Eugene F. Fama, Sr. : Citation Profile


Are you Eugene F. Fama, Sr.?

University of Chicago

36

H index

45

i10 index

41760

Citations

RESEARCH PRODUCTION:

53

Articles

17

Papers

RESEARCH ACTIVITY:

   36 years (1969 - 2005). See details.
   Cites by year: 1160
   Journals where Eugene F. Fama, Sr. has often published
   Relations with other researchers
   Recent citing documents: 3501.    Total self citations: 7 (0.02 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfa110
   Updated: 2023-01-28    RAS profile: 2006-02-13    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Eugene F. Fama, Sr..

Is cited by:

Zhang, Lu (138)

Renneboog, Luc (114)

Campbell, John (107)

faff, robert (107)

Stulz, René (89)

Hirshleifer, David (84)

Zaremba, Adam (75)

GUPTA, RANGAN (71)

Brooks, Chris (69)

Caporale, Guglielmo Maria (68)

Gil-Alana, Luis (67)

Cites to:

French, Kenneth (13)

Ritter, Jay (8)

merton, robert (5)

Stein, Jeremy (4)

Shanken, Jay (4)

Gompers, Paul (3)

Mitchell, Mark (3)

welch, ivo (3)

Shleifer, Andrei (3)

Roll, Richard (3)

Stafford, Erik (3)

Main data


Where Eugene F. Fama, Sr. has published?


Journals with more than one article published# docs
American Economic Review12
Journal of Finance11
The Journal of Business7
Journal of Financial Economics7
Journal of Political Economy6
Journal of Monetary Economics2
International Economic Review2
Journal of Law and Economics2

Recent works citing Eugene F. Fama, Sr. (2022 and 2021)


YearTitle of citing document
2021Inflation and Economic Growth in Kenya: An Empirical Examination. (2021). Odhiambo, Nicholas M ; Saungweme, Talknice. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:3:p:1-25.

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2021Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions. (2021). Adam, Anokye M ; Oyedokun, Tunbosun ; Tweneboah, George ; Junior, Peterson Owusu ; Ijasan, Kola. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:3:p:58-91.

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2021Review on Behavioral Finance with Empirical Evidence. (2021). Woo, Kai-Yin ; Moslehpour, Massoud ; Hon, Tai-Yuen . In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:15-41.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2022The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05.

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2022Behavioral Biases and the Decision-Making in Entrepreneurs and Managers. (2022). Nepomuceno, Liana Holanda ; de Camargo, Maria Jose ; Nobre, Fabio Chaves. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:sup2022:1530.

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2021Changing Objectives of Firms and Managerial Preferences: A Review of Models in Microeconomics. (2021). Kumar, Pradeep B. In: Shanlax International Journal of Management. RePEc:acg:managt:v:8:y:2021:i:4:p:43-46.

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2022Popular Personal Financial Advice versus the Professors. (2022). Choi, James J. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:4:p:167-92.

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2021.

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2021Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284.

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2022Whether high frequency intraday data behave randomly: Evidence from NIFTY 50. (2022). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:65-80.

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2021Multifactorial analysis of the price formation in the terms of a risk-free rate. (2021). Radu, Iulian ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(628):y:2021:i:3(628):p:33-44.

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2022Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors. (2022). Raju, Raghavender G ; Guptha, Siva Kiran ; Poojari, Akash P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:61-80.

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2021.

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2022.

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2022.

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2022.

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2022.

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2021The Impact of Macroeconomic Variables on Capital Market Development in Botswana’s Economy. (2021). Molefhi, Koketso. In: African Journal of Economic Review. RePEc:ags:afjecr:315797.

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2022Determinants of Stock Market Volatility in Africa. (2022). Uhunmwangho, Monday. In: African Journal of Economic Review. RePEc:ags:afjecr:320586.

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2021The Welfare Cost of Ignoring the Beta. (2021). Gollier, Christian. In: FEEM Working Papers. RePEc:ags:feemwp:309916.

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2021Carbon Boards and Transition Risk: Explicit and Implicit exposure implications for Total Stock Returns and Dividend Payouts. (2021). Xepapadeas, Anastasios ; Pareglio, Stefano ; Mazzarano, Matteo ; Guastella, Gianni. In: FEEM Working Papers. RePEc:ags:feemwp:316261.

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2022Corporate Environmental Information Disclosure and Investor Response: Empirical Evidence from Chinas Capital Market. (2022). Zhang, ZhongXiang ; Meng, Jia. In: FEEM Working Papers. RePEc:ags:feemwp:317842.

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2021Capital Gain Predictability Using Financial Ratios: A Case Study of Agribusiness Stocks. (2021). Abdurofi, Ilmas. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:316273.

