21
H index
30
i10 index
2713
Citations
Ohio State University | 21 H index 30 i10 index 2713 Citations RESEARCH PRODUCTION: 31 Articles 60 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Lu Zhang. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Review of Financial Studies | 7 |
Journal of Financial Economics | 5 |
Journal of Political Economy | 3 |
Review of Finance | 2 |
Journal of Finance | 2 |
Journal of Monetary Economics | 2 |
European Financial Management | 2 |
Year | Title of citing document | |
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2022 | The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05. Full description at Econpapers || Download paper | |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper | |
2022 | Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600. Full description at Econpapers || Download paper | |
2022 | Back to the Surplus: An Unorthodox Neoclassical Model of Growth, Distribution and Unemployment with Technical Change. (2022). Jacobo, Juan E. In: Papers. RePEc:arx:papers:2211.14978. Full description at Econpapers || Download paper | |
2023 | Peer-reviewed theory does not help predict the cross-section of stock returns. (2022). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151. Full description at Econpapers || Download paper | |
2023 | Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy. (2023). Polak, Pawel ; Miao, Jiaju. In: Papers. RePEc:arx:papers:2304.09947. Full description at Econpapers || Download paper | |
2023 | Deep Learning for Solving and Estimating Dynamic Macro-Finance Models. (2023). Gu, Zhouzhou ; Jiao, Anran ; Qiao, Edward ; Fan, Benjamin ; Lu, LU ; Li, Wenhao. In: Papers. RePEc:arx:papers:2305.09783. Full description at Econpapers || Download paper | |
2022 | Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section. (2022). Stalla-Bourdillon, Arthur ; Chinn, Menzie ; Chatelais, Nicolas. In: Working papers. RePEc:bfr:banfra:903. Full description at Econpapers || Download paper | |
2022 | Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141. Full description at Econpapers || Download paper | |
2022 | Assessing the usefulness of daily and monthly asset?pricing factors for Australian equities. (2022). Zhong, Angel ; Gray, Philip. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:181-211. Full description at Econpapers || Download paper | |
2022 | Have existing theories explained the accrual anomaly? An evaluation based on the decomposition method. (2022). Lin, Dawei ; Huang, Zhuo ; Qiu, Zhimin. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:3:p:3645-3675. Full description at Econpapers || Download paper | |
2022 | Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565. Full description at Econpapers || Download paper | |
2022 | Does short?selling affect mutual fund shareholdings? Evidence from China. (2022). Wan, Die ; Liu, Xufeng. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1887-1923. Full description at Econpapers || Download paper | |
2023 | Shorting costs and profitability of long–short strategies. (2023). Lee, Byeungjoo ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:277-316. Full description at Econpapers || Download paper | |
2023 | Financial openness and profitability premium: Causal evidence from the Shanghai?Hong Kong Stock Connect. (2023). Zhang, Kejia ; Jin, Fujing ; Jiang, Fuwei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:451-483. Full description at Econpapers || Download paper | |
2023 | Meta?analysis of the impact of financial constraints on firm performance. (2023). van Zijl, Tony ; Houqe, Muhammad Nurul ; Ahamed, Fatematuz Tamanna. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1671-1707. Full description at Econpapers || Download paper | |
2023 | Do risk exposures explain accounting anomalies? A new testing method. (2023). Peng, Zihang. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:3:p:2965-2983. Full description at Econpapers || Download paper | |
2023 | CEO incentive compensation and stock price momentum. (2023). Yan, Shu ; Li, Xingjian ; Feng, Hongrui ; Huang, Yanhuang ; Wang, Jian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:975-1028. Full description at Econpapers || Download paper | |
2022 | Is the value effect due to M&A deals? Evidence from the Italian stock market. (2022). Roma, Antonio. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:1:n:e12194. Full description at Econpapers || Download paper | |
2022 | Presidential power and stock returns. (2022). Park, Jung Chul ; Kim, Youngsoo. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:455-499. Full description at Econpapers || Download paper | |
2023 | Is sustainability rating material to the market?. (2023). Konstantios, Dimitrios ; Tsiritakis, Emmanuel ; Gounopoulos, Dimitrios ; Economidou, Claire. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:127-179. Full description at Econpapers || Download paper | |
2022 | The cross?sectional return predictability of employment growth: A liquidity risk explanation. (2022). Luo, DI ; Liu, Weimin ; Zhao, Huainan ; Park, Seyoung. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:155-178. Full description at Econpapers || Download paper | |
2022 | Do short?term institutions exploit stock return anomalies?. (2022). Jiang, George J ; Huang, Wei ; Chen, Yinfei. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:69-94. Full description at Econpapers || Download paper | |
