Yu Yuan : Citation Profile


Are you Yu Yuan?

Shanghai Jiao Tong University

6

H index

6

i10 index

349

Citations

RESEARCH PRODUCTION:

6

Articles

7

Papers

RESEARCH ACTIVITY:

   9 years (2009 - 2018). See details.
   Cites by year: 38
   Journals where Yu Yuan has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 9 (2.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu149
   Updated: 2018-05-19    RAS profile: 2017-12-31    
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Relations with other researchers


Works with:

Stambaugh, Robert (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Yu Yuan.

Is cited by:

Papapostolou, Nikos (6)

Bekaert, Geert (5)

Stambaugh, Robert (5)

De-Losso, Rodrigo (4)

Subrahmanyam, Avanidhar (4)

Mehl, Arnaud (4)

Fratzscher, Marcel (4)

Ehrmann, Michael (4)

Ling, David (3)

Smales, Lee (3)

Hirshleifer, David (3)

Cites to:

Stambaugh, Robert (24)

Baker, Malcolm (24)

Wurgler, Jeffrey (23)

French, Kenneth (20)

Shleifer, Andrei (18)

Hou, Kewei (17)

Teoh, Siew Hong (17)

Hirshleifer, David (17)

Titman, Sheridan (16)

Campbell, John (14)

Fama, Eugene (11)

Main data


Where Yu Yuan has published?


Journals with more than one article published# docs
Journal of Financial Economics5

Recent works citing Yu Yuan (2018 and 2017)


YearTitle of citing document
2018Does the time horizon of the return predictive effect of investor sentiment vary with stock characteristics? A Granger causality analysis in the frequency domain. (2018). Jiang, Yong ; Zhou, Zhongbao. In: Papers. RePEc:arx:papers:1803.02962.

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2017The Validity of Investor Sentiment Proxies. (2017). Chan, Felix ; Smales, Lee A ; Khuu, Joyce ; Durand, Robert B. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:473-477.

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2017THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION. (2017). Turtle, H J ; Wang, Kainan. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:1:p:113-140.

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2017Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Working Papers in Economics. RePEc:cbt:econwp:17/13.

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2017Global Risk Aversion Spillover Dynamics and Investors Attention Allocation. (2017). Ceylan, Ozcan. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:ceylan.

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2017The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. (2017). Zhang, Yuejun ; Ding, Zhihua ; Long, Ruyin ; Liu, Zhenhua . In: Applied Energy. RePEc:eee:appene:v:187:y:2017:i:c:p:27-36.

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2017How does investor attention affect international crude oil prices?. (2017). Zhang, Yue-Jun ; Ma, Chao-Qun ; Yao, Ting . In: Applied Energy. RePEc:eee:appene:v:205:y:2017:i:c:p:336-344.

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2018Volatility and the buyback anomaly. (2018). Evgeniou, Theodoros ; Vermaelen, Theo ; Nassuphis, Nick ; DE FORTUNY, Enric JUNQUe . In: Journal of Corporate Finance. RePEc:eee:corfin:v:49:y:2018:i:c:p:32-53.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Beauty contest, bounded rationality, and sentiment pricing dynamics. (2017). Liang, Hanchao ; Cai, Chuangqun ; Yang, Chunpeng . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:71-80.

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2017Disagreement and the risk-return relation. (2017). Jia, Yun ; Yang, Chunpeng . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:97-104.

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2018Does investor attention matter? The attention-return relationships in FX markets. (2018). Han, Liyan ; Yin, Libo ; Xu, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660.

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2017Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations. (2017). Filzen, Joshua J ; Schutte, Maria Gabriela . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:19-37.

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2017Bounded rationality, anchoring-and-adjustment sentiment, and asset pricing. (2017). Liang, Hanchao ; Cai, Chuangqun ; Zhang, Rengui ; Yang, Chunpeng . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:85-102.

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2017Abnormal research and development investments and stock returns. (2017). Songur, Hilmi ; Heavilin, Jason E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:237-249.

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2017Investor sentiment and country exchange traded funds: Does economic freedom matter?. (2017). Lee, Chien-Chiang ; Hsu, Yi-Chung ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:285-299.

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2017Ultimate consumption risk and investment-based stock returns. (2017). Kang, Hankil ; Lee, Changjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:473-486.

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2017Investor sentiment, heterogeneous agents and asset pricing model. (2017). Li, Jinfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:504-512.

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2017Digesting anomalies in emerging European markets: A comparison of factor pricing models. (2017). Zaremba, Adam ; Czapkiewicz, Anna . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:1-15.

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2017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

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2017Effects of changes in stock index compositions: A literature survey. (2017). Afego, Pyemo. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:228-239.

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2017Cognitive biases in investors behaviour under stress: Evidence from the London Stock Exchange. (2017). Philippas, Dionisis ; SIRIOPOULOS, COSTAS ; Kariofyllas, Spyridon. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:54-62.

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2018Return dispersion risk in FX and global equity markets: Does it explain currency momentum?. (2018). Grobys, Klaus ; Kolari, James ; Heinonen, Jari-Pekka . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:264-280.