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2021The Impact of Public Information on Commodity Market Performance: The Response of Corn Futures to USDA Corn Production Forecasts. (2021). Effland, Anne ; Hoffman, Linwood ; Arnade, Carlos. In: Economic Research Report. RePEc:ags:uersrr:327189.

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2022How Quarterly Reports Support the Market. (2022). Soenarno, Yanuar Nanok ; Natashya, Natashya. In: CECCAR Business Review. RePEc:ahd:journl:v:3:y:2022:i:9:p:55-61.

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2022The Effect of Positive and Negative Events on Cryptocurrency Prices. (2022). Oget, Emrah. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:7:y:2022:i:1:p:16-31.

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2022The impact of board characteristics on firm’s financial performance: A study on non-bank financial institutions of Bangladesh. (2022). Shahriar, K M ; Islam, Md Kamrul ; Lee, Younghwan. In: International Journal of Science and Business. RePEc:aif:journl:v:12:y:2022:i:1:p:58-69.

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2022Do board characteristics affect financial performance of firms? An empirical study on Dhaka Stock Exchange (DSE) listed Insurance Companies of Bangladesh. (2022). Sharna, Sugandha Mobin ; Islam, Md Kamrul. In: International Journal of Science and Business. RePEc:aif:journl:v:14:y:2022:i:1:p:1-10.

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2021Mediating Role of Innovation Capacity in the Relationship between Corporate governance and Firm Performance: evidence from Chinese listed firms. (2021). Xiaoyan, Zhou ; Gulema, Tolossa Fufa. In: International Journal of Science and Business. RePEc:aif:journl:v:5:y:2021:i:4:p:105-122.

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2022Performance Evaluation of Mutual Fund Sector in Bangladesh, and Identification of Major Drawbacks. (2022). al Mamun, Abdullah ; Rahman, Md Habibur. In: International Journal of Science and Business. RePEc:aif:journl:v:8:y:2022:i:1:p:76-94.

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2022Yoke of corporate governance and firm performance: A study of listed firms in Pakistan. (2022). Ali, Amjad ; Nisar, Sabahat ; Ahmed, Jawad ; Alim, Wajid. In: Indian Journal of Commerce and Management Studies. RePEc:aii:ijcmss:v:13:y:2022:i:1:p:08-17.

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2022The Anatomy of the Global Saving Glut. (2022). Schularick, Moritz ; Novokmet, Filip ; Bauluz, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:161.

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2021.

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2022Earnings Management and Audit Report Lag: The Role of Audit Risk-Tunisian Evidence. (2022). Jarboui, Anis ; Fakhfakh, Imen. In: Journal of Accounting and Management Information Systems. RePEc:ami:journl:v:21:y:2022:i:1:p:113-135.

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2022Can Financial Strength Indicators Form A Profitable Investment Strategy? The Case Of F-Score in Europe. (2022). Sakellaridou, Athanasia V ; Kampouris, Christos G ; Koutoupis, Andreas G. In: Journal of Accounting and Management Information Systems. RePEc:ami:journl:v:21:y:2022:i:3:p:355-372.

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2021Impact of Shareholders’ Activism on Governance Practices and Firm Performance in Pakistan: A Response for Family Controlled Firms. (2021). Gillani, Seemab ; Amjad, Mariam ; Ehsan, Sadaf. In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:3:y:2021:i:1:p:1-12.

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2021Internal Audit Effectiveness and Audit Committee Characteristics:Empirical Evidence from Pakistan. (2021). Ahmad, Halimah Nasibah ; Salim, Basariah ; Rashid, Amad. In: iRASD Journal of Management. RePEc:ani:irdjom:v:3:y:2021:i:1:p:1-13.

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2021.

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2022Out of Sync: Dispersed Short Selling and the Correction of Mispricing. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:108.

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2021Does Brexit Have a Bullish or Bearish Effect on the Taiwan Stock Market?. (2021). Lin, Tse Mao ; Yu, Jing Long ; Wu, Xin Hui. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2021:p:90-101.

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2021Maximum drawdown, recovery and momentum. (2015). Choi, Jaehyung . In: Papers. RePEc:arx:papers:1403.8125.

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2021Inference on the Sharpe ratio via the upsilon distribution. (2015). Pav, Steven E.. In: Papers. RePEc:arx:papers:1505.00829.

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2022How brokers can optimally plot against traders. (2016). Lafond, Manuel . In: Papers. RePEc:arx:papers:1605.04949.

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2022A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:1802.03708.

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2021High Dimensional Estimation and Multi-Factor Models. (2019). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472.

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2021Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021NEU Meta-Learning and its Universal Approximation Properties. (2019). Hyndman, Cody B ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1809.00082.

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2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2022BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability. (2019). Xu, Yabo ; Wu, QI ; Li, Duan ; Mou, Hao ; Huang, Xin ; Git, Joshua Zoen. In: Papers. RePEc:arx:papers:1906.09024.