2022 | A reexamination of factor momentum: How strong is it?. (2022). Liu, Jiadong ; Liao, Ming ; Fan, Minyou. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:585-615. Full description at Econpapers || Download paper | |
2022 | Persistence of investor sentiment and market mispricing. (2022). Eshraghi, Arman ; Danbolt, JO ; Sakkas, Nikolaos ; Han, Xiao. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:617-640. Full description at Econpapers || Download paper | |
2022 | Option trading and returns versus the 52?week high and low. (2022). Wei, Jason ; Choy, Siu Kai. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:691-726. Full description at Econpapers || Download paper | |
2023 | International evidence on the association of leverage with stock returns and the value premium. (2023). Jansen, Benjamin A ; Garciafeijoo, Luis. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:315-341. Full description at Econpapers || Download paper | |
2022 | Organization capital effect in stock returns—The role of R&D. (2022). Lin, Chubin ; Chan, Konan ; Wang, Yanzhi. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1237-1263. Full description at Econpapers || Download paper | |
2022 | Debt Refinancing and Equity Returns. (2022). Wagner, Christian ; Nagler, Florian ; Friewald, Nils. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:2287-2329. Full description at Econpapers || Download paper | |
2022 | The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts. (2022). Gyntelberg, Jacob ; Thimsen, Christoffer ; Dicknielsen, Jens. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:5:p:2577-2611. Full description at Econpapers || Download paper | |
2023 | Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market. (2023). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:389-425. Full description at Econpapers || Download paper | |
2023 | Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557. Full description at Econpapers || Download paper | |
2023 | The Pollution Premium. (2023). Tsou, Chiyang ; Li, Kai ; Hsu, Pohsuan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1343-1392. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Integrating Factor Models. (2023). Voigt, Stefan ; Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646. Full description at Econpapers || Download paper | |
2023 | Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775. Full description at Econpapers || Download paper | |
2023 | Sentiment or habits: Why not both?. (2023). Tham, Eric. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:203-215. Full description at Econpapers || Download paper | |
2022 | The Performance of Socially Responsible Investments: A Meta-Analysis. (2022). Yuksel, Gul ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9724. Full description at Econpapers || Download paper | |
2023 | The pricing of climate transition risk in Europe’s equity market. (2023). van Wijnbergen, Sweder ; Luijendijk, Rianne ; Loyson, Philippe. In: Working Papers. RePEc:dnb:dnbwpp:788. Full description at Econpapers || Download paper | |
2022 | Textual fundamentals in earnings press releases. (2022). Li, Ken. In: Advances in accounting. RePEc:eee:advacc:v:57:y:2022:i:c:s0882611022000104. Full description at Econpapers || Download paper | |
2022 | Bank deregulation and stock price crash risk. (2022). Zeng, Cheng ; Liu, Yangke ; Lee, Edward ; Dang, Viet Anh. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002704. Full description at Econpapers || Download paper | |
2022 | Asset growth and stock returns in european equity markets: Implications of investment and accounting distortions. (2022). ARTIKIS, PANAGIOTIS ; Sorros, John N ; Papanastasopoulos, Georgios A ; Diamantopoulou, Lydia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:73:y:2022:i:c:s0929119922000360. Full description at Econpapers || Download paper | |
2022 | Right-to-Work laws and corporate innovation. (2022). Qiu, Buhui ; Nguyen, Justin Hung. In: Journal of Corporate Finance. RePEc:eee:corfin:v:76:y:2022:i:c:s0929119922001067. Full description at Econpapers || Download paper | |
2022 | Lumpy investment and credit risk. (2022). Zhang, Chuanqian ; Jiao, Feng. In: Journal of Corporate Finance. RePEc:eee:corfin:v:77:y:2022:i:c:s0929119922001365. Full description at Econpapers || Download paper | |
2023 | Financing constraints and share pledges: Evidence from the share pledge reform in China. (2023). Liu, Ruiming ; Shi, Yang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001808. Full description at Econpapers || Download paper | |
2022 | On the use of random forest for two-sample testing. (2022). Naf, Jeffrey ; Michel, Loris ; Hediger, Simon. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:170:y:2022:i:c:s0167947322000159. Full description at Econpapers || Download paper | |
2022 | Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154. Full description at Econpapers || Download paper | |
2022 | Far away from home: Investors’ underreaction to geographically dispersed information. (2022). Tu, Jun ; Liang, Dawei ; Chu, Liya ; Chen, Zilin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188922000306. Full description at Econpapers || Download paper | |
