27
H index
36
i10 index
3928
Citations
Washington University in St. Louis | 27 H index 36 i10 index 3928 Citations RESEARCH PRODUCTION: 42 Articles 12 Papers 1 Chapters 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 Guofu Zhou. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Economics | 12 |
Review of Financial Studies | 6 |
Journal of Financial and Quantitative Analysis | 4 |
Annals of Economics and Finance | 4 |
Journal of Empirical Finance | 3 |
Journal of Finance | 3 |
Annual Review of Financial Economics | 2 |
Working Papers Series with more than one paper published | # docs |
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CEMA Working Papers / China Economics and Management Academy, Central University of Finance and Economics | 6 |
Working Papers / HAL | 2 |
NBER Working Papers / National Bureau of Economic Research, Inc | 2 |
Year | Title of citing document | |
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2023 | . Full description at Econpapers || Download paper | |
2022 | On 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. Full description at Econpapers || Download paper | |
2022 | Reconciling 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. Full description at Econpapers || Download paper | |
2022 | Out 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. Full description at Econpapers || Download paper | |
2022 | Short of Capital: Stock Market Implications of Short Sellers’ Losses. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:116. Full description at Econpapers || Download paper | |
2022 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2023 | Sampling 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. Full description at Econpapers || Download paper | |
2022 | Sharpe 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. Full description at Econpapers || Download paper | |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2022 | Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806. Full description at Econpapers || Download paper | |
2022 | Robustifying 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | The insider problem in the trinomial model: a discrete-time jump process approach. (2021). Halconruy, H'Elene. In: Papers. RePEc:arx:papers:2106.15208. Full description at Econpapers || Download paper | |
2022 | Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194. Full description at Econpapers || Download paper | |
2023 | Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365. Full description at Econpapers || Download paper | |
2023 | Price 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. Full description at Econpapers || Download paper | |
2023 | Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893. Full description at Econpapers || Download paper | |
2023 | Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644. Full description at Econpapers || Download paper | |
2022 | Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848. Full description at Econpapers || Download paper | |
2022 | Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444. Full description at Econpapers || Download paper | |
2023 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper | |
2022 | Large 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573. Full description at Econpapers || Download paper | |
2023 | Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper | |
2022 | 150 Years of Return Predictability Around the World: A Holistic View. (2022). Bai, Yang. In: Papers. RePEc:arx:papers:2209.00121. Full description at Econpapers || Download paper | |
2022 | Asset Pricing and Deep Learning. (2022). Zhang, Chen. In: Papers. RePEc:arx:papers:2209.12014. Full description at Econpapers || Download paper | |
2023 | Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623. Full description at Econpapers || Download paper | |
2022 | Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695. Full description at Econpapers || Download paper | |
2022 | Gambling on Momentum. (2022). de Angelis, Luca ; Singleton, Carl ; Deutscher, Christian ; Otting, Marius. In: Papers. RePEc:arx:papers:2211.06052. Full description at Econpapers || Download paper | |
2022 | Robustifying Markowitz. (2022). Zhivotovskiy, Nikita ; Petukhina, Alla ; Klochkov, Yegor ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2212.13996. Full description at Econpapers || Download paper | |
2023 | Removing 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. Full description at Econpapers || Download paper | |
2023 | When 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. Full description at Econpapers || Download paper | |
2023 | Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2023). Ziel, Florian ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2303.10019. 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 | Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568. Full description at Econpapers || Download paper | |
2023 | Panel 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. Full description at Econpapers || Download paper | |
2023 | Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689. Full description at Econpapers || Download paper | |
2023 | Methods 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. Full description at Econpapers || Download paper | |
2023 | Gamma Hedging and Rough Paths. (2023). Ionescu, Andrei ; Armstrong, John. In: Papers. RePEc:arx:papers:2309.05054. Full description at Econpapers || Download paper | |
2023 | Global 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. Full description at Econpapers || Download paper | |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | Machine 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. Full description at Econpapers || Download paper | |
2023 | . 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 | |
2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper | |
2022 | Beating 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. Full description at Econpapers || Download paper | |
2023 | Disentangling 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. Full description at Econpapers || Download paper | |
2022 | Positive 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. Full description at Econpapers || Download paper | |
2022 | Short?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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | A 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. 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 | 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 | Timing 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. Full description at Econpapers || Download paper | |
2023 | Messages 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. Full description at Econpapers || Download paper | |
2023 | Short 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. Full description at Econpapers || Download paper | |
2022 | Stock 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. Full description at Econpapers || Download paper | |
2022 | Bringing 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. Full description at Econpapers || Download paper | |
2022 | Do 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. 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 | Shrinking 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. Full description at Econpapers || Download paper | |
2022 | Can 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. Full description at Econpapers || Download paper | |
2022 | Does 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. Full description at Econpapers || Download paper | |
2023 | Average 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Ride 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. Full description at Econpapers || Download paper | |
2022 | Late 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. 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 | 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 | |
2022 | Return 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. Full description at Econpapers || Download paper | |
2022 | Health 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Differences 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2022 | Dynamics of Subjective Risk Premia. (2022). Xu, Zhengyang ; Nagel, Stefan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9693. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Technical Analysis, Energy Cryptos and Energy Equity Markets. (2022). Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-28. Full description at Econpapers || Download paper | |
