Guofu Zhou : Citation Profile

Are you Guofu Zhou?

Washington University in St. Louis

27

H index

36

i10 index

3928

Citations

RESEARCH PRODUCTION:

42

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1990 - 2022). See details.
   Cites by year: 122
   Journals where Guofu Zhou has often published
   Relations with other researchers
   Recent citing documents: 554.    Total self citations: 29 (0.73 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh420
   Updated: 2023-11-04    RAS profile: 2023-03-16    
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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 Guofu Zhou.

Is cited by:

GUPTA, RANGAN (157)

Wang, Yudong (119)

Zhang, Yaojie (105)

Wohar, Mark (46)

Verona, Fabio (45)

Khalaf, Lynda (42)

Guidolin, Massimo (41)

Dufour, Jean-Marie (39)

Buncic, Daniel (35)

Pierdzioch, Christian (30)

Pettenuzzo, Davide (30)

Cites to:

Campbell, John (94)

Stambaugh, Robert (65)

Shanken, Jay (39)

Pastor, Lubos (37)

French, Kenneth (36)

Harvey, Campbell (31)

Timmermann, Allan (23)

Fama, Eugene (22)

Hansen, Lars (16)

West, Kenneth (16)

McCracken, Michael (15)

Main data

Where Guofu Zhou has published?

Journals with more than one article published# docs
Journal of Financial Economics12
Review of Financial Studies6
Journal of Financial and Quantitative Analysis4
Annals of Economics and Finance4
Journal of Empirical Finance3
Journal of Finance3
Annual Review of Financial Economics2

Working Papers Series with more than one paper published# docs
CEMA Working Papers / China Economics and Management Academy, Central University of Finance and Economics6
Working Papers / HAL2
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing Guofu Zhou (2023 and 2022)

YearTitle of citing document
2023.

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2022On the optimal combination of naive and mean-variance portfolio strategies. (2022). Vrins, Frederic ; Vanderveken, Rodolphe ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022006.

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2022Reconciling TEV and VaR in Active Portfolio Management: A New Frontier. (2022). Riccetti, Luca ; Palomba, Giulio ; Nicolau, Mihaela ; Lucchetti, Riccardo (Jack). In: Working Papers. RePEc:anc:wpaper:461.

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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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2022Short of Capital: Stock Market Implications of Short Sellers’ Losses. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:116.

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2022News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2023Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2022Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2022Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806.

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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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2023A q-binomial extension of the CRR asset pricing model. (2021). Privault, Nicolas ; El-Khatib, Youssef ; Fan, Jun ; Breton, Jean-Christophe. In: Papers. RePEc:arx:papers:2104.10163.

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2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023The insider problem in the trinomial model: a discrete-time jump process approach. (2021). Halconruy, H'Elene. In: Papers. RePEc:arx:papers:2106.15208.

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2022Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2023Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365.

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2023Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213.

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2023Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2022Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848.

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2022Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444.

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2023Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2022Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. (2022). Yu, Xuewen ; Eisenstat, Eric ; Chan, Joshua. In: Papers. RePEc:arx:papers:2207.03988.

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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2022Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573.

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2023Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2022150 Years of Return Predictability Around the World: A Holistic View. (2022). Bai, Yang. In: Papers. RePEc:arx:papers:2209.00121.

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2022Asset Pricing and Deep Learning. (2022). Zhang, Chen. In: Papers. RePEc:arx:papers:2209.12014.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2022Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695.

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2022Gambling on Momentum. (2022). de Angelis, Luca ; Singleton, Carl ; Deutscher, Christian ; Otting, Marius. In: Papers. RePEc:arx:papers:2211.06052.

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2022Robustifying Markowitz. (2022). Zhivotovskiy, Nikita ; Petukhina, Alla ; Klochkov, Yegor ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2212.13996.

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2023Removing Non-Stationary Knowledge From Pre-Trained Language Models for Entity-Level Sentiment Classification in Finance. (2023). Hahm, Moonjeong ; Kang, Nahyeon ; Lee, Hanwool ; Son, Guijin. In: Papers. RePEc:arx:papers:2301.03136.

