create a website

Navigating the factor zoo around the world: an institutional investor perspective. (2021). Bartram, Söhnke ; Pope, Peter F ; Lohre, Harald ; Ranganathan, Ananthalakshmi.
In: Journal of Business Economics.
RePEc:spr:jbecon:v:91:y:2021:i:5:d:10.1007_s11573-021-01035-y.

Full description at Econpapers || Download paper

Cited: 4

Citations received by this document

Cites: 204

References cited by this document

Cocites: 24

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Causal Network Representations in Factor Investing. (2025). Howard, Clint ; Lohre, Harald ; Mudde, Sebastiaan.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:32:y:2025:i:1:n:e70001.

    Full description at Econpapers || Download paper

  2. Empirical Asset Pricing Models for Green, Grey, and Red EU Securities: A Fama–French and Carhart Model Approach. (2025). Kottas, Ferdinantos.
    In: JRFM.
    RePEc:gam:jjrfmx:v:18:y:2025:i:5:p:282-:d:1658985.

    Full description at Econpapers || Download paper

  3. How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?. (2022). lucey, brian ; ben Jabeur, Sami ; Mefteh-Wali, Salma ; Khalfaoui, Rabeh ; Abedin, Mohammad Zoynul ; Viviani, Jean-Laurent.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:185:y:2022:i:c:s0040162522006047.

    Full description at Econpapers || Download paper

  4. Some key developments in international financial management. (2021). Breuer, Wolfgang ; de Vargas, Santiago Ruiz.
    In: Journal of Business Economics.
    RePEc:spr:jbecon:v:91:y:2021:i:5:d:10.1007_s11573-021-01039-8.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Agarwal V, Taffler R (2008) Does financial distress risk drive the momentum anomaly? Financ Manag 37(3):461–484.

  2. Aharoni G, Grundy B, Zeng Q (2013) Stock returns and the Miller-Modigliani valuation formula: revisiting the Fama-French analysis. J Financ Econ 110(2):347–357.

  3. Ahmed S, Bu Z, Tsvetanov D (2019) Best of the best: a comparison of factor models. J Financ Quant Anal 54(4):1713–1758.

  4. Amel-Zadeh A, Serafeim G (2018) Why and how investors use ESG information: evidence from a global survey. Financ Anal J 74(3):87–103.
    Paper not yet in RePEc: Add citation now
  5. Andronoudis D, Dargenidou C, Konstantinidi E, Pope PF (2019) Conservative accounting and the pricing of risk: the case of research and development. Working Paper. Available at SSRN 3006537.
    Paper not yet in RePEc: Add citation now
  6. Ang A, Hodrick R, Xing Y, Zhang X (2009) High idiosyncratic volatility and low returns: International and further US evidence. J Financ Econ 91(1):1–23.

  7. Aretz K, Bartram SM, Pope PF (2010) Macroeconomic risks and characteristic-based factor models. J Bank Finance 34(6):1383–1399.

  8. Aretz K, Pope PF (2018) Real options models of the firm, capacity overhang, and the cross section of stock returns. J Financ 73(3):1363–1415.

  9. Arnott RD, Clements M, Kalesnik V, Linnainmaa JT (2019) Factor momentum. Available at SSRN 3116974.
    Paper not yet in RePEc: Add citation now
  10. Arnott RD, Harvey CR, Kalesnik V, Linnainmaa JT (2021) Reports of value’s death may be greatly exaggerated. Financ Anal J 77:44–67.
    Paper not yet in RePEc: Add citation now
  11. Asness C (2011) Momentum in Japan: the exception that proves the rule. J Portf Manag 37(4):67–75.
    Paper not yet in RePEc: Add citation now
  12. Asness C, Chandra S, Ilmanen A, Israel R (2017) Contrarian factor timing is deceptively difficult. J Portf Manag 43(5):72–87.
    Paper not yet in RePEc: Add citation now
  13. Asness C, Frazzini A, Pedersen L (2014) Low-risk investing without industry bets. Financ Anal J 70(4):24–41.
    Paper not yet in RePEc: Add citation now
  14. Asness C, Moskowitz T, Pedersen L (2013) Value and momentum everywhere. J Financ 68(3):929–985.

  15. Avramov D, Cheng S, Metzker L (2021) Machine learning versus economic restrictions: evidence from stock return predictability. Available at SSRN 3450322.
    Paper not yet in RePEc: Add citation now
  16. Avramov D, Cheng S, Schreiber A, Shemer K (2017) Scaling up market anomalies. J Invest 26(3):89–105.
    Paper not yet in RePEc: Add citation now
  17. Avramov D, Chordia T, Jostova G, Philipov A (2007) Momentum and credit rating. J Financ 62(5):2503–2520.

  18. Avramov D, Chordia T, Jostova G, Philipov A (2019) Bonds, stocks, and sources of mispricing. Unpublished manuscript, George Mason University.
    Paper not yet in RePEc: Add citation now
  19. Bai J, Bali T, Wen Q (2019) Common risk factors in the cross-section of corporate bond returns. J Financ Econ 131(3):619–642.

