Abdi, Farshid ; Ranaldo, Angelo A simple estimation of bid-ask spreads from daily close, high, and low prices. 2017 The Review of Financial Studies. 30 4437-4480
Ang, Andrew ; Hodrick, Robert J. ; Xing, Yuhang ; Zhang, Xiaoyan High idiosyncratic volatility and low returns: International and further U.S. evidence. 2009 Journal of Financial Economics. 91 1-23
Ang, Andrew ; Hodrick, Robert J. ; Xing, Yuhang ; Zhang, Xiaoyan The cross-section of volatility and expected returns. 2006 The Journal of Finance. 61 259-299
Asness, Clifford S. ; Moskowitz, Tobias J. ; Pedersen, Lasse Heje Value and momentum everywhere. 2013 The Journal of Finance. 68 929-985
Baker, Malcom ; Wurgler, Jeffrey Investor sentiment and the cross-section of stock returns. 2006 The Journal of Finance. 61 1645-1680
Baker, Malcom ; Wurgler, Jeffrey ; Yuan, Yu Global, local, and contagious investor sentiment. 2012 Journal of Financial Economics. 104 272-287
Bali, Turan G. ; Cakici, Nusret ; Whitelaw, Robert F. Maxing out: Stocks as lotteries and the cross-section of expected returns. 2011 Journal of Financial Economics. 99 427-446
Baltussen, Guido ; Swinkels, Laurens ; Van Vliet, Pim Global factor premiums. 2021 Journal of Financial Economics. 142 1128-1154
Bekaert, Geert ; Harvey, Campbell R. ; Lundblad, Christian ; Siegel, Stephan Global growth opportunities and market integration. 2007 The Journal of Finance. 62 1081-1137
Bergbrant, Mikael C. ; Kelly, Patrick J. Macroeconomic expectations and the size, value, and momentum factors. 2016 Financial Management. 45 809-844
- Blitz, David The quant crisis of 2018–2020: Cornered by big growth. 2021 The Journal of Portfolio Management. 47 8-21
Paper not yet in RePEc: Add citation now
Booth, Laurence ; Aivazian, Varouj ; Demirguc-Kunt, Asli ; Maksimovic, Vojislav Capital structures in developing countries. 2001 The Journal of Finance. 56 87-130
Bradshaw, Mark T. ; Richardson, Scott A. ; Sloan, Richard G. The relation between corporate financing activities, analysts’ forecasts and stock returns. 2006 Journal of Accounting and Economics. 42 53-85
Brickley, James A. Shareholder wealth, information signaling and the specially designated dividend: An empirical study. 1983 Journal of Financial Economics. 12 187-209
- Brooks, Robin ; Del Negro, Marco Country Versus Region effects in international stock returns. 2005 Journal of Portfolio Management. 31 67-72
Paper not yet in RePEc: Add citation now
- Chaieb, Ines ; Langlois, Hugues ; Scaillet, Olivier Factors and risk premia in individual international stock returns. 2011 Journal of Financial Economics. 141 669-692
Paper not yet in RePEc: Add citation now
Chen, Nai-Fu ; Roll, Richard ; Ross, Stephen A. Economic forces and the stock market. 1986 Journal of Business. 59 383-403
- Cheon, Yong-Ho ; Lee, Kuan-Hui Maxing out globally: Individualism, investor attention, and the cross section of expected stock returns. 2017 Management Science. 64 5807-5831
Paper not yet in RePEc: Add citation now
Cochrane, John H. Presidential address: Discount rates. 2011 The Journal of Finance. 66 1047-1108
Daniel, Kent ; Hirshleifer, David ; Sun, Lin Short- and long-horizon behavioral factors. 2020 The Review of Financial Studies. 33 1673-1736
DeAngelo, Harry ; DeAngelo, Linda The irrelevance of the MM dividend irrelevance theorem. 2006 Journal of Financial Economics. 79 293-315
DeAngelo, Harry ; DeAngelo, Linda ; Stulz, René M. Dividend policy and the earned/contributed capital mix: a test of the life-cycle theory. 2006 Journal of Financial Economics. 81 227-254
Denis, David J. ; Osobov, Igor Why do firms pay dividends? International evidence on the determinants of dividend policy. 2008 Journal of Financial Economics. 89 62-82
Detzel, Andrew ; Novy-Marx, Robert ; Velikov, Mihail Model comparison with transaction costs. 2023 The Journal of Finance. 78 1743-1775
Dittmar, Amy K. Why do firms repurchase stock. 2000 Journal of Business. 73 331-355
Easterbrook, Frank H. Two agency-cost explanations of dividends. 1984 The American Economic Review. 74 650-659
- Eun, Cheol S. ; Lee, Jinsoo Mean–variance convergence around the world. 2010 Journal of Banking & Finance. 34 856-870
Paper not yet in RePEc: Add citation now
Fama, Eugene F. ; French, Kenneth R. A five-factor asset pricing model. 2015 Journal of Financial Economics. 116 1-22