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2023When it counts -- Econometric identification of the basic factor model based on GLT structures. (2023). Lopes, Hedibert Freitas ; Hosszejni, Darjus ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:2301.06354.

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2023Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2023). Ziel, Florian ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2303.10019.

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2023Online 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.

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2023Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2023Panel Data Nowcasting: The Case of Price-Earnings Ratios. (2023). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2307.02673.

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2023Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689.

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2023Methods for Acquiring and Incorporating Knowledge into Stock Price Prediction: A Survey. (2023). Zhu, Xinyi ; Wang, Xiaohan ; Kou, Zhizhuo ; Zhao, Lifan ; Li, Jiawei ; Chen, Lei ; Shen, Yanyan. In: Papers. RePEc:arx:papers:2308.04947.

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2023Gamma Hedging and Rough Paths. (2023). Ionescu, Andrei ; Armstrong, John. In: Papers. RePEc:arx:papers:2309.05054.

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2023Global Evidence of Oil Supply Shocks and Climate Risk a GARCH-MIDAS Approach. (2023). Adeyemi, Farouq A ; Ayinde, Taofeek O. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:78.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023.

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2022Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models. (2022). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Working Papers Series. RePEc:bcb:wpaper:561.

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2023.

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2022Macroeconomic 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.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2022Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588.

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2023Disentangling Sentiment from Cyclicality in Firm Capital Structure. (2023). Lambe, Brendan J ; Almaghyereh, Aktham I ; O'Sullivan, Jennifer A ; Alzoubi, Haitham A. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:2:p:570-605.

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2022Positive tone and initial coin offering. (2022). Chen, Zishan ; Zhang, Dunli ; Aerts, Walter. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:2:p:2237-2266.

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2022Short?selling pressure and year?over?year MD&A modifications. (2022). Lee, Seung Won ; Maharjan, Johan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:3:p:3513-3562.

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2022The impact of air pollution on financial reporting quality: evidence from China. (2022). Liu, Ling ; Xue, Xingnan ; Hu, Nan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:3:p:3609-3644.

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2022A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379.

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2022Does 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.

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2023Financial 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.

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2023Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505.

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2023Messages in online stock forums and stock price synchronicity: Evidence from China. (2023). Zhang, Yizhou ; Shan, Yaowen ; Lu, Meiting ; Cao, Yuqiang ; Huang, Can. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:3:p:3011-3041.

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2023Short interest and the stock market relation with news sentiment from traditional and social media sources. (2023). Smales, Lee ; Liu, Zhangxin ; Chamberlain, Ben. In: Australian Economic Papers. RePEc:bla:ausecp:v:62:y:2023:i:2:p:321-334.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2022Bringing Credibility Back to Macroeconomic Policy Frameworks. (2022). Yahyaei, Hamid ; ANTHONY, STEPHEN . In: Economic Papers. RePEc:bla:econpa:v:41:y:2022:i:3:p:276-295.

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2022Do changes in MD&A section tone predict investment behavior?. (2022). Flugum, Ryan ; Bick, Patty ; Berns, John ; Houston, Reza. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:129-153.

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2022A 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.

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2022Persistence 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.

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2022Shrinking return forecasts. (2022). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:641-661.

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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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2022Does the kitchen?sink model work forecasting the equity premium?. (2022). Yin, Anwen. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:223-247.

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2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

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2023The trend premium around the world: Evidence from the stock market. (2023). Zhang, Cheng ; Liu, Pengfei ; Lin, Hai. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:317-358.

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2023Ride the trend: Is there spread momentum profit in the US commodity markets?. (2023). Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:1:p:24-47.

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2022Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966.

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2023Bayesian 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.

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2023Integrating 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.

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2022Return predictability between industries and the stock market in China. (2022). Zhang, Gaiyan ; Tse, Yiuman. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:2:p:194-220.