  20. Baker N, Haugen R (2012) Low risk stocks outperform within all observable markets of the world. Available at SSRN 2055431.
    Paper not yet in RePEc: Add citation now
  21. Bakshi G, Gao X, Rossi A (2017) Understanding the sources of risk underlying the cross section of commodity returns. Manag Sci 65(2):619–641.
    Paper not yet in RePEc: Add citation now
  22. Baku E, Fortes R, Hervé K, Lezmi E, Malongo H, Roncalli T, Xu J (2020) Factor investing in currency markets: does it make sense? J Portf Manag 46(2):141–155.
    Paper not yet in RePEc: Add citation now
  23. Bali TG, Goyal A, Huang D, Jiang F, Wen Q (2020a) The cross-sectional pricing of corporate bonds using big data and machine learning, Working Paper.
    Paper not yet in RePEc: Add citation now
  24. Bali TG, Subrahmanyam A, Wen Q (2020b) Long-term reversals in the corporate bond market. J Financ Econ.
    Paper not yet in RePEc: Add citation now
  25. Baltas N (2019) The impact of crowding in alternative risk premia investing. Financ Anal J 75(3):89–104.
    Paper not yet in RePEc: Add citation now
  26. Banz R (1981) The relationship between return and market value of common stocks. J Financ Econ 9(1):3–18.

  27. Barillas F, Shanken J (2017) Which alpha? Rev Financ Stud 30(4):1316–1338.
    Paper not yet in RePEc: Add citation now
  28. Barro RJ (2006) Rare disasters and asset markets in the twentieth century. Quart J Econ 121(3):823–866.

  29. Barro RJ, Nakamura E, Steinsson J, Ursua JF (2009) Crises and recoveries in an empirical model of consumption disasters. Working paper, Harvard University.
    Paper not yet in RePEc: Add citation now
  30. Barroso P, Santa-Clara P (2015) Beyond the carry trade: optimal currency portfolios. J Financ Quant Anal 50(5):1037–1056.

  31. Barry C, Goldreyer E, Lockwood L, Rodriguez M (2002) Robustness of size and value effects in emerging equity markets, 1985–2000. Emerg Mark Rev 3(1):1–30.
    Paper not yet in RePEc: Add citation now
  32. Bartram SM, Bodnar GM (2009) No place to hide: the global crisis in equity markets in 2008/2009. J Int Money Finan 28(8):1246–1292.

  33. Bartram SM, Branke J, Mothari M (2020a) Artificial intelligence in asset management. CFA Institute Research Foundation, Charlottesville.
    Paper not yet in RePEc: Add citation now
  34. Bartram SM, Brown GW, Conrad JS (2011) The effects of derivatives on firm risk and value. J Financ Quant Anal 46(4):967–999.

  35. Bartram SM, Dufey G (2001) International portfolio investment: theory, evidence, and institutional framework. Financ Mark Inst Instr 10(3):85–155.

  36. Bartram SM, Griffin JM, Lim R-H, Ng DT (2015) How important are foreign ownership linkages for international stock returns? Rev Financ Stud 28(11):3036–3072.

  37. Bartram SM, Grinblatt M (2018) Agnostic fundamental analysis works. J Financ Econ 128(1):125–147.

  38. Bartram SM, Grinblatt M (2021) Global market inefficiencies. J Financ Econ 139(1):234–259.

  39. Basu S (1977) Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis. J Financ 32(3):663–682.

  40. Beekhuizen P, Duyvesteyn J, Martens M, Zomerdijk C (2019) Carry investing on the yield curve. Financ Anal J 75(4):51–63.
    Paper not yet in RePEc: Add citation now
  41. Bektić D, Wenzler J-S, Wegener M, Schiereck D, Spielmann T (2019) Extending Fama–French factors to corporate bond markets. J Portfolio Manag 45(3):141–158.
    Paper not yet in RePEc: Add citation now
  42. Berk J (1995) A critique of size-related anomalies. Rev Financ Stud 8(2):275–286.

  43. Berkman H, Jacobsen B, Lee JB (2011) Time-varying rare disaster risk and stock returns. J Financ Econ 101(2):313–332.

  44. Berkman H, Jacobsen B, Lee JB (2017) Rare disaster risk and the expected equity risk premium. Account Financ 57(2):351–372.

  45. Bhansali V (2007) Volatility and the carry trade. J Fixed Income 17(3):72–84.
    Paper not yet in RePEc: Add citation now
  46. Bilson J (1981) The speculative efficiency hypothesis. J Bus 54(3):435–451.

  47. Blei DM, Ng AY, Jordan MI (2002) Latent Dirichlet allocation. In: Advances in neural information processing systems, pp. 601–608.
    Paper not yet in RePEc: Add citation now
  48. Blitz D, De Groot W (2014) Strategic allocation to commodity factor premiums. J Altern Invest 17(2):103–115.
    Paper not yet in RePEc: Add citation now
  49. Blitz D, Marchesini T (2019) The capacity of factor strategies. J Portf Manag 45(6):30–38.
    Paper not yet in RePEc: Add citation now
  50. Blitz D, Pang J, Van Vliet P (2013) The volatility effect in emerging markets. Emerg Mark Rev 16:31–45.

