Guofu Zhou : Citation Profile

Washington University in St. Louis

29

H index

38

i10 index

4703

Citations

RESEARCH PRODUCTION:

42

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1990 - 2022). See details.
   Cites by year: 146
   Journals where Guofu Zhou has often published
   Relations with other researchers
   Recent citing documents: 371.    Total self citations: 29 (0.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh420
   Updated: 2025-04-19    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:

Wang, Yudong (178)

Zhang, Yaojie (168)

GUPTA, RANGAN (159)

Verona, Fabio (47)

Faria, Gonçalo (47)

Wohar, Mark (46)

Khalaf, Lynda (44)

Guidolin, Massimo (41)

Dufour, Jean-Marie (39)

Pierdzioch, Christian (37)

Buncic, Daniel (35)

Cites to:

Campbell, John (96)

Stambaugh, Robert (65)

Shanken, Jay (39)

Pastor, Lubos (37)

French, Kenneth (36)

Harvey, Campbell (31)

Timmermann, Allan (23)

Fama, Eugene (22)

West, Kenneth (16)

Hansen, Lars (16)

Clark, Todd (15)

Main data

Where Guofu Zhou has published?

Journals with more than one article published# docs
Journal of Financial Economics12
The Review of Financial Studies6
Annals of Economics and Finance4
Journal of Financial and Quantitative Analysis4
Journal of Finance3
Journal of Empirical 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 (2025 and 2024)

YearTitle of citing document
2024To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

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2024Robustifying 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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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2024Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2024Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2024Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2024Multivariate 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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2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2024Gamma Hedging and Rough Paths. (2023). Ionescu, Andrei ; Armstrong, John. In: Papers. RePEc:arx:papers:2309.05054.

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2025Uses of Sub-sample Estimates to Reduce Errors in Stochastic Optimization Models. (2023). Birge, John R. In: Papers. RePEc:arx:papers:2310.07052.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Sessinou, Rosnel ; Laurent, S'Ebastien ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17127.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024StockGPT: A GenAI Model for Stock Prediction and Trading. (2024). Mai, Dat. In: Papers. RePEc:arx:papers:2404.05101.

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2024Application of Deep Learning for Factor Timing in Asset Management. (2024). Lyu, Haoshu ; Chen, Xilin ; Gharanchaei, Maysam Khodayari ; Panda, Prabhu Prasad. In: Papers. RePEc:arx:papers:2404.18017.

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2024Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence. (2024). Lis, Szymon. In: Papers. RePEc:arx:papers:2411.13180.

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2024Do Activists Align with Larger Mutual Funds?. (2024). Jha, Manish. In: Papers. RePEc:arx:papers:2411.16553.

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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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2025Copula Central Asymmetry of Equity Portfolios. (2025). Frattarolo, Lorenzo. In: Papers. RePEc:arx:papers:2501.00634.

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2025Multi-Hypothesis Prediction for Portfolio Optimization: A Structured Ensemble Learning Approach to Risk Diversification. (2025). Hong, Xia ; Shahzad, Muhammad ; Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2501.03919.

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2025Can optimal diversification beat the naive 1/N strategy in a highly correlated market? Empirical evidence from cryptocurrencies. (2025). Chen, Heming. In: Papers. RePEc:arx:papers:2501.12841.

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2025ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?. (2025). Zhu, WU ; Zhou, Guofu ; Tang, Guohao ; Chen, Jian. In: Papers. RePEc:arx:papers:2502.10008.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2025A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors. (2025). Noda, Akihiko ; Moriya, Koichiro. In: Papers. RePEc:arx:papers:2503.13950.

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2024Does image sentiment of major public emergency affect the stock market performance? New insight from deep learning techniques. (2024). Huang, Dengshi ; Zhou, Jianan ; Wang, Sirui ; Liu, Yun. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:4447-4472.

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2024Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

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2024.

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2024.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2024The Virtue of Complexity in Return Prediction. (2024). Zhou, Kangying ; Malamud, Semyon ; Kelly, Bryan. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:459-503.

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2024Granger causality tests based on reduced variable information. (2024). Nakano, Junji ; Hung, Yingchao ; Tseng, Nengfang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:444-462.

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2024Solving the Forecast Combination Puzzle Using Double Shrinkages. (2024). Wang, Yudong ; Hao, Xianfeng ; Liu, LI. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:714-741.

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2024Deciphering the U.S. metropolitan house price dynamics. (2024). Plakandaras, Vasilios ; Pragidis, Ioannis ; Karypidis, Paris. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:2:p:434-485.

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2024First-mover advantage in funds revisited. (2024). Dunne, Peter ; Chen, Yuting. In: Research Technical Papers. RePEc:cbi:wpaper:6/rt/24.