2022 | Information acquisition and expected returns: Evidence from EDGAR search traffic. (2022). Sun, Chengzhu ; Li, Frank Weikai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000884. Full description at Econpapers || Download paper | |
2023 | Analysts’ underreaction and momentum strategies. (2023). Azevedo, Vitor. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002639. Full description at Econpapers || Download paper | |
2023 | Asset prices in a labor search model with confidence shocks. (2023). Krivenko, Pavel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002676. Full description at Econpapers || Download paper | |
2023 | Trade competitiveness and the aggregate returns in global stock markets. (2023). Umar, Zaghum ; Zaremba, Adam ; Long, Huaigang ; Chiah, Mardy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000246. Full description at Econpapers || Download paper | |
2023 | Occasionally binding liquidity constraints and macroeconomic dynamics. (2023). Werner, Maximilian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000155. Full description at Econpapers || Download paper | |
2023 | Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416. Full description at Econpapers || Download paper | |
2022 | Do oil price shocks have any implications for stock return momentum?. (2022). Kang, Sanghoon ; Maitra, Debasish ; Dash, Saumya Ranjan ; Balakumar, Suganya. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:637-663. Full description at Econpapers || Download paper | |
2022 | Does service trade liberalization relieve manufacturing enterprises’ financial constraints? Evidence from China. (2022). Zhang, Wencheng ; Shu, Zhongqiao ; Peng, Shuijun. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002996. Full description at Econpapers || Download paper | |
2022 | On the behavior of Okuns law across business cycles. (2022). Donayre, Luiggi. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322001043. Full description at Econpapers || Download paper | |
2022 | Evaluating asset pricing models: A revised factor model for China. (2022). Rao, Xiao ; Li, Zhiyong. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002425. Full description at Econpapers || Download paper | |
2023 | Economic policy uncertainty and information intermediary: The case of short seller. (2023). Wang, Xiaoming. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003984. Full description at Econpapers || Download paper | |
2023 | A long-run approach to money, unemployment, and equity prices. (2023). Pyun, Ju Hyun ; Mo, Kuk. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001499. Full description at Econpapers || Download paper | |
2022 | Catering to investors through capital expenditures: Testing assets substitution problem around financing. (2022). Huang, Hsin-Yi ; Ho, Ruey-Jenn ; Chao, Ching-Hsiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001698. Full description at Econpapers || Download paper | |
2022 | Further evidence on financial information and economic activity forecasts in the United States. (2022). Li, Bin ; Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000079. Full description at Econpapers || Download paper | |
2022 | Asymmetric positive feedback trading and stock pricing in China. (2022). Wan, Die ; Liu, Xufeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000183. Full description at Econpapers || Download paper | |
2022 | Political sentiment and MAX effect. (2022). Zeng, Ming ; Huang, Shuyang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001061. Full description at Econpapers || Download paper | |
2023 | Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets. (2023). Yeomans, Julian Scott ; Luukka, Pasi ; Ahmed, Sheraz ; Patari, Eero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000074. Full description at Econpapers || Download paper | |
2022 | An envelope method for solving continuous-time stochastic models with occasionally binding constraints. (2022). White, Neil . In: Economics Letters. RePEc:eee:ecolet:v:214:y:2022:i:c:s0165176522000908. Full description at Econpapers || Download paper | |
2022 | Uncertainty shocks and unemployment dynamics. (2022). Langot, Franois ; Kandoussi, Malak. In: Economics Letters. RePEc:eee:ecolet:v:219:y:2022:i:c:s0165176522002725. Full description at Econpapers || Download paper | |
2022 | Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence. (2022). Xu, Qiuhua ; Fang, Ying ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:114-133. Full description at Econpapers || Download paper | |
2022 | Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321. Full description at Econpapers || Download paper | |
2022 | Testing the eigenvalue structure of spot and integrated covariance. (2022). Williams, Julian ; Taamouti, Abderrahim ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:363-395. Full description at Econpapers || Download paper | |
2023 | Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255. Full description at Econpapers || Download paper | |
2022 | The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects. (2022). Zarzecki, Dariusz ; Urbaski, Stanisaw. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:1:s0939362521000224. Full description at Econpapers || Download paper | |