  51. Bonferroni C (1936) Teoria statistica delle classi e calcolo delle probabilita. Pubblicazioni del Istituto Superiore di Scienze Economiche e Commerciali di Firenze 8:3–62.
    Paper not yet in RePEc: Add citation now
  52. Borghi R, de Rossi G (2020) The artificial intelligence approach to picking stocks. In: Jurczenko E (ed) Machine learning for asset management: new developments and financial applications. Wiley, Hoboken, pp 115–166.
    Paper not yet in RePEc: Add citation now
  53. Brooks J, Gould R, Richardson S (2020) Active fixed income illusions. J Fixed Income 29:3–16.
    Paper not yet in RePEc: Add citation now
  54. Brooks J, Moskowitz T (2018) Yield curve premia. Available at SSRN 2956411.
    Paper not yet in RePEc: Add citation now
  55. Brooks J, Palhares D, Richardson S (2018) Style investing in fixed income. J Portf Manag 44(4):127–139.
    Paper not yet in RePEc: Add citation now
  56. Brunnermeier M, Nagel S, Pedersen L (2008) Carry trades and currency crashes. NBER Macroecon Annu 23(1):313–348.

  57. Bryzgalova S, Huang J, Julliard C (2020) Bayesian solutions for the factor zoo: we just ran two quadrillion models. Available at SSRN 3481736.
    Paper not yet in RePEc: Add citation now
  58. Burnside C, Eichenbaum M, Kleshchelski I, Rebelo S (2011) Do peso problems explain the returns to the carry trade? Rev Financ Stud 24(3):853–891.

  59. Campbell JY, Vuolteenaho T (2004) Bad beta, good beta. Am Econ Rev 94(5):1249–1275.

  60. Capaul C, Rowley I, Sharpe W (1993) International value and growth stock returns. Financ Anal J 49(1):27–36.
    Paper not yet in RePEc: Add citation now
  61. Carhart M (1997) On persistence in mutual fund performance. J Financ 52(1):57–82.

  62. Chambers D, Lohre H, Rother C (2018) Tail risk management for multi-asset multi-factor strategies. Risk Reward 218(4):14–20.
    Paper not yet in RePEc: Add citation now
  63. Chan KC, Chen NF (1991) Structural and return characteristics of small and large firms. J Financ 46(4):1467–1484.

  64. Chan L, Hamao Y, Lakonishok J (1991) Fundamentals and stock returns in Japan. J Financ 46(5):1739–1764.

  65. Choi J, Kim Y (2018) Anomalies and market (dis)integration. J Monet Econ 100:16–34.

  66. Chordia T, Goyal A, Nozawa Y, Subrahmanyam A, Tong Q (2017) Are capital market anomalies common to equity and corporate bond markets? An empirical investigation. J Financ Quant Anal 52(4):1301–1342.

  67. Chordia T, Goyal A, Saretto A (2020) Anomalies and false rejections. Rev Financ Stud 33(5):2134–2179.

  68. Chordia T, Subrahmanyam A, Tong Q (2014) Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? J Account Econ 58(1):41–58.

  69. Chu Y, Hirshleifer D, Ma L (2020) The causal effect of limits to arbitrage on asset pricing anomalies. J Financ 75(5):2631–2672.

  70. Cochrane J (2011) Presidential address: discount rates. J Financ 66(4):1047–1108.

  71. Corte PD, Riddiough SJ, Sarno L (2016) Currency premia and global imbalances. Rev Financ Stud 29(8):2161–2193.

  72. Daniel K, Hirshleifer D, Sun L (2020) Short-and long-horizon behavioral factors. Rev Financ Stud 33(4):1673–1736.

  73. De Groot W, Pang J, Swinkels L (2012) The cross-section of stock returns in frontier emerging markets. J Empir Financ 19(5):796–818.

  74. Dechow PM, Sloan RG, Soliman MT (2004) Implied equity duration: a new measure of equity risk. Rev Acc Stud 9(2):197–228.
    Paper not yet in RePEc: Add citation now
  75. Dichtl H, Drobetz W, Lohre H, Rother C (2021) Active factor completion strategies. J Portf Manag 47(2):9–37.
    Paper not yet in RePEc: Add citation now
  76. Dichtl H, Drobetz W, Lohre H, Rother C, Vosskamp P (2019) Optimal timing and tilting of equity factors. Financ Anal J 75(4):84–102.
    Paper not yet in RePEc: Add citation now
  77. Diether KB, Lee KH, Werner IM (2009) Short-sale strategies and return predictability. Rev Financ Stud 22(2):575–607.