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2017Impacts of the mass media effect on investor sentiment. (2017). Yang, Wen ; Yi, Zelong ; Lin, Dongtong . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:1-4.

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2017Gamblers attention and the mean-variance relation: Evidence from China. (2017). Wu, Lingyan ; Yao, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:233-238.

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2018Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight. (2018). Zaremba, Adam ; Bdowska-Sojka, Barbara ; Czapkiewicz, Anna . In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:163-167.

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2017Short selling and the pricing of closed-end funds. (2017). Alexander, Gordon ; Peterson, Mark A. In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:124-142.

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2017Short selling around the 52-week and historical highs. (2017). Piqueira, Natalia ; Lee, Eunju . In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:75-101.

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2018What options to trade and when: Evidence from seasoned equity offerings. (2018). Kim, Dong Han ; Seo, Sung Won. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:70-96.

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2017The world price of sentiment risk. (2017). Keiber, Karl Ludwig ; Samyschew, Helene . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:62-82.

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2017Global portfolio investment network and stock market comovement. (2017). Chuluun, Tuugi . In: Global Finance Journal. RePEc:eee:glofin:v:33:y:2017:i:c:p:51-68.

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2017Excess stock return comovements and the role of investor sentiment. (2017). Verschoor, Willem ; Frijns, Bart. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:74-87.

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2017Investor sentiment, idiosyncratic risk, and mispricing of American Depository Receipt. (2017). Wu, Qinqin ; Lu, Jing ; Hao, Ying . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:1-14.

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2018Historical high and stock index returns: Application of the regression kink model. (2018). Chang, Shu-Lien ; Lin, Ching ; Lee, Hsiu-Chuan ; Chien, Cheng-Yi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:48-63.

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2017The q-factors and expected bond returns. (2017). Franke, Benedikt ; Muller, Sonja . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:19-35.

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2018Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market. (2018). Kang, Wenjin ; Xu, BU ; Gu, Ming . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:240-258.

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2018Q-theory, mispricing, and profitability premium: Evidence from China. (2018). Jiang, Fuwei ; Tang, Guohao ; Qi, Xinlin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:135-149.

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2018Market states, sentiment, and momentum in the corporate bond market. (2018). Li, Lifang ; Galvani, Valentina . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:249-265.

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2017Industry herd behaviour in financing decision making. (2017). Camara, Omar . In: Journal of Economics and Business. RePEc:eee:jebusi:v:94:y:2017:i:c:p:32-42.

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2017Reference-dependent preferences and the risk–return trade-off. (2017). Wang, Huijun ; Yu, Jianfeng ; Yan, Jinghua . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:2:p:395-414.

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2017Well-connected short-sellers pay lower loan fees: A market-wide analysis. (2017). Giovannetti, Bruno ; Chague, Fernando ; De-Losso, Rodrigo ; Bueno, Rodrigo ; de Genaro, Alan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:3:p:646-670.

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2018Absolving beta of volatility’s effects. (2018). Liu, Jianan ; Yuan, YU ; Stambaugh, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:1-15.

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2017Investor sentiment and economic forces. (2017). Shen, Junyan ; Zhao, Shen ; Yu, Jianfeng . In: Journal of Monetary Economics. RePEc:eee:moneco:v:86:y:2017:i:c:p:1-21.

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2017Stock return anomalies and individual investors in the Korean stock market. (2017). Jang, Jeewon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pa:p:141-157.

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2017Does price efficiency increase with trading volume? Evidence of nonlinearity and power laws in ETFs. (2017). Desantis, Mark ; Caginalp, Gunduz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:436-452.

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2018A global network topology of stock markets: Transmitters and receivers of spillover effects. (2018). Shahzad, Syed Jawad Hussain ; Zakaria, Muhammad ; Al-Yahyaee, Khamis Hamed ; Ur, Mobeen ; Hernandez, Jose Areola ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:492:y:2018:i:c:p:2136-2153.

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2018The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China. (2018). Su, Zhi ; Yin, Libo ; Shu, Tengjia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:218-235.

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2017Examining return predictability of industry style portfolios with prior return relative to a benchmark. (2017). Noman, Abdullah ; Zirek, Duygu ; Naka, Atsuyuki . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:193-203.

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2017Analysts and sentiment: A causality study. (2017). Kaplanski, Guy ; Levy, Haim. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:315-327.

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2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

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2017Diffusion of optimistic and pessimistic investor sentiment: An empirical study of an emerging market. (2017). I-Chun Tsai, . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:22-34.

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2017Forecasting stock index futures returns with mixed-frequency sentiment. (2017). Gao, Bin ; Yang, Chunpeng . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:69-83.

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2018Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market. (2018). Wan, Xiaoyuan . In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:1-15.

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2018Idiosyncratic volatility, conditional liquidity and stock returns. (2018). Malagon, Juliana ; Rodriguez, Rosa ; Moreno, David. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:118-132.

