- Abarbanell, J.S. ; Bushee, B.J. Abnormal returns to a fundamental analysis strategy. 1998 Accounting Review. 73 19-45
Paper not yet in RePEc: Add citation now
Abarbanell, J.S. ; Bushee, B.J. Fundamental analysis, future earnings, and stock prices. 1997 Journal of Accounting Research. 35 1-24
Acharya, V. ; Pedersen, L.H. Asset pricing with liquidity risk. 2005 Journal of Financial Economics. 77 375-410
Amihud, Y. Illiquidity and stock returns: cross section and time series effects. 2002 Journal of Financial Markets. 5 31-56
Aretz, K. ; Bartram, S.M. ; Pope, P.F. Macroeconomic risks and characteristic-based factor models. 2010 Journal of Banking and Finance. 34 1383-1399
Avramov, D. ; Chordia, T. ; Jostova, G. ; Philipov, A. Credit ratings and the cross section of stock returns. 2009 Journal of Financial Markets. 12 469-499
Ball, R. Anomalous relationships between securities yields and yield surrogates. 1978 Journal of Financial Economics. 3 103-126
Ball, R. ; Bartov, E. How naive is the stock market's use of earnings information?. 1996 Journal of Accounting and Economics. 21 319-337
Ball, R. ; Brown, P. An empirical evaluation of accounting income numbers. 1968 Journal of Accounting Research. 6 159-178
- Bartram, S.M. ; Grinblatt, M. Global Market Inefficiencies. 2017 University of Warwick: Coventry, UK
Paper not yet in RePEc: Add citation now
Beneish, M.D. ; Lee, C.M.C. ; Nichols, D.C. In short supply: shortsellers and stock returns. 2015 Journal of Accounting and Economics. 60 33-57
Berk, J. A critique of size-related anomalies. 1995 Review of Financial Studies. 8 275-286
Berk, J. ; van Binsbergen, J.H. Measuring skill in the mutual fund industry. 2015 Journal of Financial Economics. 118 1-20
Bernard, V.L. ; Thomas, J. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. 1990 Journal of Accounting and Economics. 13 305-340
Bernard, V.L. ; Thomas, J. Post-earnings announcement drift: delayed price response or risk premium?. 1989 Journal of Accounting Research. 27 1-36
- Bessembinder, H. ; Cooper, M.J. ; Zhang, F. Characteristic-Based Expected Returns and Corporate Events. 2015 University of Utah: Salt Lake City, UT
Paper not yet in RePEc: Add citation now
Bhojraj, S. ; Lee, C.M.C. Who is my peer? a valuation-based approach to the selection of comparable firms. 2002 Journal of Accounting Research. 40 407-439
Bradshaw, M.T. ; Richardson, S.A. ; Sloan, R.G. The relation between corporate financing activities, analysts’ forecasts and stock returns. 2006 Journal of Accounting and Economics. 45 53-85
Campbell, J.Y. ; Hilscher, J. ; Szilagyi, J. In search of distress risk. 2008 Journal of Finance. 63 2899-2939
Carhart, M. On persistence in mutual fund performance. 1997 Journal of Finance. 52 57-82
Chen, H.L. ; Jegadeesh, N. ; Wermers, R. The value of active mutual fund management: an examination of the stockholdings and trades of fund managers. 2000 Journal of Financial and Quantitative Analysis. 35 343-368
- Cooper, I.A. ; Lambertides, N. Is There a Limit to the Accuracy of Equity Valuation Using Multiples?. 2014 London Business School: London, UK
Paper not yet in RePEc: Add citation now
Cooper, M.J. ; Gulen, H. ; Schill, M.J. Asset growth and the cross section of stock returns. 2008 Journal of Finance. 63 1609-1652
Daniel, K.D. ; Grinblatt, M. ; Titman, S. ; Wermers, R. Measuring mutual fund performance with characteristic-based benchmarks. 1997 Journal of Finance. 52 1035-1058
- Daniel, K.D. ; Hirshleifer, D. ; Subrahmanyam, A. A theory of overconfidence, self-attribution, and security market under- and over-reactions. 1998 Journal of Finance. 53 1839-1885
Paper not yet in RePEc: Add citation now
Daniel, K.D. ; Titman, S. Market reactions to tangible and intangible information. 2006 Journal of Finance. 61 1605-1643
DeBondt, W. ; Thaler, R. Does the stock market overreact?. 1985 Journal of Finance. 40 793-805