Fama, Eugene F. ; French, Kenneth R. Average returns, B/M, and share issues. 2008 The Journal of Finance. 63 2971-2995
Fama, Eugene F. ; French, Kenneth R. Business conditions and expected returns on stocks and bonds. 1989 Journal of Financial Economics. 25 23-49
- Fama, Eugene F. ; French, Kenneth R. Choosing factors. 2018 Journal of Financial Economics. 128 234-252
Paper not yet in RePEc: Add citation now
Fama, Eugene F. ; French, Kenneth R. Common risk factors in the returns on stocks and bonds. 1993 Journal of Financial Economics. 33 3-56
Fama, Eugene F. ; French, Kenneth R. Dissecting anomalies. 2008 The Journal of Finance. 63 1653-1678
Fama, Eugene F. ; French, Kenneth R. International tests of a five-factor asset pricing model. 2017 Journal of Financial Economics. 123 441-463
Fama, Eugene F. ; French, Kenneth R. Migration. 2007 Financial Analysts Journal. 63 45-58
Fama, Eugene F. ; French, Kenneth R. Size, value and momentum in international stock returns. 2012 Journal of Financial Economics. 105 457-472
Fama, Eugene F. ; French, Kenneth R. The cross-section of expected stock returns. 1992 The Journal of Finance. 47 427-465
Fama, Eugene F. ; MacBeth, James D. Risk, return, and equilibrium: Empirical tests. 1973 Journal of Political Economy. 81 607-636
- Fried, Jesse M. ; Wang, Charles C.Y. Short-termism, shareholder payouts and investment in the EU. 2021 European Financial Management. 27 389-413
Paper not yet in RePEc: Add citation now
Griffin, John M. Are the fama and french factors global or country specific?. 2002 The Review of Financial Studies. 15 783-803
Griffin, John M. ; Kelly, Patrick J. ; Nardari, Federico Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. 2010 The Review of Financial Studies. 23 3225-3277
Grullon, Gustavo ; Roni, Michaely Dividends, share repurchases, and the substitution hypothesis. 2002 The Journal of Finance. 57 1649-1684
Grullon, Gustavo ; Roni, Michaely The information content of share repurchase programs. 2004 The Journal of Finance. 59 651-680
Guiso, Luigi ; Sapienza, Paola ; Zingales, Luigi Trusting the stock market. 2008 The Journal of Finance. 63 2557-2600
Ham, Charles G. ; Kaplan, Zachary R. ; Leary, Mark T. Do dividends convey information about future earnings?. 2020 Journal of Financial Economics. 136 547-570
- Hanauer, Matthias X. A comparison of global factor models. 2020 :
Paper not yet in RePEc: Add citation now
Hanson, Samuel G. ; Sunderam, Adi The growth and limits of arbitrage: Evidence from short interest. 2014 The Review of Financial Studies. 27 1238-1286
- Harvey, Campbell R. ; Liu, Heqing ... and the cross-section of expected returns. 2016 The Review of Financial Studies. 29 5-68
Paper not yet in RePEc: Add citation now
- Hollstein, Fabian Local, regional, or global asset pricing?. 2022 Journal of Financial and Quantitative Analysis. 57 291--320
Paper not yet in RePEc: Add citation now
Hung, Mingyi Accounting standards and value relevance of financial statements: An international analysis. 2000 Journal of Accounting and Economics. 30 401-420
Ince, Ozgur S. ; Porter, R. Burt Individual equity return data from Thomson Reuters Datastream: Handle with care!. 2006 Journal of Financial Research. 29 463-479
Jacob, Marcus ; Jacob, Martin Taxation, dividends, and share repurchases: Taking evidence global. 2013 The Journal of Financial and Quantitative Analysis. 48 1241-1269
Jacobs, Heiko ; Müller, Sebastian Anomalies across the globe: Once public, no longer existent?. 2020 Journal of Financial Economics. 135 213-230
Jaffe, Jeffrey F. ; Jindra, Jan ; Pedersen, David J. ; Voetmann, Torben Can mispricing explain the value premium?. 2020 Financial Management. 49 615-633
Jagannathan, Murali ; Stephens, Clifford P. ; Weisbach, Michael S. Financial flexibility and the choice between dividends and stock repurchases. 2000 Journal of Financial Economics. 57 355-384
Jegadeesh, Narasimhan Evidence of predictable behavior of security returns. 1990 The Journal of Finance. 45 881-898
Jegadeesh, Narasimhan ; Titman, Sheridan Profitability of momentum strategies: An evaluation of alternative explanations. 2001 The Journal of Finance. 56 699-720
Jegadeesh, Narasimhan ; Titman, Sheridan Returns to buying winners and selling losers: Implications for stock market efficiency. 1993 The Journal of Finance. 48 65-91