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2017Reactive or proactive? Investor sentiment as a driver of corporate social responsibility. (2017). Ramasamy, Sockalingam ; Sinnakkannu, Jothee. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:572-582.

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2018Alpha Momentum and Price Momentum. (2018). Huhn, Hannah Lea ; Scholz, Hendrik. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:49-:d:145216.

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2017A Comparative Analysis on the Wealth Effect between in the Stock Market and in the Housing Market in China. (2017). Shi, Kai ; Liu, Lin. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:11:p:118-127.

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2018Dynamics Evolution of Trading Strategies of Investors in Financial Market. (2018). Wu, Bing Hui ; He, Jianmin ; Duan, Tingting. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-016-9639-3.

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2017Credit spreads and investment opportunities. (2017). Shen, Tao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0545-x.

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2017Financial investor sentiment and the boom/bust in oil prices during 2003–2008. (2017). Du, Ding ; Zhao, Xiaobing. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0553-5.

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2017Relative equity market valuation conditions and acquirers’ gains. (2017). Andriosopoulos, Dimitris ; Barbopoulos, Leonidas G. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0610-0.

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2018The sentiment premium and macroeconomic announcements. (2018). Du, Ding ; Hu, OU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0628-y.

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2018The dispersion anomaly and analyst recommendations. (2018). Papakroni, Jorida. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0649-6.

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2017Demand for Information and Asset Pricing. (2017). Ben-Rephael, Azi ; Israelsen, Ryan D ; Da, Zhi ; Carlin, Bruce I. In: NBER Working Papers. RePEc:nbr:nberwo:23274.

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2017Fund Tradeoffs. (2017). Stambaugh, Robert ; Pastor, Lubos ; Taylor, Lucian A. In: NBER Working Papers. RePEc:nbr:nberwo:23670.

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2017Predicting Relative Returns. (2017). Haddad, Valentin ; Santosh, Shrihari ; Kozak, Serhiy. In: NBER Working Papers. RePEc:nbr:nberwo:23886.

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2017Short and Long Horizon Behavioral Factors. (2017). Hirshleifer, David ; Sun, Lin ; Daniel, Kent. In: NBER Working Papers. RePEc:nbr:nberwo:24163.

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2017Mispricing Factors. (2017). Stambaugh, Robert F ; Yuan, YU. In: Review of Financial Studies. RePEc:oup:rfinst:v:30:y:2017:i:4:p:1270-1315..

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2017Does fundamental value run asset price formation process? Evidence from option price information content. (2017). Aloulou, Abderrahmen ; Ellouze, Siwar . In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:4:d:10.1057_s41260-016-0032-5.

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2017The mispricing of equity risk: behavioral and corporate leverage factors. (2017). ben Aissia, Dorsaf . In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:6:d:10.1057_s41260-017-0041-z.

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2018Investor Sentiment Connectedness: Evidence from Linear and Nonlinear Causality Approaches. (2018). GUPTA, RANGAN ; Bouri, Elie ; Bathia, Deven ; Tiwari, Aviral Kumar. In: Working Papers. RePEc:pre:wpaper:201814.

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2017Sport Sentiments and Stock Returns: Example of FIFA World Cups. (2017). Chiu, Ching-Wei ; Lee, Jen-Sin . In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:2:p:44-56.

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2017Sentiment dynamics and volatility of international stock markets. (2017). Aydogan, Berna. In: Eurasian Business Review. RePEc:spr:eurasi:v:7:y:2017:i:3:d:10.1007_s40821-016-0063-3.

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2017Liquidity, overpricing, and the tactics of informed traders. (2017). Borghesi, Richard. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-016-9375-5.

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2017Investor Attention and Sentiment: Risk or Anomaly?. (2017). Bucher, Melk C. In: Working Papers on Finance. RePEc:usg:sfwpfi:2017:12.

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2017Pricing sin stocks: Ethical preference vs. risk aversion. (2017). Gioffré, Alessandro ; Colonnello, Stefano ; Gioffre, Alessandro ; Curatola, Giuliano. In: IWH Discussion Papers. RePEc:zbw:iwhdps:202017.

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Works by Yu Yuan:


YearTitleTypeCited
2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
[Full Text][Citation analysis]
article27
2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2011Investor sentiment and the mean-variance relation In: Journal of Financial Economics.
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article67
2012Global, local, and contagious investor sentiment In: Journal of Financial Economics.
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article107
2009Global, local, and contagious investor sentiment.(2009) In: Globalization and Monetary Policy Institute Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 107
paper
2012The short of it: Investor sentiment and anomalies In: Journal of Financial Economics.
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article124
2011The Short of It: Investor Sentiment and Anomalies.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 124
paper
2014The long of it: Odds that investor sentiment spuriously predicts anomaly returns In: Journal of Financial Economics.
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article12
2012The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2015Market-wide attention, trading, and stock returns In: Journal of Financial Economics.
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article12
2015Mispricing Factors In: NBER Working Papers.
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paper0
2017Anomalies Abroad: Beyond Data Mining In: NBER Working Papers.
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2018Size and Value in China In: NBER Working Papers.
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