Dechow, P.M. ; Hutton, A.P. ; Sloan, R.G. An empirical assessment of the residual income valuation model. 1999 Journal of Accounting and Economics. 26 1-34
Dichev, I.D. Is the risk of bankruptcy a systematic risk?. 1998 Journal of Finance. 53 1131-1147
Dong, M. ; Hirshleifer, D. ; Richardson, S. ; Teoh, S.H. Does investor misvaluation drive the takeover market?. 2006 Journal of Finance. 61 725-762
Edmans, A. ; Goldstein, I. ; Jiang, W. The real effects of financial markets: the impact of prices on takeovers. 2012 Journal of Finance. 67 933-971
Fama, E.F. Efficient capital markets: II. 1991 Journal of Finance. 46 1575-1617
- Fama, E.F. ; French, K.R. A Five-Factor Asset Pricing Model. 2014 University of Chicago: Chicago, IL
Paper not yet in RePEc: Add citation now
Fama, E.F. ; French, K.R. Average returns, B/M, and share issues. 2008 Journal of Finance. 63 2971-2995
Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 Journal of Financial Economics. 33 3-56
Fama, E.F. ; French, K.R. Luck versus skill in the cross section of mutual fund returns. 2010 Journal of Finance. 65 1915-1947
Fama, E.F. ; French, K.R. Profitability, investment, and average returns. 2006 Journal of Financial Economics. 82 491-518
Fama, E.F. ; French, K.R. The cross section of expected stock returns. 1992 Journal of Finance. 47 427-465
Fama, E.F. ; MacBeth, J.D. Risk, return, and equilibrium: empirical tests. 1973 Journal of Political Economy. 81 607-636
Ferguson, M.F. ; Shockley, R.L. Equilibrium “anomalies. 2003 Journal of Finance. 58 2549-2580
Foster, F.D. ; Smith, T. ; Whaley, R.E. Assessing goodness-of-fit of asset pricing models: the distribution of the maximal R2. 1997 Journal of Finance. 52 591-607
- Foster, G. ; Olsen, C. ; Shevlin, T. Earnings releases, anomalies, and the behavior of security returns. 1984 Accounting Review. 59 574-603
Paper not yet in RePEc: Add citation now
Frankel, R. ; Lee, C.M.C. Accounting valuation, market expectation, and cross-sectional stock returns. 1998 Journal of Accounting and Economics. 25 283-319
Frazzini, A. ; Pedersen, L.H. Betting against beta. 2014 Journal of Financial Economics. 111 1-25
Gatev, E. ; Goetzmann, W.N. ; Rouwenhorst, K.G. Pairs trading: performance of a relative-value arbitrage rule. 2006 Review of Financial Studies. 19 797-827
- Gerakos, J., Linnainmaa, J., 2017. Decomposing value, Review of Financial Studies, (forthcoming).
Paper not yet in RePEc: Add citation now
- Green, J. ; Hand, J. ; Zhang, F. The supraview of return predictive signals. 2013 Review of Accounting Studies. 18 692-730
Paper not yet in RePEc: Add citation now
Greig, A.C. Fundamental analysis and subsequent stock returns. 1992 Journal of Accounting and Economics. 15 413-442
Grinblatt, M. ; Han, B. Prospect theory, mental accounting, and momentum. 2005 Journal of Financial Economics. 78 311-339
- Grinblatt, M. ; Jostova, G. ; Petrasek, L. ; Philipov, A. Style and Skill: Hedge Funds, Mutual Funds, and Momentum. 2017 University of California: Los Angeles, CA
Paper not yet in RePEc: Add citation now
Grinblatt, M. ; Titman, S. A study of monthly mutual fund returns and performance evaluation techniques. 1994 Journal of Financial and Quantitative Analysis. 29 419-444
Grinblatt, M. ; Titman, S. Mutual fund performance: an analysis of quarterly portfolio holdings. 1989 Journal of Business. 62 393-416
Grinblatt, M. ; Titman, S. Performance measurement without benchmarks: an examination of mutual fund returns. 1993 Journal of Business. 66 47-68
Grinblatt, M. ; Titman, S. The persistence of mutual fund performance. 1992 Journal of Finance. 47 1977-1984
Habib, M. ; Ljungqvist, A. Firm value and managerial incentives: a stochastic frontier approach. 2005 Journal of Business. 78 2053-2094
Harvey, C. ; Liu, Y. ; Zhu, H. … and the cross section of expected returns. 2016 Review of Financial Studies. 29 5-68