  78. Dimson E, Marsh P (1999) Murphy’s law and market anomalies. J Portf Manag 25(2):53–69.
    Paper not yet in RePEc: Add citation now
  79. Donangelo A (2020) Untangling the value premium with labor shares. Rev Financ Stud 34(1):451–508.
    Paper not yet in RePEc: Add citation now
  80. Doskov N, Swinkels L (2015) Empirical evidence on the currency carry trade, 1900–2012. J Int Money Financ 51:370–389.

  81. Ehsani S, Linnainmaa JT (2019) Factor momentum and the momentum factor. Nat Bur Econ Res.

  82. El-Haj M, Rayson P, Walker M, Young S, Simaki V (2019) In search of meaning: lessons, resources and next steps for computational analysis of financial discourse. J Bus Financ Account 46(3–4):265–306.

  83. Elton EJ, Gruber MJ, de Souza A (2019) Are passive funds really superior investments? An investor perspective. Financ Anal J 75(3):7–19.
    Paper not yet in RePEc: Add citation now
  84. Erb CB, Harvey CR (2006) The strategic and tactical value of commodity futures. Financ Anal J 62(2):69–97.
    Paper not yet in RePEc: Add citation now
  85. Fama E (1984) Forward and spot exchange rates. J Monet Econ 14(3):319–338.

  86. Fama E (1998) Market efficiency, long-term returns, and behavioral finance. J Financ Econ 49(3):283–306.

  87. Fama E, French K (1993) Common risk factors in the returns on stocks and bonds. J Financ Econ 33(1):3–56.

  88. Fama E, French K (1996) Multifactor explanations of asset pricing anomalies. J Financ 51(1):55–84.

  89. Fama E, French K (1998) Value versus growth: The international evidence. J Financ 53(6):1975–1999.
    Paper not yet in RePEc: Add citation now
  90. Fama E, French K (2015) A five-factor asset pricing model. J Financ Econ 116(1):1–22.

  91. Fama E, French K (2018) Choosing factors. J Financ Econ 128(2):234–252.
    Paper not yet in RePEc: Add citation now
  92. Fama EF, French KR (2008) Dissecting anomalies. J Financ 63(4):1653–1678.

  93. Fama EF, French KR (2012) Size, value, and momentum in international stock returns. J Financ Econ 105(3):457–472.

  94. Farhi E, Fraiberger S, Gabaix X, Ranciere R, Verdelhan A (2009) Crash risk in currency markets. Nat Bur Econ Res.

  95. Feng G, Giglio S, Xiu D (2020) Taming the factor zoo: a test of new factors. J Financ 75(3):1327–1370.

  96. Feng G, Polson N, Xu J (2019) Deep learning in characteristics-sorted factor models. Chicago Booth Research Paper 23527, Chicago Booth.
    Paper not yet in RePEc: Add citation now
  97. Fernandez-Perez A, Frijns B, Fuertes A-M, Miffre J (2018) The skewness of commodity futures returns. J Bank Financ 86:143–158.

  98. Ferson W, Sarkissian S, Simin T (1999) The alpha factor asset pricing model: a parable. J Financ Mark 2(1):49–68.

  99. Frazzini A, Israel R, Moskowitz T (2014) Trading costs of asset pricing anomalies. Working paper, University of Chicago.
    Paper not yet in RePEc: Add citation now
  100. Frazzini A, Israel R, Moskowitz TJ (2018) Trading costs. Available at SSRN 3229719.
    Paper not yet in RePEc: Add citation now
  101. Freyberger J, Neuhierl A, Weber M (2020) Dissecting characteristics nonparametrically. Rev Financ Stud 33(5):2326–2377.

  102. Froot K, Thaler R (1990) Anomalies: foreign exchange. J Econ Perspect 4(3):179–192.

  103. Gabaix X (2012) Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance. Quart J Econ 127(2):645–700.

  104. Gebhardt W, Hvidkjaer S, Swaminathan B (2005) Stock and bond market interaction: does momentum spill over? J Financ Econ 75(3):651–690.

  105. Giamouridis D, Sakkas A, Tessaromatis N (2017) Dynamic asset allocation with liabilities. Eur Financ Manag 23(2):254–291.

  106. Gibbons M, Ross S, Shanken J (1989) A test of the efficiency of a given portfolio. Econometrica 57(5):1121–1152.

  107. Gollier C (2001) Wealth inequality and asset pricing. Rev Econ Stud 68(1):181–203.

  108. Gormsen NJ, Lazarus E (2020) Duration-driven returns. Available at SSRN 3359027.

  109. Grant J, Ahmerkamp J, Kosowski R (2012) Predictability in carry and momentum strategies across asset classes. Available at SSRN 2024056.
    Paper not yet in RePEc: Add citation now
  110. Green J, Hand J, Zhang X (2017) The characteristics that provide independent information about average US monthly stock returns. Rev Financ Stud 30(12):4389–4436.

  111. Griffin J, Ji X, Martin J (2003) Momentum investing and business cycle risk: evidence from pole to pole. J Financ 58(6):2515–2547.

  112. Griffin J, Kelly PJ, Nardari F (2010) Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. Rev Financ Stud 23(8):3225–3277.