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2022Health insurance benefits as a labor market friction: Evidence from a quasi?experiment. (2022). Ariely, Dan ; Tsolmon, Ulya . In: Strategic Management Journal. RePEc:bla:stratm:v:43:y:2022:i:8:p:1556-1574.

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2022Forecasting with panel data: estimation uncertainty versus parameter heterogeneity. (2022). Timmermann, A ; Pick, A ; Pesaran, M H. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2219.

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2023Differences between NZ and U.S. individual investor sentiment: More noise or more information?. (2023). Wei, Xiaopeng ; Wagner, Moritz ; Biakowski, Jdrzej. In: Working Papers in Economics. RePEc:cbt:econwp:23/11.

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2022Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity. (2022). Timmermann, Allan ; Pick, Andreas ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9690.

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2022Dynamics of Subjective Risk Premia. (2022). Xu, Zhengyang ; Nagel, Stefan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9693.

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2022A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction. (2022). Wilfling, Bernd ; Monschang, Verena. In: CQE Working Papers. RePEc:cqe:wpaper:9722.

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2022Technical Analysis, Energy Cryptos and Energy Equity Markets. (2022). Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-28.

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2022High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19. (2022). Alshareif, Elgilani E ; Kamalov, Firuz ; Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-05-50.

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2022Energy sector portfolio analysis with uncertainty. (2022). Baldwin, Samuel F ; Hughes, Caroline ; Newes, Emily ; Hunter, Chad ; Henrion, Max ; Milford, James. In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s030626192101237x.

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2023Can grid-tied solar photovoltaics lead to residential heating electrification? A techno-economic case study in the midwestern U.S.. (2023). Pearce, Joshua M ; Sommerfeldt, Nelson. In: Applied Energy. RePEc:eee:appene:v:336:y:2023:i:c:s0306261923002027.

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2023Extreme local temperatures lower expressed sentiment about U.S. economic conditions with implications for the stock returns of local firms. (2023). Makridis, Christos ; Schloetzer, Jason D. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s221463502200051x.

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2023Is sentiment the solution to the risk–return puzzle? A (cautionary) note. (2023). Gebka, Bartosz ; Ung, Sze Nie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000011.

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2022A singular value decomposition based approach to handle ill-conditioning in optimization problems with applications to portfolio theory. (2022). Uberti, Pierpaolo ; Torrente, Maria-Laura ; Fassino, Claudia. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:165:y:2022:i:p1:s0960077922009250.

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2022Labor unemployment insurance and bank loans. (2022). Shen, YI. In: Journal of Corporate Finance. RePEc:eee:corfin:v:76:y:2022:i:c:s0929119922000979.

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2022Forecasting crash risk in U.S. bank returns—The role of credit booms. (2022). Mansur, Iqbal ; Mihai, Marius M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:76:y:2022:i:c:s092911992200116x.

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2023Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance. (2023). Huang, Zhijian James ; Wen, Fenghua ; Li, Zhuo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001869.

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2022Accounting research and the significance test crisis. (2022). Johnstone, David. In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:89:y:2022:i:c:s1045235421000150.

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2022Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287.

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2023Short selling, divergence of opinion and volatility in the corporate bond market. (2023). Tian, Xiao ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188922002950.

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2023Employee sentiment and stock returns. (2023). Zhou, Guofu ; Yao, Jiaquan ; Tang, Guohao ; Chen, Jian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000428.

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2022Do 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.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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2023Economic 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.