2022 | Households, auctioneers, and aggregation. (2022). Walker, Todd B ; Katz, Nets Hawk ; Chipeniuk, Karsten O. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002713. Full description at Econpapers || Download paper | |
2022 | Nonlinear unemployment effects of the inflation tax. (2022). Baughman, Garth ; Lahcen, Mohammed Ait ; Rabinovich, Stanislav ; van Buggenum, Hugo. In: European Economic Review. RePEc:eee:eecrev:v:148:y:2022:i:c:s0014292122001465. Full description at Econpapers || Download paper | |
2022 | An inter-temporal CAPM based on First order Stochastic Dominance. (2022). Levy, Moshe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:734-739. Full description at Econpapers || Download paper | |
2022 | Factor investing in Brazil: Diversifying across factor tilts and allocation strategies. (2022). Casalin, Fabrizio ; Rodrigues, Alexandre Alles. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000231. Full description at Econpapers || Download paper | |
2022 | Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher . In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50. Full description at Econpapers || Download paper | |
2022 | Forecasting earnings with combination of analyst forecasts. (2022). Wu, Chunchi ; Tao, Xinyuan ; Lin, Hai. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:133-159. Full description at Econpapers || Download paper | |
2022 | Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66. Full description at Econpapers || Download paper | |
2022 | Why Do U.S. Firms Invest Less over Time?. (2022). Wang, Rong ; Huang, Sheng ; Fu, Fangjian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:69:y:2022:i:c:p:15-42. Full description at Econpapers || Download paper | |
2023 | Capital mobility and the long-run return–risk trade-offs of industry portfolios. (2023). Yao, Tong ; Xu, Xin ; Chen, Jia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:123-143. Full description at Econpapers || Download paper | |
2023 | Convenience yield risk. (2023). Wichmann, Robert ; Simen, Chardin Wese ; Symeonidis, Lazaros ; Prokopczuk, Marcel. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000348. Full description at Econpapers || Download paper | |
2023 | Earnings expectations of grey and green energy firms: Analysis against the background of global climate change mitigation. (2023). Wang, Mei ; Blankenburg, Martin ; Liu, Yang. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001901. Full description at Econpapers || Download paper | |
2022 | Why do firm fundamentals predict returns? Evidence from short selling activity. (2022). Wu, Yuliang ; Mazouz, Khelifa. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921002908. Full description at Econpapers || Download paper | |
2022 | The profitability effect: Insight from a dynamic perspective. (2022). Yang, Zhichen ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000345. Full description at Econpapers || Download paper | |
2022 | Energy price uncertainty and the value premium. (2022). Zhong, Angel ; Tran, Vuong Thao ; Bach, Dinh Hoang ; Chiah, Mardy. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000370. Full description at Econpapers || Download paper | |
2022 | Are conditional illiquidity risks priced in China? A cross-sectional test. (2022). Yin, Libo ; Lyu, Tongtong ; Su, Zhi. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000497. Full description at Econpapers || Download paper | |
2022 | Asset pricing anomalies: Liquidity risk hedgers or liquidity risk spreaders?. (2022). Butt, Hilal Anwar ; Virk, Nader Shahzad. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000746. Full description at Econpapers || Download paper | |
2022 | Will temperature change reduce stock returns? Evidence from China. (2022). Lu, Lei ; Li, Shuo ; Xiong, Xiong ; Yan, Yumeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000801. Full description at Econpapers || Download paper | |
2022 | An empirical evaluation of alternative fundamental models of credit spreads. (2022). Headley, Adrian ; Murphy, Austin. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000904. Full description at Econpapers || Download paper | |
2022 | Do dividends signal safety? Evidence from China. (2022). Nie, Jing ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922000916. Full description at Econpapers || Download paper | |
2022 | Ambiguity and asset pricing: An empirical investigation for an emerging market. (2022). Daniolu, Seza ; Ahin, Baki Cem. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002885. Full description at Econpapers || Download paper | |
2022 | Why do small businesses have difficulty in accessing bank financing?. (2022). Li, Youwei ; Wu, Yuliang ; Vigne, Samuel A ; Harrison, Richard. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003027. Full description at Econpapers || Download paper | |
2023 | Unemployment beta and the cross-section of stock returns: Evidence from Australia. (2023). Huynh, Nhan. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000388. Full description at Econpapers || Download paper | |
2023 | Sentiment and covariance characteristics. (2023). le Tran, VU. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000492. Full description at Econpapers || Download paper | |