  113. Gu S, Kelly B, Xiu D (2020) Empirical asset pricing via machine learning. Rev Financ Stud 33(5):2223–2273.

  114. Guo H, Savickas R, Wang Z, Yang J (2009) Is the value premium a proxy for time-varying investment opportunities? Some time-series evidence. J Financ Quant Anal 44:133–154.

  115. Gupta T, Kelly BT (2019) Factor momentum everywhere. J Portf Manag 45(3):13–36.
    Paper not yet in RePEc: Add citation now
  116. Hammerschmid R, Lohre H (2020) Integrating time series and cross-sectional signals for optimal commodity portfolios. Available at SSRN 3504394.
    Paper not yet in RePEc: Add citation now
  117. Hansen LP, Hodrick RJ (1980) Forward exchange rates as optimal predictors of future spot rates: an econometric analysis. J Polit Econ 88(5):829–853.

  118. Hansen S, McMahon M, Prat A (2017) Transparency and deliberation within the FOMC: a computational linguistics approach. Quart J Econ 133(2):801–870.
    Paper not yet in RePEc: Add citation now
  119. Harvey C, Liu Y (2019) A census of the factor zoo. Available at SSRN 3341728.
    Paper not yet in RePEc: Add citation now
  120. Hasbrouck J (2009) Trading costs and returns for US equities: estimating effective costs from daily data. J Financ 64(3):1445–1477.

  121. Hatchondo JC (2008) A quantitative study of the role of wealth inequality on asset prices. FRB Richmond Econ Q 94(1):73–96.

  122. Haugen R (1995) The new finance: The case against efficient markets. Prentice Hall, Upper Saddle River.
    Paper not yet in RePEc: Add citation now
  123. Haugen R, Baker N (1996) Commonality in the determinants of expected stock returns. J Financ Econ 41(3):401–439.
    Paper not yet in RePEc: Add citation now
  124. Haugen R, Heins A (1972) On the evidence supporting the existence of risk premiums in the capital market. Available at SSRN 1783797.
    Paper not yet in RePEc: Add citation now
  125. Hoffmann M, Studer-Suter R (2017) Systematic consumption risk in currency returns. J Int Money Financ 74:187–208.

  126. Hottinga J, van Leeuwen E, van Ijserloo J (2001) Successful factors to select outperforming corporate bonds. J Portf Manag 28(1):88–101.
    Paper not yet in RePEc: Add citation now
  127. Hou K, Karolyi G, Kho B-C (2011) What factors drive global stock returns? Rev Financ Stud 24(8):2527–2574.

  128. Hou K, Mo H, Xue C, Zhang L (2020a) An augmented q-factor model with expected growth. Rev Financ 25:1–41.
    Paper not yet in RePEc: Add citation now
  129. Hou K, Xue C, Zhang L (2015) Digesting anomalies: an investment approach. Rev Financ Stud 28(3):650–705.

  130. Hsu J, Kalesnik V, Kose E (2019) What is quality? Financ Anal J 75(2):44–61.
    Paper not yet in RePEc: Add citation now
  131. Israel R, Palhares D, Richardson S (2018) Common factors in corporate bond returns. J Invest Manag 16(2):17–46.
    Paper not yet in RePEc: Add citation now
  132. Israelsen RD (2014) Tell it like it is: disclosed risks and factor portfolios. Available at SSRN 2504522.
    Paper not yet in RePEc: Add citation now
  133. Jacobs H, Müller S (2020) Anomalies across the globe: once public, no longer existent? J Financ Econ 135(1):213–230.

  134. Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: implications for stock market efficiency. J Financ 48(1):65–91.

  135. Jensen TI, Kelly BT, Pedersen LH (2021) Is there a replication crisis in finance? Available at SSRN 3774514.

  136. Jostova G, Nikolova S, Philipov A, Stahel C (2013) Momentum in corporate bond returns. Rev Financ Stud 26(7):1649–1693.

  137. Jotikasthira C, Lundblad C, Ramadorai T (2012) Asset fire sales and purchases and the international transmission of funding shocks. J Financ 67(6):2015–2050.

  138. Jurek J (2014) Crash-neutral currency carry trades. J Financ Econ 113(3):325–347.

  139. Kapadia N (2011) Tracking down distress risk. J Financ Econ 102(1):167–182.

  140. Karolyi AG (2016) Home bias, an academic puzzle. Rev Financ 20(6):2049–2078.

  141. Kearney C, Liu S (2014) Textual sentiment in finance: a survey of methods and models. Int Rev Financ Anal 33:171–185.

  142. Kelly B, Palhares D, Pruitt S (2020) Modeling corporate bond returns. Available at SSRN 3720789.
    Paper not yet in RePEc: Add citation now
  143. Kelly B, Pruitt S, Su Y (2019) Characteristics are covariances: a unified model of risk and return. J Financ Econ 134(3):501–524.

  144. Kim D, Lee BJ (2019) Shorting costs and profitability of long–short strategies. Available at SSRN 3519706.
    Paper not yet in RePEc: Add citation now
  145. Korajczyk R, Sadka R (2004) Are momentum profits robust to trading costs? J Financ 59(3):1039–1082.