Jensen, Michael C. Agency costs of free cash flow, corporate finance, and takeovers. 1986 The American Economic Review. 76 323-329
Kapons, Martin ; Kelly, Peter ; Stoumbos, Robert ; Zambrana, Rafael Dividends, trust, and firm value. 2023 Review of Accounting Studies. 28 1354-1387
- Kim, Dongcheol ; Lee, Byeung-Joo Shorting costs and profitability of long–short strategies. 2023 Accounting & Finance. 63 277-316
Paper not yet in RePEc: Add citation now
- Koijen, Ralph S.J. ; Moskowitz, Tobias J. ; Pedersen, Lasse Heje ; Vrugt, Evert B. Carry. 2018 Journal of Financial Economics. 127 197-225
Paper not yet in RePEc: Add citation now
Konstantinidi, Theodosia Firm life cycle, expectation errors and future stock returns. 2022 Journal of Banking & Finance. 143 -
Lakonishok, Josef ; Shleifer, Andrei ; Vishny, Robert W. Contrarian investment, extrapolation, and risk. 1994 The Journal of Finance. 49 1541-1578
Lo, Andrew W. ; MacKinlay, A. Craig Data-snooping biases in tests of financial asset pricing models. 1990 The Review of Financial Studies. 3 431-467
Lochstoer, Lars A. ; Tetlock, Paul C. What drives anomaly returns?. 2020 The Journal of Finance. 75 1417-1455
McLean, R. David ; Pontiff, Jeffrey Does academic research destroy stock return predictability?. 2016 The Journal of Finance. 71 5-32
- Michaely, Roni ; Rossi, Stefano ; Weber, Michael Signaling safety. 2021 Journal of Financial Economics. 139 405-427
Paper not yet in RePEc: Add citation now
Miller, Edward M. Risk, uncertainty, and divergence of opinion. 1977 The Journal of Finance. 32 1151-1168
Newey, Whitney K. ; West, Kenneth D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708
Nichols, D. Craig ; Wahlen, James M. ; Wieland, Matthew M. Pricing and mispricing of accounting fundamentals in the time-series and in the cross section. 2017 Contemporary Accounting Research. 34 1378-1417
Nissim, Doron ; Ziv, Amir Dividend changes and future profitability. 2001 The Journal of Finance. 56 2111-2133
Novy-Marx, Robert ; Velikov, Mihail A taxonomy of anomalies and their trading costs. 2016 The Review of Financial Studies. 29 104-147
- Ohlson, James A. On accounting-based valuation formulae. 2005 Review of Accounting Studies. 10 323-347
Paper not yet in RePEc: Add citation now
Piotroski, Joseph D. Value investing: The use of historical financial statement information to separate winners from losers. 2000 Journal of Accounting Research. 38 1-41
- Politis, Dimitris N. ; Romano, Joseph P. The stationary bootstrap. 1994 Journal of the American Statistical Association. 89 1303-1313
Paper not yet in RePEc: Add citation now
Pontiff, Jeffrey Costly arbitrage and the myth of idiosyncratic risk. 2006 Journal of Accounting and Economics. 42 35-52
Rapach, David E. ; Strauss, Jack K. ; Zhou, Guofu International stock return predictability: What is the role of the United States?. 2013 The Journal of Finance. 68 1633-1662
Rhodes–Kropf, Matthew ; Robinson, David T. ; Viswanathan, S. Valuation waves and merger activity: The empirical evidence. 2005 Journal of Financial Economics. 77 561-603
- Schmidt, Peter S., Schrimpf, Andreas, von Arx, Urs, Wagner, Alexander F., & Ziegler, Andreas (2017). On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications. In Swiss finance institute research paper, no. 10-58.
Paper not yet in RePEc: Add citation now
Shleifer, Andrei ; Vishny, Robert W. The limits of arbitrage. 1997 The Journal of Finance. 52 35-55
Stambaugh, Robert F. ; Yu, Jianfeng ; Yuan, Yu Arbitrage asymmetry and the idiosyncratic volatility puzzle. 2015 The Journal of Finance. 70 1903-1948
Stambaugh, Robert F. ; Yu, Jianfeng ; Yuan, Yu The short of it: Investor sentiment and anomalies. 2012 Journal of Financial Economics. 104 288-302
- Stambaugh, Robert F. ; Yuan, Yu Mispricing factors. 2017 The Review of Financial Studies. 30 1270-1315
Paper not yet in RePEc: Add citation now
- Walkshäusl, Christian Mispricing and the five-factor model. 2016 Economics Letters. 147 99-102
Paper not yet in RePEc: Add citation now
- Walkshäusl, Christian Predicting stock returns from the pricing and mispricing of accounting fundamentals. 2021 The Quarterly Review of Economics and Finance. 81 253-260
Paper not yet in RePEc: Add citation now
- White, Halbert A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. 1980 Econometrica. 48 817-838
Paper not yet in RePEc: Add citation now