Liquidity Approach

  2024cites this paper
• Which Market Enhances Market Efficiency by Improving Liquidity? Evidence of Market Liquidity in Relation to Returns of Stocks

  2023cites this paper
• Interest Rate Changes and the Cross-Section of Global Equity Returns

  2023cites this paper
• Arbitrage asymmetry, mispricing and the illiquidity premium

  2023cites this paper
• Employee Demographic Diversity and Firm Performance

  2023cites this paper
• Why is the measure priced in Taiwan: Illiquidity or mispricing?

  2023cites this paper
• The association between upward and downward earnings management and equity liquidity: empirical evidence from non-financial firms listed in Vietnam

  2023cites this paper
• Risk-adjusted farm returns and farm size

  2023cites this paper
• Institutional ownership and momentum in the Chinese A-share market

  2023cites this paper
• Do shareholders really matter for firm performance? Evidence from the ownership characteristics of Italian listed companies

  2023cites this paper
• Out-of-Sample Performance of Factor Return Predictors

  2023cites this paper
• Like a duck to water: Do credit rating analysts outperform in bond fund management

  2023cites this paper
• Local stock liquidity and local factors: fresh evidence from US firms across states

  2023cites this paper
• Model Smart Beta dalam Menyusun Portofolio Optimal a Literature Review

  2023cites this paper
• Market Frictions and Momentum Premium: Does Stock Mispricing Matter? Evidence from China

  2023cites this paper
• Comparing competing factor and characteristics models: Evidence in Japan

  2023cites this paper
• Network-based measures of systemic risk in Korea

  2023cites this paper
• Liquidity Shocks and the Negative Premium of Liquidity Volatility Around the World

  2023cites this paper
• Sentiment and covariance characteristics

  2023cites this paper
• Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost

  2023cites this paper
• Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around the World

  2023cites this paper
• Recency Bias and the Cross-Section of International Stock Returns

  2023cites this paper
• Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?

  2023cites this paper
• Company Name Fluency and Stock Returns

  2023cites this paper
• The contributions of betas versus characteristics to the ESG premium

  2023cites this paper
• Idiosyncratic volatility and return: A finite mixture approach

  2023cites this paper
• Patent quality, firm value, and investor underreaction: Evidence from patent examiner busyness

  2022cites this paper
• Order Choices: An Intraday Analysis of the Taiwan Stock Exchange

  2022cites this paper
• Consumption with earnings, liquidity, and market based models

  2022cites this paper
• liquidity

  2022cites this paper
• Volatility Information Difference between CDS and Option markets and the Cross Section of Option Returns

  2022cites this paper
• The dual effect of idiosyncratic volatility on stock pricing and return

  2022cites this paper
• Pricing uncertainty in the Brazilian stock market: do size and sustainability matter?

  2022cites this paper
• The impact of the prospect theory value on the relationship between liquidity risk and returns

  2022cites this paper
• Dividend policy, systematic liquidity risk, and the cost of equity capital

  2022cites this paper
• Do manager characteristics matter in equity mutual fund performance? New evidence based on the double-adjusted alpha

  2022cites this paper
• What is Missing in Asset-Pricing Factor Models?

  2022influential citation
• Domestic liquidity of cross-listed stocks: Evidence from the ADR market

  2022cites this paper
• The alphas of beta and idiosyncratic volatility

  2022cites this paper
• Oil Price Explosivity and Stock Return: Do Sector and Firm Size Matter?

  2022cites this paper
• Liquidity components: Commonality in liquidity, underreaction, and equity returns

  2022cites this paper
• The conditional impact of investor sentiment in global stock markets: A two-channel examination

  2022cites this paper
• Does the U.S. president affect the stock market?

  2022cites this paper
• Market Development, Information Diffusion, and the Global Anomaly Puzzle

  2022cites this paper
• Employee Satisfaction and Long-Run Stock Returns, 1984–2020

  2022influential citation
• Journal of Financial Markets

  2022influential citation
• COVID-19 pandemic and liquidity commonality

  2022cites this paper
• The effects of stock market crises shocks on market liquidity, market volatility and exchange rate volatility: Case of the Tunisian stock market

  2022cites this paper
• Aggregate Liquidity Premium and Cross-sectional Returns: Evidence from China

  2021cites this paper
• Insider trading and the legal expertise of corporate executives

  2021cites this paper
• Empirical analysis of the illiquidity premia of German real estate securities

  2021cites this paper
• Liquidity risk and expected cryptocurrency returns

  2021cites this paper
• Further tests of asset pricing models: Liquidity risk matters

  2021cites this paper
• How Does the Change in Left-Tail Risk Priced in China?

  2021cites this paper
• Earnings and liquidity factors

  2021cites this paper
• Illiquidity Premium in the Indian Stock Market: An Empirical Study

  2021cites this paper
• To Mine or to Trade? An Empirical Study of Bitcoin Exchange and Mining Markets

  2021cites this paper
• Momentum life cycle, revisited

  2021cites this paper
• Stock return predictability: Evidence from moving averages of trading volume

  2021cites this paper
• Changing Expected Returns Can Induce Spurious Serial Correlation

  2021cites this paper
• Network Centrality and Managerial Market-Timing Ability

  2021cites this paper
• Investigating the change in the effect of fundamental variables on return in Tehran Stock Exchange

  2021cites this paper
• RESEARCH ON STOCK PORTFOLIO BASED ON TIME SERIES PREDICTION AND MULTI-OBJECTIVE OPTIMIZATION

  2021cites this paper
• Margin trading and stock idiosyncratic volatility: Evidence from the Chinese stock market

  2021cites this paper
• How is the change in left-tail risk priced in China?

  2021cites this paper