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2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

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

Works by Guofu Zhou:

YearTitleTypeCited
2010Bayesian Portfolio Analysis In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article48
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
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1993 Asset-Pricing Tests under Alternative Distributions. In: Journal of Finance.
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2013International Stock Return Predictability: What Is the Role of the United States? In: Journal of Finance.
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2022Anomalies and the Expected Market Return In: Journal of Finance.
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2000On the Rate of Convergence of Discrete?Time Contingent Claims In: Mathematical Finance.
[Full Text][Citation analysis]		article32
2000Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange In: Annals of Economics and Finance.
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2002What Determines Expected International Asset Returns? In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article54
2002What Determines Expected International Asset Returns?.(2002) In: CEMA Working Papers.
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1994What determines expected international asset returns ?.(1994) In: Working Papers.
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This paper has another version. Agregated cites: 54		paper
1994What determines expected international asset returns ?.(1994) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 54		paper
1994What Determines Expected International Asset Returns?.(1994) In: NBER Working Papers.
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This paper has another version. Agregated cites: 54		paper
2006Using Bootstrap to Test Portfolio Efficiency In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article19
2012Tests of Mean-Variance Spanning In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article77
2001Tests of Mean-Variance Spanning.(2001) In: CEMA Working Papers.
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This paper has another version. Agregated cites: 77		paper
1999A Critique of the Stochastic Discount Factor Methodology In: CEMA Working Papers.
[Full Text][Citation analysis]		paper34
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers.
[Full Text][Citation analysis]		paper111
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations.(2007) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 111		article
2006Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 111		paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory In: CEMA Working Papers.
[Full Text][Citation analysis]		paper158
1995Measuring the pricing error of the arbitrage pricing theory.(1995) In: Staff Report.
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This paper has another version. Agregated cites: 158		paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory..(1996) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 158		article
1993International asset pricing with alternative distributional specifications In: CEMA Working Papers.
[Full Text][Citation analysis]		paper60
1993International asset pricing with alternative distributional specifications.(1993) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		article
2007Optimal Portfolio Choice with Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article206
2010Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article24
2012Volatility Trading: What Is the Role of the Long-Run Volatility Component? In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article12
2013A New Anomaly: The Cross-Sectional Profitability of Technical Analysis In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article58
2013Forecasting Stock Returns In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter300
2010How much stock return predictability can we expect from an asset pricing model? In: Economics Letters.
[Full Text][Citation analysis]		article21
1995Small sample rank tests with applications to asset pricing In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article16
1999Testing multi-beta asset pricing models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article13
2015Fama–MacBeth two-pass regressions: Improving risk premia estimates In: Finance Research Letters.
[Full Text][Citation analysis]		article9
1999Security factors as linear combinations of economic variables In: Journal of Financial Markets.
[Full Text][Citation analysis]		article7
2006Portfolio optimization under asset pricing anomalies In: Japan and the World Economy.
[Full Text][Citation analysis]		article2
2016Short interest and aggregate stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article179
2019Manager sentiment and stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article126
2020Time series momentum: Is it there? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article36
2022Expected return, volume, and mispricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article4
2022Recovering the FOMC risk premium In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
1990Bayesian inference in asset pricing tests In: Journal of Financial Economics.
[Full Text][Citation analysis]		article39
1991Small sample tests of portfolio efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article28
2004Data-generating process uncertainty: What difference does it make in portfolio decisions? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article35
2009Technical analysis: An asset allocation perspective on the use of moving averages In: Journal of Financial Economics.
[Full Text][Citation analysis]		article89
2010Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance In: Journal of Financial Economics.
[Full Text][Citation analysis]		article28
2011Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article143
2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
[Full Text][Citation analysis]		paper415
2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies.
[Full Text][Citation analysis]		article36
2010Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy In: Review of Financial Studies.
[Full Text][Citation analysis]		article657
2015Investor Sentiment Aligned: A Powerful Predictor of Stock Returns In: Review of Financial Studies.
[Full Text][Citation analysis]		article347
1994Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums. In: Review of Financial Studies.
[Full Text][Citation analysis]		article19
1996Temporary Components of Stock Returns: What Do the Data Tell Us? In: Review of Financial Studies.
[Full Text][Citation analysis]		article26
2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
[Full Text][Citation analysis]		article104
2008Temperature-dependent transport and spin accumulation in a quantum wire with Rashba spin-orbit interaction In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]		article0
2006A New Variance Bound on the Stochastic Discount Factor In: The Journal of Business.
[Full Text][Citation analysis]		article7

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