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2024Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty. (2024). Pratap, Bhanu ; Sengupta, Rajeswari ; Mathur, Aakriti. In: Journal of Asian Economics. RePEc:eee:asieco:v:91:y:2024:i:c:s1049007823001112.

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2024Can a machine learn from behavioral biases? Evidence from stock return predictability of deep learning models. (2024). Kim, Da-Hea ; Cho, Sangheum ; Byun, Suk-Joon. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000953.

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2024Extrapolative beliefs and return predictability: Evidence from China. (2024). Liu, Yumin ; Jiang, Fuwei ; Zhang, Huajing. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000728.

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2024Managerial sentiment and employment. (2024). Montone, Maurizio ; Zhu, Yuhao. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000765.

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2024Business aspects in focus, investor underreaction and return predictability. (2024). Jin, Zuben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s0929119923001748.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2024Cross-cryptocurrency return predictability. (2024). Wang, YU ; Tu, Jun ; Sang, BO ; Guo, LI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

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2024Robust portfolio selection with smart return prediction. (2024). Li, Bin ; Tu, Xueyong. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

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2024Downside liquidity risk premium: From the perspective of higher moment. (2024). Jin, Xiu ; Hou, Yuting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001547.

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2024A hybrid approach of wavelet transform, ARIMA and LSTM model for the share price index futures forecasting. (2024). Bai, Wei ; Liu, Haifei ; Zhang, Junting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001456.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Zhang, LU ; Wu, Zhengyu ; Li, Xiaowei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model. (2024). Bataineh, Hassan ; Gider, Zeynullah ; Hassan, Kabir M ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000081.

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2024Investor sentiment or information content? A simple test for investor sentiment proxies. (2024). Lee, Geul ; Ryu, Doojin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001475.

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2024Can U.S. macroeconomic indicators forecast cryptocurrency volatility?. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001499.

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2024Forecasting crude oil volatility and stock volatility: New evidence from the quantile autoregressive model. (2024). Chen, Yan ; Zhang, Lei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001608.

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2024Speculative and non-speculative equity premia. (2024). Dorobiala, Zachary ; Schneider, Mark ; Ghazi, Soroush. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524001022.

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2024Robustifying Markowitz. (2024). Zhivotovskiy, Nikita ; Hardle, Wolfgang Karl ; Klochkov, Yegor ; Petukhina, Alla. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Li, Haiqi ; Hong, Yongmiao ; Chen, Qitong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Bayesian estimation of cluster covariance matrices of unknown form. (2024). Kim, Jaeho ; Creal, Drew. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s030440762400071x.

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2024Testing for sparse idiosyncratic components in factor-augmented regression models. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001908.

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2024Risk reduction and portfolio optimization using clustering methods. (2024). Thos, Anna-Katharina ; Sass, Jorn. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:1-16.

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2024Long-term dynamic asset allocation under asymmetric risk preferences. (2024). Pantelous, Athanasios A ; Kallinterakis, Vasileios ; Hwang, Soosung ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:765-782.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2024Optimal investment in ambiguous financial markets with learning. (2024). Mahayni, Antje ; Bauerle, Nicole. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:393-410.

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2024Risk-aversion versus risk-loving preferences in nonparametric frontier-based fund ratings: A buy-and-hold backtesting strategy. (2024). Kerstens, Kristiaan ; Ren, Tiantian ; Kumar, Saurav. In: European Journal of Operational Research. RePEc:eee:ejores:v:319:y:2024:i:1:p:332-344.

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2025Adaptive robust online portfolio selection. (2025). Tsang, Man Yiu ; Sit, Tony ; Wong, Hoi Ying. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:214-230.

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2025Industry return prediction via interpretable deep learning. (2025). Sermpinis, Georgios ; Iannino, Maria Chiara ; Psaradellis, Ioannis ; Zografopoulos, Lazaros. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:257-268.

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2024Global contagion of US COVID-19 panic news. (2024). Ho, Young ; Park, Dojoon ; Kang, Yong Joo. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000116.

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2024Speculative trading, stock returns and asset pricing anomalies. (2024). Xu, Zhiwei ; Zhang, Teng ; Li, Jiaqi. In: Emerging Markets Review. RePEc:eee:ememar:v:61:y:2024:i:c:s1566014124000608.

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2024Expectations, sentiments and capital flows to emerging market economies. (2024). Boonman, Tjeerd ; Beckmann, Joscha ; Schreiber, Sven. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000670.

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2024Factor momentum in the Chinese stock market. (2024). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001251.

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2024Certainty of uncertainty for asset pricing. (2024). Meng, Lingchao ; Kang, Jie ; Jiang, Fuwei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000367.

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2024The risk–return tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537.

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2024A portfolio-level, sum-of-the-parts approach to return predictability. (2024). Katselas, Dean ; Xu, Hongyi ; Drienko, JO. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000604.