Heckman, J. Sample selection bias as a specification error. 1979 Econometrica. 47 153-161
Hirshleifer, D. ; Hou, K. ; Teoh, S.H. ; Zhang, Y. Do investors overvalue firms with bloated balance sheets?. 2004 Journal of Accounting and Economics. 38 297-331
Hirshleifer, D. ; Jiang, D. A financing-based misvaluation factor and the cross section of expected returns. 2010 Review of Financial Studies. 23 3401-3436
Holthausen, R.W. ; Larcker, D.F. The prediction of stock returns using financial statement information. 1992 Journal of Accounting and Economics. 15 373-411
Hou, K. ; Karolyi, G.A. ; Kho, B.-C. What factors drive global stock returns?. 2011 Review of Financial Studies. 24 2527-2574
Ikenberry, D. ; Lakonishok, J. ; Vermaelen, T. Market underreaction to open market share repurchases. 1995 Journal of Financial Economics. 39 181-208
Jegadeesh, N. Evidence of predictable behavior of security returns. 1990 Journal of Finance. 45 881-898
Jegadeesh, N. ; Titman, S. Profitability of momentum strategies: an evaluation of alternative explanations. 2001 Journal of Finance. 56 699-720
Jegadeesh, N. ; Titman, S. Returns to buying winners and selling losers: implications for stock market efficiency. 1993 Journal of Finance. 48 65-91
Jiang, H. ; Verbeek, M. ; Wang, Y. Information content when mutual funds deviate from benchmarks. 2014 Management Science. 60 2038-2053
- Jones, C.P. ; Litzenberger, R.H. Quarterly earnings reports and intermediate stock price trends. 1970 Journal of Finance. 25 143-148
Paper not yet in RePEc: Add citation now
Joy, O.M. ; Litzenberger, R.H. ; McEnally, R.W. The adjustment of stock prices to announcements of unanticipated changes in quarterly earnings. 1977 Journal of Accounting Research. 15 207-225
- Kogan, L. ; Tian, M. Firm Characteristics and Empirical Factor Models: A Data-Mining Experiment. 2013 Massachusetts Institute of Technology: Cambridge, MA
Paper not yet in RePEc: Add citation now
- Leamer, E.E. Specification Searches: Ad Hoc Inference with Nonexperimental Data. 1978 John Wiley and Sons: New York
Paper not yet in RePEc: Add citation now
Lee, C.M.C. ; Myers, J. ; Swaminathan, B. What is the intrinsic value of the Dow?. 1999 Journal of Finance. 54 1693-1741
Lev, B. ; Thiagarajan, S.R. Fundamental information analysis. 1993 Journal of Accounting Research. 31 190-215
Liu, J. ; Nissim, D. ; Thomas, J. Equity valuation using multiples. 2002 Journal of Accounting Research. 40 135-172
Livnat, J. ; Mendenhall, R. Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts. 2006 Journal of Accounting Research. 44 177-205
Lo, A.W. ; MacKinlay, A.C. Data-snooping biases in tests of financial asset pricing models. 1990 Review of Financial Studies. 3 431-467
Loughran, T. ; Ritter, J. The new issues puzzle. 1995 Journal of Finance. 50 23-51
Lyandres, E. ; Sun, L. ; Zhang, L. The new issues puzzle: Testing the investment-based explanation. 2008 Review of Financial Studies. 21 2827-2855
Manaster, S. ; Rendleman, R.J. Option prices as predictors of equilibrium stock prices. 1982 Journal of Finance. 37 1043-1057
McLean, D. ; Pontiff, J. Does academic research destroy stock return predictability?. 2016 Journal of Finance. 71 5-32
Michaely, R. ; Thaler, H. ; Womack, L. Price reactions to dividend initiations and omissions: overreaction or drift?. 1995 Journal of Finance. 50 573-608
Mitchell, M.L. ; Stafford, E. Managerial decisions and long-term stock price performance. 2000 Journal of Business. 63 411-433
- Mohanram, P.S. Separating winners from losers among low book-to-market stocks using financial statement analysis. 2005 Review of Accounting Studies. 10 133-170
Paper not yet in RePEc: Add citation now
Novy-Marx, R. The other side of value: the gross profitability premium. 2013 Journal of Financial Economics. 108 1-28
Ohlson, J.A. A synthesis of security valuation theory and the role of dividends, cash flows, and earnings. 1990 Contemporary Accounting Research. 6 648-676