  146. Kothe J, Lohre H, Rother C (2021) Rates factors and global asset allocation. J Fixed Income 30(3):6–25.
    Paper not yet in RePEc: Add citation now
  147. Kozak S, Nagel S, Santosh S (2020) Shrinking the cross-section. J Financ Econ 135(2):271–292.

  148. Kroencke TA, Schindler F, Schrimpf A (2014) International diversification benefits with foreign exchange investment styles. Rev Financ 18(5):1847–1883.

  149. Krueger P, Sautner Z, Starks LT (2020) The importance of climate risks for institutional investors. Rev Financ Stud 33(3):1067–1111.

  150. Lakonishok J, Shleifer A, Vishny R (1994) Contrarian investment, extrapolation, and risk. J Financ 49(5):1541–1578.

  151. Lam SS, Zhang W (2014) Does policy uncertainty matter for international equity markets? Available at SSRN 2297133.

  152. Lesmond D, Schill M, Zhou C (2004) The illusory nature of momentum profits. J Financ Econ 71(2):349–380.

  153. Lettau M, Ludvigson SC, Wachter JA (2008) The declining equity premium: what role does macroeconomic risk play? Rev Financ Stud 21(4):1653–1687.

  154. Lettau M, Wachter JA (2007) Why is long-horizon equity less risky? A duration-based explanation of the value premium. J Financ 62(1):55–92.

  155. Lettau M, Wachter JA (2011) The term structures of equity and interest rates. J Financ Econ 101(1):90–113.

  156. Leung E, Lohre H, Mischlich D, Sheah Y, Stroh M (2021) The promises and pitfalls of machine learning for predicting stock returns. J Financ Data Sci (forthcoming).
    Paper not yet in RePEc: Add citation now
  157. Li F (2008) Annual report readability, current earnings, and earnings persistence. J Account Econ 45(2–3):221–247.

  158. Liang H, Renneboog L (2020) Corporate social responsibility and sustainable finance: a review of the literature. Oxf Res Encycl Econ Financ (forthcoming).
    Paper not yet in RePEc: Add citation now
  159. Linnainmaa JT, Roberts MR (2018) The history of the cross-section of stock returns. Rev Financ Stud 31(7):2606–2649.

  160. Lintner J (1965) Security prices, risk, and maximal gains from diversification. J Financ 20(4):587–615.

  161. Lo AW, MacKinlay AC (1988) Stock market prices do not follow random walks: evidence from a simple specification test. Rev Financ Stud 1(1):41–66.

  162. Lo AW, MacKinlay AC (1990) Data-snooping biases in tests of financial asset pricing models. Rev Financ Stud 3(3):431–467.

  163. Lopez-Lira A (2019) Risk factors that matter: textual analysis of risk disclosures for the cross-section of returns. Available at SSRN 3313663.
    Paper not yet in RePEc: Add citation now
  164. Lou D, Polk C (2014) Comomentum: inferring arbitrage activity from return correlations. Working paper.
    Paper not yet in RePEc: Add citation now
  165. Lustig H, Roussanov N, Verdelhan A (2011) Common risk factors in currency markets. Rev Financ Stud 24(11):3731–3777.

  166. Lustig H, Verdelhan A (2007) The cross section of foreign currency risk premia and consumption growth risk. Am Econ Rev 97(1):89–117.

  167. McLean R, Pontiff J (2016) Does academic research destroy stock return predictability? J Financ 71(1):5–32.

  168. Menkhoff L, Sarno L, Schmeling M, Schrimpf A (2017) Currency value. Rev Financ Stud 30(2):416–441.
    Paper not yet in RePEc: Add citation now
  169. Merton RC (1973) An intertemporal capital asset pricing model. Econometrica 42(5):867–887.

  170. Miffre J (2016) Long-short commodity investing: a review of the literature. J Commod Mark 1(1):3–13.

  171. Miffre J, Rallis G (2007) Momentum strategies in commodity futures markets. J Bank Financ 31(6):1863–1886.

  172. Miller EM (1977) Risk, uncertainty, and divergence of opinion. J Financ 32(4):1151–1168.

  173. Mossin J (1966) Equilibrium in a capital asset market. Econometrica 34(4):768–783.
    Paper not yet in RePEc: Add citation now
  174. Muijsson C, Fishwick E, Satchell S (2014) Taking the art out of smart beta. (Preprint).
    Paper not yet in RePEc: Add citation now
  175. Novy-Marx R (2014) The quality dimension of value investing. Working Paper.
    Paper not yet in RePEc: Add citation now
  176. Novy-Marx R, Velikov M (2016) A taxonomy of anomalies and their trading costs. Rev Financ Stud 29(1):104–147.

  177. Park H (2019) Intangible assets and the book-to-market effect. Eur Financ Manag 25(1):207–236.

  178. Patton A, Weller B (2020) What you see is not what you get: the costs of trading market anomalies. J Financ Econ 137(2):515–549.