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2021The Size Effect Revisited. (2019). Sarantsev, Andrey ; Liu, YI ; Grove, Taran ; Flores, Brandon. In: Papers. RePEc:arx:papers:1907.08911.

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2021Uncertainty in the Hot Hand Fallacy: Detecting Streaky Alternatives in Random Bernoulli Sequences. (2019). Romano, Joseph P ; Ritzwoller, David M. In: Papers. RePEc:arx:papers:1908.01406.

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2021A Deep Learning Framework for Pricing Financial Instruments. (2019). Liu, Zhenming ; Cucuringu, Mihai ; Pizzoferrato, Andrea ; Zhang, Zheng ; Wu, Qiong. In: Papers. RePEc:arx:papers:1909.04497.

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2022Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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2022Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2022High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2021Equity Factors: To Short Or Not To Short, That Is The Question. (2020). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Benaych-Georges, Florent . In: Papers. RePEc:arx:papers:2003.10419.

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2021Time-varying volatility in Bitcoin market and information flow at minute-level frequency. (2020). Antulov-Fantulin, Nino ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2004.00550.

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2021An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870.

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2021A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models. (2020). Sen, Jaydip ; Mehtab, Sidra. In: Papers. RePEc:arx:papers:2004.11697.

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2021Inference with Many Weak Instruments. (2020). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2004.12445.

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2021New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2021Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2021Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2021Testing Semi-Strong Form Efficiency of the Prewar Japanese Stock Market. (2020). Noda, Akihiko ; Hirayama, Kenichi. In: Papers. RePEc:arx:papers:2008.00860.

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2021COVID-19: Tail Risk and Predictive Regressions. (2020). Skrobotov, Anton ; Semenov, Alexander ; Ibragimov, Rustam ; Distaso, Walter. In: Papers. RePEc:arx:papers:2009.02486.

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2022Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2021A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2021Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381.

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2021Sentiment Diffusion in Financial News Networks and Associated Market Movements. (2020). Yang, Jie ; Wan, Xingchen ; Dong, Xiaowen ; Zohren, Stefan ; Calliess, Jan-Peter ; Marinov, Slavi. In: Papers. RePEc:arx:papers:2011.06430.

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2022Predicting S&P500 Index direction with Transfer Learning and a Causal Graph as main Input. (2021). Romain, Djoumbissie David. In: Papers. RePEc:arx:papers:2011.13113.

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2022Deep reinforcement learning for portfolio management based on the empirical study of chinese stock market. (2021). Song, Qingyang ; Zhou, Xiaohua ; Huang, Gang. In: Papers. RePEc:arx:papers:2012.13773.

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2021COVID19-HPSMP: COVID-19 Adopted Hybrid and Parallel Deep Information Fusion Framework for Stock Price Movement Prediction. (2021). Mohammadi, Arash ; Naderkhani, Farnoosh ; Salimibeni, Mohammad ; Ronaghi, Farnoush. In: Papers. RePEc:arx:papers:2101.02287.

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2021Mining the Relationship Between COVID-19 Sentiment and Market Performance. (2021). Chen, Jeffery ; Xia, Ziyuan. In: Papers. RePEc:arx:papers:2101.02587.

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2021Comparison of the effects of investor attention using search volume data before and after mobile device popularization. (2021). Min, Jonghyeon. In: Papers. RePEc:arx:papers:2101.03239.

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2021Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan. In: Papers. RePEc:arx:papers:2101.04113.

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2021Beating the Market with Generalized Generating Portfolios. (2021). Mijatovic, Patrick. In: Papers. RePEc:arx:papers:2101.07084.

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2021REST: Relational Event-driven Stock Trend Forecasting. (2021). Bian, Jiang ; Xu, Wentao ; Liu, Weiqing ; Yin, Jian. In: Papers. RePEc:arx:papers:2102.07372.

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2021Time-varying properties of asymmetric volatility and multifractality in Bitcoin. (2021). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2102.07425.

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2021Deep Learning for Market by Order Data. (2021). Zohren, Stefan ; Lim, Bryan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2102.08811.

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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Two-sided Singular Control of an Inventory with Unknown Demand Trend. (2021). Rodosthenous, Neofytos ; Ferrari, Giorgio ; Federico, Salvatore. In: Papers. RePEc:arx:papers:2102.11555.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

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2022A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data. (2021). Oya, Sakae. In: Papers. RePEc:arx:papers:2103.05880.

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2021Financial factors selection with knockoffs: fund replication, explanatory and prediction networks. (2021). Pelletier, Guillaume ; Bongiorno, Christian ; Challet, Damien. In: Papers. RePEc:arx:papers:2103.05921.

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2021Feature Learning for Stock Price Prediction Shows a Significant Role of Analyst Rating. (2021). Khushi, Matloob ; Singh, Jaideep. In: Papers. RePEc:arx:papers:2103.09106.