2023 | Left-tail momentum and tail properties of return distributions: A case of Korea. (2023). Park, Jong Won ; Eom, Yunsung. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000868. Full description at Econpapers || Download paper | |
2023 | Nonlinear asset pricing in Chinese stock market: A deep learning approach. (2023). Xie, Ying ; Wang, Yiming ; Long, Suwan ; Pan, Shuiyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001436. Full description at Econpapers || Download paper | |
2022 | Crash probability anomaly in the Chinese stock market. (2022). Tong, Xiangda ; Niu, Hui ; Fang, YI. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001434. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2018 | Endogenous Disasters In: American Economic Review. [Full Text][Citation analysis] | article | 34 |
2017 | The Investment CAPM In: European Financial Management. [Full Text][Citation analysis] | article | 41 |
2015 | The Investment CAPM.(2015) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2017 | The Investment CAPM.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2018 | EFM Special Issue “Corporate Policies and Asset Prices” In: European Financial Management. [Full Text][Citation analysis] | article | 0 |
2011 | Value versus Growth: Time?Varying Expected Stock Returns In: Financial Management. [Citation analysis] | article | 41 |
2010 | Value versus Growth: Time-Varying Expected Stock Returns.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2005 | The Value Premium In: Journal of Finance. [Full Text][Citation analysis] | article | 417 |
2009 | Financially Constrained Stock Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 94 |
2006 | Financially Constrained Stock Returns.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
2010 | The q?Theory Approach to Understanding the Accrual Anomaly In: Journal of Accounting Research. [Full Text][Citation analysis] | article | 53 |
Unemployment Crises In: GSIA Working Papers. [Full Text][Citation analysis] | paper | 11 | |
2013 | Unemployment Crises.(2013) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2013 | Unemployment Crises.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2005 | An Equilibrium Asset Pricing Model with Labor Market Search In: GSIA Working Papers. [Full Text][Citation analysis] | paper | 21 |
2011 | An Equilibrium Asset Pricing Model with Labor Market Search.(2011) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2012 | An Equilibrium Asset Pricing Model with Labor Market Search.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2002 | Equilibrium Cross-Section of Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 245 |
2003 | Equilibrium Cross Section of Returns.(2003) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 245 | article | |
2002 | Asset Pricing Implications of Firms Financing Constraints In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 54 |
2002 | Asset Pricing Implications of Firms Financing Constraints.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2006 | Asset Pricing Implications of Firms Financing Constraints.(2006) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | article | |
2003 | Asset Prices and Business Cycles with Costly External Finance In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 66 |
2002 | Asset Prices and Business Cycles with Costly External Finance.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
2003 | Asset Prices and Business Cycles with Costly External Finance.(2003) In: Review of Economic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | article | |
2010 | The Value Spread: A Puzzle In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Investment-Based Momentum Profits In: Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2010 | Does Risk Explain Anomalies? Evidence from Expected Return Estimates In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Does Risk Explain Anomalies? Evidence from Expected Return Estimates.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2011 | Covariances versus Characteristics in General Equilibrium In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2011 | Covariances versus Characteristics in General Equilibrium.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2012 | Digesting Anomalies: An Investment Approach In: Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
2012 | Digesting Anomalies: An Investment Approach.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2015 | The CAPM Strikes Back? An Investment Model with Disasters In: Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
2015 | The CAPM Strikes Back? An Investment Model with Disasters.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2015 | A Comparison of New Factor Models In: Working Paper Series. [Full Text][Citation analysis] | paper | 16 |
2017 | Replicating Anomalies In: Working Paper Series. [Full Text][Citation analysis] | paper | 33 |
2017 | Replicating Anomalies.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2017 | The Economics of Value Investing In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2017 | The Economics of Value Investing.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2018 | Motivating Factors In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Q5 In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2004 | Equilibrium stock return dynamics under alternative rules of learning about hidden states In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 33 |