  179. Pojarliev M, Levich R (2008) Do professional currency managers beat the benchmark? Financ Anal J 64(5):18–32.

  180. Pukthuanthong K, Roll R, Subrahmanyam A (2019) A protocol for factor identification. Rev Financ Stud 32(4):1573–1607.

  181. Ranganathan A, Lohre H, Nolte S, Braham H (2020) An integrated approach to currency factor management. Working paper, Lancaster University Management School.
    Paper not yet in RePEc: Add citation now
  182. Riddiough S, Sarno L (2018) Business cycles and currency returns. Working paper, University of Melbourne.
    Paper not yet in RePEc: Add citation now
  183. Rietz TA (1988) The equity risk premium a solution. J Monet Econ 22(1):117–131.

  184. Romano J, Wolf M (2005) Stepwise multiple testing as formalized data snooping. Econometrica 73(4):1237–1282.

  185. Romano JP, Wolf M (2013) Testing for monotonicity in expected asset returns. J Empir Financ 23:93–116.

  186. Ross S (1976) The arbitrage theory of capital asset pricing. J Econ Theory 13(3):341–360.

  187. Rouwenhorst K (1998) International momentum strategies. J Financ 53(1):267–284.
    Paper not yet in RePEc: Add citation now
  188. Rouwenhorst K (1999) Local return factors and turnover in emerging stock markets. J Financ 54(4):1439–1464.

  189. Sakkas A, Tessaromatis N (2020) Factor based commodity investing. J Bank Financ 115:105807.

  190. Schröder D, Esterer F (2016) A new measure of equity and cash flow duration: the duration-based explanation of the value premium revisited. J Money Credit Bank 48(5):857–900.

  191. Sharpe W (1964) Capital asset prices: a theory of market equilibrium under conditions of risk. J Financ 19(3):425–442.

  192. Shleifer A, Vishny R (1997) The limits of arbitrage. J Financ 52(1):35–55.

  193. Siriwardane, E. (2013). The pricing of disaster risk. Working paper. NYU.
    Paper not yet in RePEc: Add citation now
  194. Stambaugh R, Yu J, Yuan Y (2012) The short of it: investor sentiment and anomalies. J Financ Econ 104(2):288–302.

  195. Stambaugh R, Yuan Y (2017) Mispricing factors. Rev Financ Stud 30(4):1270–1315.
    Paper not yet in RePEc: Add citation now
  196. Stein JC (2009) Presidential address: sophisticated investors and market efficiency. J Financ 64(4):1517–1548.

  197. Sullivan R, Timmerman A, White H (1999) Data-snooping, technical trading rule performance, and the bootstrap. J Financ 54(5):1647–1691.

  198. Sullivan R, Timmerman A, White H (2001) Dangers of data-mining: The case of calendar effects in stock returns. J Econometr 105(1):249–286.

  199. Van der Hart J, Slagter E, Van Dijk D (2003) Stock selection strategies in emerging markets. J Empir Financ 10(1–2):105–132.

  200. Van Gelderen E, Huij J (2014) Academic knowledge dissemination in the mutual fund industry: can mutual funds successfully adopt factor investing strategies. J Portf Manag 40(114):157–167.
    Paper not yet in RePEc: Add citation now
  201. Van Gelderen E, Huij J, Kyosev G (2019) Factor investing from concept to implementation. J Portf Manag 45(3):125–140.
    Paper not yet in RePEc: Add citation now
  202. Vanguard Investment Strategy Group (2019) Cycle-based factor timing: clear in hindsight but hazy ahead. The Vanguard Group, Valley Forge.
    Paper not yet in RePEc: Add citation now
  203. Wahal S (2019) The profitability and investment premium: Pre-1963 evidence. J Financ Econ 131(2):362–377.

  204. Zaremba A (2016) Risk-based explanation for the country-level size and value effects. Financ Res Lett 18:226–233.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The context of earnings management and its ability to predict future stock returns. (2022). Shiwakoti, Radha K ; Iqbal, Abdullah.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:59:y:2022:i:1:d:10.1007_s11156-022-01041-3.

    Full description at Econpapers || Download paper

  2. Does board committee independence affect financial distress likelihood? A comparison of China with the UK. (2022). Serrasqueiro, Zelia ; Ashraf, Sumaira.
    In: Asia Pacific Journal of Management.
    RePEc:kap:asiapa:v:39:y:2022:i:2:d:10.1007_s10490-020-09747-5.

    Full description at Econpapers || Download paper

  3. Navigating the factor zoo around the world: an institutional investor perspective. (2021). Bartram, Söhnke ; Pope, Peter F ; Lohre, Harald ; Ranganathan, Ananthalakshmi.
    In: Journal of Business Economics.
    RePEc:spr:jbecon:v:91:y:2021:i:5:d:10.1007_s11573-021-01035-y.

    Full description at Econpapers || Download paper

  4. Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings. (2021). Merkle, Christoph ; Sextroh, Christoph J.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:62:y:2021:i:c:p:159-178.