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2021Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man. In: Papers. RePEc:arx:papers:2103.09987.

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2021Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data. (2021). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2103.14626.

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2022Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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2023Universal Prediction Band via Semi-Definite Programming. (2021). Liang, Tengyuan. In: Papers. RePEc:arx:papers:2103.17203.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021Financial Markets Prediction with Deep Learning. (2021). Wang, Degang ; Cao, YU ; Liu, Benyuan ; Sun, Tong. In: Papers. RePEc:arx:papers:2104.05413.

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2021A Bayesian analysis of gain-loss asymmetry. (2021). Terenzi, Giulia ; di Iura, Andrea Giuseppe. In: Papers. RePEc:arx:papers:2104.06044.

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2021A comparative study of Different Machine Learning Regressors For Stock Market Prediction. (2021). Ilyas, Muhammad ; Nawaz, Zubair ; Ashfaq, Nazish. In: Papers. RePEc:arx:papers:2104.07469.

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2021Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm. (2021). Zhang, Xin ; Chen, Zhixue ; Wu, Lan. In: Papers. RePEc:arx:papers:2104.12484.

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2021Applying Convolutional Neural Networks for Stock Market Trends Identification. (2021). Zolotareva, Ekaterina. In: Papers. RePEc:arx:papers:2104.13948.

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2021Why and how systematic strategies decay. (2021). Falck, Antoine ; Thesmar, David ; Rej, Adam. In: Papers. RePEc:arx:papers:2105.01380.

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2021Can an Agency Role-Reversal Lead to an Organizational Collapse?; A Study Proposal. (2021). Haimberg, Yossi. In: Papers. RePEc:arx:papers:2105.04667.

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2021Double robust inference for continuous updating GMM. (2021). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08345.

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More than 100 citations found, this list is not complete...

Works by Eugene F. Fama, Sr.:


YearTitleTypeCited
1970Multiperiod Consumption-Investment Decisions. In: American Economic Review.
[Full Text][Citation analysis]
article81
1972The Number of Firms and Competition. In: American Economic Review.
[Full Text][Citation analysis]
article12
1974The Empirical Relationships Between the Dividend and Investment Decisions of Firms. In: American Economic Review.
[Full Text][Citation analysis]
article54
1974The Number of Firms and Competition: Reply. In: American Economic Review.
[Citation analysis]
article0
1975Short-Term Interest Rates as Predictors of Inflation. In: American Economic Review.
[Full Text][Citation analysis]
article276
1976Multiperiod Consumption-Investment Decisions: A Correction. In: American Economic Review.
[Full Text][Citation analysis]
article1
1977Interest Rates and Inflation: The Message in the Entrails. In: American Economic Review.
[Full Text][Citation analysis]
article9
1978The Effects of a Firms Investment and Financing Decisions on the Welfare of Its Security Holders. In: American Economic Review.
[Full Text][Citation analysis]
article52
1979Money, Bonds, and Foreign Exchange. In: American Economic Review.
[Full Text][Citation analysis]
article36
1981Stock Returns, Real Activity, Inflation, and Money. In: American Economic Review.
[Full Text][Citation analysis]
article826
1983Stock Returns, Real Activity, Inflation, and Money: Reply. In: American Economic Review.
[Full Text][Citation analysis]
article8
1987The Information in Long-Maturity Forward Rates. In: American Economic Review.
[Full Text][Citation analysis]
article690
2004The Capital Asset Pricing Model: Theory and Evidence In: Journal of Economic Perspectives.
[Full Text][Citation analysis]
article398
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1996 Multifactor Explanations of Asset Pricing Anomalies. In: Journal of Finance.
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1996 The CAPM Is Wanted, Dead or Alive. In: Journal of Finance.
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1990Editorial In: Journal of Financial Economics.
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1993Common risk factors in the returns on stocks and bonds In: Journal of Financial Economics.
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2001Disappearing dividends: changing firm characteristics or lower propensity to pay? In: Journal of Financial Economics.
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1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage. In: The Journal of Business.
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1971Risk, Return, and Equilibrium. In: Journal of Political Economy.
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1973Risk, Return, and Equilibrium: Empirical Tests. In: Journal of Political Economy.
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1973Risk, Return, and Portfolio Analysis: Reply. In: Journal of Political Economy.
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1976Inflation Uncertainty and Expected Returns on Treasury Bills. In: Journal of Political Economy.
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1980Agency Problems and the Theory of the Firm. In: Journal of Political Economy.
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1988Permanent and Temporary Components of Stock Prices. In: Journal of Political Economy.
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Value versus Growth: The International Evidence In: CRSP working papers.
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The Corporate Cost of Capital and the Return on Corporate Investment In: CRSP working papers.
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