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2024Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA. (2024). Zhou, Guofu ; Lu, Yueliang ; Han, Yufeng ; Xu, Weike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000720.

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2024Changing determinant driver and oil volatility forecasting: A comprehensive analysis. (2024). Wang, Jiqian ; Ma, Feng ; Luo, Qin ; Wu, You. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006850.

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2024Efficient predictability of oil price: The role of VIX-based panic index shadow line difference. (2024). Liang, Chao ; Zhang, Xiaotong ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007326.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2024Does energy consumption play a key role? Re-evaluating the energy consumption-economic growth nexus from GDP growth rates forecasting. (2024). Hu, Shiyang ; Ma, Feng ; Lu, Fei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007661.

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2024Chinas futures market volatility and sectoral stock market volatility prediction. (2024). Zhong, Juandan ; Zhang, Jixiang ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001373.

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2024Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors. (2024). Zhang, Yaojie ; Wang, Qunwei. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002457.

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2024Betting on war? Oil prices, stock returns, and extreme geopolitical events. (2024). Sorensen, Lars Qvigstad ; Nygaard, Knut. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003670.

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2024Forecasting the volatility of crude oil basis: Univariate models versus multivariate models. (2024). Wang, Yudong ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:295:y:2024:i:c:s0360544224007412.

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2024Oil price volatility prediction using out-of-sample analysis – Prediction efficiency of individual models, combination methods, and machine learning based shrinkage methods. (2024). Ullah, Mirzat ; Ming, Kai ; Cheng, Weijin. In: Energy. RePEc:eee:energy:v:300:y:2024:i:c:s0360544224012696.

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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]		article58
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article18
1993 Asset-Pricing Tests under Alternative Distributions. In: Journal of Finance.
[Full Text][Citation analysis]		article48
2013International Stock Return Predictability: What Is the Role of the United States? In: Journal of Finance.
[Full Text][Citation analysis]		article335
2022Anomalies and the Expected Market Return In: Journal of Finance.
[Full Text][Citation analysis]		article33
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.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		paper
1994What determines expected international asset returns ?.(1994) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 54		paper
1994What determines expected international asset returns ?.(1994) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 54		paper
1994What Determines Expected International Asset Returns?.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		paper
2006Using Bootstrap to Test Portfolio Efficiency In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article20
2012Tests of Mean-Variance Spanning In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article83
2001Tests of Mean-Variance Spanning.(2001) In: CEMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 83		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]		paper120
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations.(2007) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120		article
2006Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120		paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory In: CEMA Working Papers.
[Full Text][Citation analysis]		paper167
1995Measuring the pricing error of the arbitrage pricing theory.(1995) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 167		paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory..(1996) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 167		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 nother version. Agregated cites: 60		article
2007Optimal Portfolio Choice with Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article247
2010Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article31
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]		article71
2013Forecasting Stock Returns In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter322
2010How much stock return predictability can we expect from an asset pricing model? In: Economics Letters.
[Full Text][Citation analysis]		article22
1995Small sample rank tests with applications to asset pricing In: Journal of Empirical Finance.
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1999Testing multi-beta asset pricing models In: Journal of Empirical Finance.
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2015Fama–MacBeth two-pass regressions: Improving risk premia estimates In: Finance Research Letters.
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1999Security factors as linear combinations of economic variables In: Journal of Financial Markets.
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2006Portfolio optimization under asset pricing anomalies In: Japan and the World Economy.
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2016Short interest and aggregate stock returns In: Journal of Financial Economics.
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2019Manager sentiment and stock returns In: Journal of Financial Economics.
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2020Time series momentum: Is it there? In: Journal of Financial Economics.
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2022Expected return, volume, and mispricing In: Journal of Financial Economics.
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2022Recovering the FOMC risk premium In: Journal of Financial Economics.
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1990Bayesian inference in asset pricing tests In: Journal of Financial Economics.
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1991Small sample tests of portfolio efficiency In: Journal of Financial Economics.
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2004Data-generating process uncertainty: What difference does it make in portfolio decisions? In: Journal of Financial Economics.
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2009Technical analysis: An asset allocation perspective on the use of moving averages In: Journal of Financial Economics.
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2010Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance In: Journal of Financial Economics.
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2011Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies In: Journal of Financial Economics.
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2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
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2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: The Review of Financial Studies.
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2010Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy In: The Review of Financial Studies.
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2015Investor Sentiment Aligned: A Powerful Predictor of Stock Returns In: The Review of Financial Studies.
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1994Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums. In: The Review of Financial Studies.
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1996Temporary Components of Stock Returns: What Do the Data Tell Us? In: The Review of Financial Studies.
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2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
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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.
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2006A New Variance Bound on the Stochastic Discount Factor In: The Journal of Business.
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