2022 | High 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. Full description at Econpapers || Download paper | |
2022 | Energy 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. Full description at Econpapers || Download paper | |
2023 | Can 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. Full description at Econpapers || Download paper | |
2023 | Extreme 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. Full description at Econpapers || Download paper | |
2023 | Is 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Labor unemployment insurance and bank loans. (2022). Shen, YI. In: Journal of Corporate Finance. RePEc:eee:corfin:v:76:y:2022:i:c:s0929119922000979. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Asymmetric 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. Full description at Econpapers || Download paper | |
2022 | Accounting research and the significance test crisis. (2022). Johnstone, David. In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:89:y:2022:i:c:s1045235421000150. Full description at Econpapers || Download paper | |
2022 | Momentum 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. Full description at Econpapers || Download paper | |
2023 | Short 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. Full description at Econpapers || Download paper | |
2023 | Employee 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. 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 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. 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 | Forecasting 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2010 | Bayesian Portfolio Analysis In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 48 |
2010 | Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 18 |
1993 | Asset-Pricing Tests under Alternative Distributions. In: Journal of Finance. [Full Text][Citation analysis] | article | 45 |
2013 | International Stock Return Predictability: What Is the Role of the United States? In: Journal of Finance. [Full Text][Citation analysis] | article | 278 |
2022 | Anomalies and the Expected Market Return In: Journal of Finance. [Full Text][Citation analysis] | article | 7 |
2000 | On the Rate of Convergence of Discrete?Time Contingent Claims In: Mathematical Finance. [Full Text][Citation analysis] | article | 32 |
2000 | Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2002 | What Determines Expected International Asset Returns? In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 54 |
2002 | What Determines Expected International Asset Returns?.(2002) In: CEMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
1994 | What determines expected international asset returns ?.(1994) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
1994 | What determines expected international asset returns ?.(1994) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
1994 | What Determines Expected International Asset Returns?.(1994) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2006 | Using Bootstrap to Test Portfolio Efficiency In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 19 |
2012 | Tests of Mean-Variance Spanning In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 77 |
2001 | Tests of Mean-Variance Spanning.(2001) In: CEMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | paper | |
1999 | A Critique of the Stochastic Discount Factor Methodology In: CEMA Working Papers. [Full Text][Citation analysis] | paper | 34 |
2007 | Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers. [Full Text][Citation analysis] | paper | 111 |
2007 | Estimating 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 another version. Agregated cites: 111 | article | |
2006 | Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 111 | paper | |
1996 | Measuring the Pricing Error of the Arbitrage Pricing Theory In: CEMA Working Papers. [Full Text][Citation analysis] | paper | 158 |
1995 | Measuring the pricing error of the arbitrage pricing theory.(1995) In: Staff Report. [Full Text][Citation analysis] This paper has another version. Agregated cites: 158 | paper | |
1996 | Measuring 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 | |
1993 | International asset pricing with alternative distributional specifications In: CEMA Working Papers. [Full Text][Citation analysis] | paper | 60 |
1993 | International 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 | |
2007 | Optimal Portfolio Choice with Parameter Uncertainty In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 206 |
2010 | Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 24 |
2012 | Volatility Trading: What Is the Role of the Long-Run Volatility Component? In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 12 |
2013 | A New Anomaly: The Cross-Sectional Profitability of Technical Analysis In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 58 |
2013 | Forecasting Stock Returns In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 300 |
2010 | How much stock return predictability can we expect from an asset pricing model? In: Economics Letters. [Full Text][Citation analysis] | article | 21 |
1995 | Small sample rank tests with applications to asset pricing In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 16 |
1999 | Testing multi-beta asset pricing models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 13 |
2015 | Fama–MacBeth two-pass regressions: Improving risk premia estimates In: Finance Research Letters. [Full Text][Citation analysis] | article | 9 |
1999 | Security factors as linear combinations of economic variables In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 7 |
2006 | Portfolio optimization under asset pricing anomalies In: Japan and the World Economy. [Full Text][Citation analysis] | article | 2 |
2016 | Short interest and aggregate stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 179 |
2019 | Manager sentiment and stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 126 |
2020 | Time series momentum: Is it there? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 36 |
2022 | Expected return, volume, and mispricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 4 |
2022 | Recovering the FOMC risk premium In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1 |
1990 | Bayesian inference in asset pricing tests In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 39 |
1991 | Small sample tests of portfolio efficiency In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 28 |
2004 | Data-generating process uncertainty: What difference does it make in portfolio decisions? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 35 |
2009 | Technical analysis: An asset allocation perspective on the use of moving averages In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 89 |
2010 | Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 28 |
2011 | Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 143 |
2010 | Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers. [Full Text][Citation analysis] | paper | 415 |
2006 | Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies. [Full Text][Citation analysis] | article | 36 |
2010 | Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy In: Review of Financial Studies. [Full Text][Citation analysis] | article | 657 |
2015 | Investor Sentiment Aligned: A Powerful Predictor of Stock Returns In: Review of Financial Studies. [Full Text][Citation analysis] | article | 347 |
1994 | Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 19 |
1996 | Temporary Components of Stock Returns: What Do the Data Tell Us? In: Review of Financial Studies. [Full Text][Citation analysis] | article | 26 |
2010 | Robust portfolios: contributions from operations research and finance In: Annals of Operations Research. [Full Text][Citation analysis] | article | 104 |
2008 | Temperature-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] | article | 0 |
2006 | A New Variance Bound on the Stochastic Discount Factor In: The Journal of Business. [Full Text][Citation analysis] | article | 7 |
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