- Ohlson, J.A. Earnings, book values, and dividends in equity valuation. 1995 Contemporary Accounting Research. 11 661-687
Paper not yet in RePEc: Add citation now
Ohlson, J.A. The theory of value and earnings, and an introduction to the Ball-Brown analysis. 1991 Contemporary Accounting Research. 7 1-19
- Ohlson, J.A. ; Kim, S. Linear valuation without OLS: the Theil-Sen estimation approach. 2015 Review of Accounting Studies. 20 395-435
Paper not yet in RePEc: Add citation now
Ou, J. ; Penman, S. Financial statement analysis and the prediction of stock returns. 1989 Journal of Accounting and Economics. 11 295-330
Pastor, L. ; Stambaugh, R.F. Liquidity risk and expected stock returns. 2003 Journal of Political Economy. 111 642-685
- Penman, S.H. ; Reggiani, F. ; Richardson, S.A. ; Tuna, I. An Accounting-Based Characteristic Model for Asset Pricing. 2014 London Business School: London, UK
Paper not yet in RePEc: Add citation now
- Perold, A.F. ; Tierney, B. Numeric Investors L.P. Case study 9-298-012. 1997 Harvard Business School Publishing: Boston, MA
Paper not yet in RePEc: Add citation now
Piotroski, J.D. Value investing: the use of historical financial statement information to separate winners from losers. 2000 Journal of Accounting Research. 38 1-52
Piotroski, J.D. ; So, E.C. Identifying expectation errors in value/glamour strategies: a fundamental analysis approach. 2012 Review of Financial Studies. 25 2841-2875
Pontiff, J. ; Woodgate, A. Share issuance and cross-sectional returns. 2008 Journal of Finance. 93 921-945
Rendleman, R.J. ; Jones, C.P. ; LataneÌ, H.A. Empirical anomalies based on unexpected earnings and the importance of risk adjustments. 1982 Journal of Financial Economics. 10 269-287
Rhodes-Kropf, M. ; Robinson, D.T. ; Viswanathan, S. Valuation waves and merger activity: the empirical evidence. 2005 Journal of Financial Economics. 77 561-603
- Richardson, S.A. ; Sloan, R.G. ; Soliman, M. ; Tuna, I. Information in accruals about the quality of earnings. 2001 London Business School: London, UK
Paper not yet in RePEc: Add citation now
Ross, S.A. A simple approach to the valuation of risky streams. 1978 Journal of Business. 51 453-475
Schulmeister, S. Profitability of technical stock trading: has it moved from daily to intraday data?. 2009 Review of Financial Economics. 18 190-201
Schultz, P. Pseudo market timing and the long-run under-performance of IPOs. 2003 Journal of Finance. 58 483-517
- Sen, P.K. Estimates of the regression coefficient based on Kendall's tau. 1968 Journal of the American Statistical Association. 63 1379-1389
Paper not yet in RePEc: Add citation now
Shumway, T. The delisting bias in CRSP data. 1997 Journal of Finance. 52 327-340
- Sloan, R.G. Do stock prices fully reflect information in accruals and cash flows about future earnings?. 1996 Accounting Review. 71 289-315
Paper not yet in RePEc: Add citation now
- Stambaugh, R.F. ; Yu, Y. Mispricing factors. 2017 Review of Financial Studies. 30 1270-1315
Paper not yet in RePEc: Add citation now
Sullivan, R. ; Timmerman, A. ; White, H. Data-snooping, technical trading rule performance, and the bootstrap. 1999 Journal of Finance. 54 1647-1691
Teoh, S.H. ; Wong, T.J. Why do new issues and high accrual firms under-perform? the role of analysts’ credulity. 2002 Review of Financial Studies. 15 869-900
- Theil, H. A rank-invariant method of linear and polynomial regression analysis. 1950 Nederlandse Akademie Wetenchappen, Series A. 53 386-392
Paper not yet in RePEc: Add citation now
Titman, S. ; Wei, K.C.J. ; Xie, F. Capital investments and stock returns. 2004 Journal of Financial and Quantitative Analysis. 39 677-700
Wermers, R. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transaction costs, and expenses. 2000 Journal of Finance. 4 1655-1695