2001 | Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States.(2001) In: Computing in Economics and Finance 2001. [Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2008 | Is the value spread a useful predictor of returns? In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 16 |
2019 | The CAPM strikes back? An equilibrium model with disasters In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 17 |
2005 | Is value riskier than growth? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 223 |
2008 | The expected value premium In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 33 |
2006 | The Expected Value Premium.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2010 | Does q-theory with investment frictions explain anomalies in the cross section of returns? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 73 |
2011 | Do time-varying risk premiums explain labor market performance? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 13 |
2013 | The investment manifesto In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 37 |
2014 | A neoclassical interpretation of momentum In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 19 |
2005 | Expected returns, yield spreads, and asset pricing tests In: Proceedings. [Full Text][Citation analysis] | article | 49 |
2005 | Expected Returns, Yield Spreads, and Asset Pricing Tests.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2008 | Expected returns, yield spreads, and asset pricing tests.(2008) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | article | |
2006 | Equity market volatility and expected risk premium In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2005 | Anomalies In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Anomalies.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2005 | The Value Spread as a Predictor of Returns In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2005 | Investment-Based Underperformance Following Seasoned Equity Offerings In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2005 | Momentum Profits and Macroeconomic Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Optimal Market Timing In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2007 | Regularities In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2007 | Neoclassical Factors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2007 | Understanding the Accrual Anomaly In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2008 | Costly External Finance: Implications for Capital Markets Anomalies In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | The stock market and aggregate employment In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | Cross-sectional Tobins Q In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | A Model of Momentum In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | Solving the DMP Model Accurately In: NBER Working Papers. [Full Text][Citation analysis] | paper | 21 |
2014 | Which Factors? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2019 | Which Factors?.(2019) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2017 | Does the Investment Model Explain Value and Momentum Simultaneously? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Security Analysis: An Investment Perspective In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Does Costly Reversibility Matter for U.S. Public Firms? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Q-factors and Investment CAPM In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Searching for the Equity Premium In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Asymmetric Investment Rates In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Do Anomalies Exist Ex Ante? In: Review of Finance. [Full Text][Citation analysis] | article | 12 |
2008 | Momentum Profits, Factor Pricing, and Macroeconomic Risk In: Review of Financial Studies. [Full Text][Citation analysis] | article | 148 |
2008 | The New Issues Puzzle: Testing the Investment-Based Explanation In: Review of Financial Studies. [Full Text][Citation analysis] | article | 131 |
2013 | A Supply Approach to Valuation In: Review of Financial Studies. [Full Text][Citation analysis] | article | 7 |
2015 | Editors Choice Digesting Anomalies: An Investment Approach In: Review of Financial Studies. [Full Text][Citation analysis] | article | 536 |
2006 | Testing the q-Theory of Anomalies In: 2006 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Aggregate Asset Pricing with Labor Market Frictions In: 2010 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Shooting the CAPM In: 2013 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Endogenous Economic Disasters and Asset Prices In: 2014 Meeting Papers. [Full Text][Citation analysis] | paper | 3 |
2004 | Erratum: Equilibrium Cross Section of Returns In: Journal of Political Economy. [Full Text][Citation analysis] | article | 0 |
2009 | Investment-Based Expected Stock Returns In: Journal of Political Economy. [Full Text][Citation analysis] | article | 141 |
2017 | Solving the Diamond–Mortensen–Pissarides model accurately In: Quantitative Economics. [Full Text][Citation analysis] | article | 20 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team