    Full description at Econpapers || Download paper

  5. Development and testing of an augmented distress prediction model: A comparative study on a developed and an emerging market. (2020). Félix, Elisabete ; Serrasqueiro, Zelia ; Ashraf, Sumaira.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:57-58:y:2020:i::s1042444x20300487.

    Full description at Econpapers || Download paper

  6. Performance of default-risk measures: the sample matters. (2020). Muga, Luis ; Sanchez, Santiago ; Abinzano, Isabel ; Gonzalez-Urteaga, Ana.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302211.

    Full description at Econpapers || Download paper

  7. Determinants and consequences of financial distress: review of the empirical literature. (2020). Uddin, Md Borhan ; D'Costa, Mabel ; Sun, LI ; Huang, Hedy Jiaying ; Habib, Ahsan.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:60:y:2020:i:s1:p:1023-1075.

    Full description at Econpapers || Download paper

  8. In search of distress risk in Chinas stock market. (2019). He, Wei ; Wang, Qian ; Gao, LI.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:42:y:2019:i:c:s1044028317302028.

    Full description at Econpapers || Download paper

  9. Financial distress and equity returns: A leverage-augmented three-factor model. (2018). Boubaker, Sabri ; Hamza, Taher ; Vidal-Garcia, Javier.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:46:y:2018:i:c:p:1-15.

    Full description at Econpapers || Download paper

  10. Distress Anomaly and Shareholder Risk: International Evidence. (2018). Goyal, Amit ; Eisdorfer, Assaf ; Zhdanov, Alexei.
    In: Financial Management.
    RePEc:bla:finmgt:v:47:y:2018:i:3:p:553-581.

    Full description at Econpapers || Download paper

  11. The winner-loser anomaly: recent evidence from Greece. (2017). Gallagher, Liam ; Oa, Cormac.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:47:p:4718-4728.

    Full description at Econpapers || Download paper

  12. Are investors consistent in their trading strategies? An examination of individual investor-level data. (2017). Duxbury, Darren ; Yao, Songyao .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:52:y:2017:i:c:p:77-87.

    Full description at Econpapers || Download paper

  13. The role of corporate governance in forecasting bankruptcy: Pre- and post-SOX enactment. (2016). Lin, Jane-Raung ; Liu, Feng-Ying ; Chou, De-Wai ; Chan, Chia-Ying.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:35:y:2016:i:c:p:166-188.

    Full description at Econpapers || Download paper

  14. Do investors care about corporate taxes?. (2016). Brooks, Chris ; Money, Kevin ; Godfrey, Chris ; Hillenbrand, Carola.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:38:y:2016:i:c:p:218-248.

    Full description at Econpapers || Download paper

  15. The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story. (2015). Brooks, Chris ; Godfrey, Chris .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2015-07.

    Full description at Econpapers || Download paper

  16. Government ownership and the cost of debt: Evidence from government investments in publicly traded firms. (2015). Megginson, William L ; Fotak, Veljko ; Holland, Kateryna ; Borisova, Ginka .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:168-191.

    Full description at Econpapers || Download paper

  17. Momentum and default risk. Some results using the jump component. (2015). Muga, Luis ; Santamaria, Rafael ; Gonzalez-Urteaga, Ana.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:40:y:2015:i:c:p:185-193.

    Full description at Econpapers || Download paper

  18. How value-glamour investors use financial information: UK evidence of investors confirmation bias. (2014). Pescetto, Gioia ; Santamaria, Daniel ; Duong, Chau.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:20:y:2014:i:6:p:524-549.

    Full description at Econpapers || Download paper

  19. Are hazard models superior to traditional bankruptcy prediction approaches? A comprehensive test. (2014). Agarwal, Vineet ; Bauer, Julian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:432-442.

    Full description at Econpapers || Download paper

  20. Market Cycles and the Performance of Relative Strength Strategies. (2013). Sun, Licheng ; Stivers, Chris.
    In: Financial Management.
    RePEc:bla:finmgt:v:42:y:2013:i:2:p:263-290.

    Full description at Econpapers || Download paper

  21. More than Just Contrarians: Insider Trading in Glamour and Value Firms. (2013). Tonks, Ian ; Tharyan, Rajesh ; Gregory, Alan.
    In: European Financial Management.
    RePEc:bla:eufman:v:19:y:2013:i:4:p:747-774.

    Full description at Econpapers || Download paper

  22. Asymmetric dynamics of stock price continuation. (2012). Huang, Alex.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:6:p:1839-1855.

    Full description at Econpapers || Download paper

  23. Residual momentum. (2011). Blitz, David ; Martens, Martin ; Huij, Joop.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:506-521.

    Full description at Econpapers || Download paper

  24. Momentum and the Disposition Effect: The Role of Individual Investors. (2010). Singh, Vivek ; SHARMA, VIVEK ; Pritamani, Mahesh ; Hur, Jungshik.
    In: Financial Management.
    RePEc:bla:finmgt:v:39:y:2010:i:3:p:1155-1176.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 02:48:00 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.