449:
this, they replicate almost 100 anomalies, and show that the average anomaly's return is only 26% smaller in the few years immediately after the end of the original samples. As some of this decline may be due to investor learning effects, the 26% is an upper bound. In contrast, Harvey, Liu, and Zhu (2016) adapt multiple testing adjustments from statistics such as the
80:
is better to be invested in stocks vs a safe asset (such as
Treasury bills). Cross-sectional anomalies refer to the predictable out-performance of particular stocks relative to others. For example, the well-known size anomaly refers to the fact that stocks with lower market capitalization tend to out-perform stocks with higher market capitalization in the future.
57:
declines substantially after the publication of a predictor, and thus may not offer profits in the future. Finally, return predictability may be due to cross-sectional or time-variation in risk, and thus does not necessarily provide a good investment opportunity. Relatedly, return predictability by itself does not disprove the
46:, but a lack of agreement among academics about the proper theory leads many to refer to anomalies without a reference to a benchmark theory (Daniel and Hirschleifer 2015 and Barberis 2018, for example). Indeed, many academics simply refer to anomalies as "return predictors", avoiding the problem of defining a benchmark theory.
448:
Research on selection bias for anomalies more generally is relatively limited and inconclusive. McLean and
Pontiff (2016) use an out-of-sample test to show that selection bias accounts for at most 26% of the typical anomaly's mean return during the sample period of the original publication. To show
444:
Most research on selection bias in market anomalies focuses on particular subsets of predictors. For example, Sullivan, Timmermann, and White (2001) show that calendar-based anomalies are no longer significant after adjusting for selection bias. A recent meta-analysis of the size premium shows that
374:
The unmeasured risk explanation is closely related to the shortcomings of the CAPM as a theory of risk as well as shortcomings of empirical tests of the CAPM and related models. Perhaps the most common critique of the CAPM is that it is derived in a single period setting, and thus is missing dynamic
370:
Perhaps the most well-known example of this unmeasured risk explanation is found in Fama and French's seminar paper on their 3-factor model: "if assets are priced rationally, variables that are related to average returns ... ..., must proxy for sensitivity to common (shared and thus undiversifiable)
79:
Anomalies can be broadly categorized into time-series and cross-sectional anomalies. Time-series anomalies refer to predictability in the aggregate stock market, such as the often-discussed
Cyclically Adjusted Price-Earnings (CAPE) predictor. These time-series predictors indicate times in which it
56:
These "anomalies", however, come with many caveats. Almost all documented anomalies focus on illiquid, small stocks. Moreover, the studies do not account for trading costs. As a result, many anomalies do not offer profits, despite the presence of predictability. Additionally, return predictability
93:
Many, if not most, of the papers which document anomalies attribute them to mispricing (Lakonishok, Shelifer, and Visny 1994, for example). The mispricing explanation is natural, as anomalies are by definition deviations from a benchmark theory of asset prices. "Mispricing" is then defined as the
432:
The documented anomalies are likely the best performers from a much larger set of potential return predictors. This selection creates a bias and implies that estimates of the profitability of anomalies is overstated. This explanation for anomalies is also known as data snooping, p-hacking, data
453:
to asset pricing "factors". They refer to a factor as any variable that helps explain the cross-section of expected returns, and thus include many anomalies in their study. They find that multiple-testing statistics imply that factors with t-stats < 3.0 should not be considered statistically
394:
Despite the theoretical soundness of the unmeasured risk explanation, there is little consensus among academics about the proper risk model over and above the CAPM. Propositions include the well-known Fama-French 3-Factor Model, Fama-French-Carhart 4-factor model, Fama-French 5-factor model, and
366:
Among academics, a common response to claims of mispricing was the idea that the anomaly captures a dimension of risk that is missing from the benchmark theory. For example, the anomaly may generate expected returns beyond those measured using the CAPM regression because the time-series of its
409:
Anomalies are almost always documented using closing prices from the CRSP dataset. These prices do not reflect trading costs, which can prevent arbitrage and thus the elimination predictability. Moreover, almost all anomalies are documented using equally-weighted portfolios, and thus require
379:
theory. Moreover, the ICAPM generally implies the expected returns vary over time, and thus time-series predictability is not clear evidence of mispricing. Indeed, since the CAPM cannot at all capture dynamic expected returns, evidence of time-series predictability is less often regarded as
417:
A large literature documents that trading costs greatly reduce anomaly returns. This literature goes back to Stoll and Whaley (1983) and Ball, Kothari, and
Shanken (1995). A recent paper that studies dozens of anomalies finds that trading costs have a massive effect on the average anomaly
413:
The limits to arbitrage explanation can be thought of as a refinement of the mispricing framework. A return pattern only offers profits if the returns it offers survives trading costs, and thus should not be considered mispricing unless trading costs are accounted for.
347:
The mispricing explanations are often contentious within academic finance, as academics do not agree on the proper benchmark theory (see
Unmeasured Risk, below). This disagreement is closely related to the "joint-hypothesis problem" of the
223:
76:. Academics have not reached a consensus on the underlying cause, with prominent academics continuing to advocate for selection bias, mispricing, and risk-based theories.
466:
proposes that small companies outperform larger ones. It has been debated in academic journals as to whether the effect is real or arises due to certain systemic errors.
3891:
338:
285:
305:
252:
3971:
391:, (which is theoretically equivalent to Merton's ICAPM), the proper proxy for wealth is consumption, which is difficult to measure (Savov 2011, for example).
395:
Stambaugh and Yuan's 4-factor model. These models are all empirically-oriented, rather than derived from a formal theory of equilibrium like Merton's ICAPM.
387:. Theoretically, wealth includes not only stock market wealth, but also non-tradable wealth like private assets and future labor income. In the
3672:
Ball, Ray; Kothari, S.P.; Shanken, Jay (1995). "Problems in measuring portfolio performance An application to contrarian investment strategies".
388:
3890:
Asness, Cliff S.; Frazzini, Andrea; Israel, Ronen; Moskowitz, Tobias J.; Moskowitz, Tobias J.; Pedersen, Lasse Heje (January 22, 2015).
3964:
375:
features like periods of high uncertainty. In a more general setting, the CAPM typically implies multiple risk factors, as shown in
38:
is predictability that seems to be inconsistent with (typically risk-based) theories of asset prices. Standard theories include the
3753:
Sullivan, Ryan; Timmermann, Allan; White, Halbert (2001). "Dangers of data mining: The case of calendar effects in stock returns".
341:
3957:
3222:
4755:
4202:
110:
43:
3944:
3176:
Kent, Daniel; Hirshleifer, David (Fall 2015). "Overconfident
Investors, Predictable Returns, and Excessive Trading".
4227:
101:(Capital-Asset-Pricing Model). The deviation from this theory is measured by a non-zero intercept in an estimated
3510:
Jagannathan, Ravi; Wang, Zhenyu (March 1995). "The
Conditional CAPM and the Cross‐Section of Expected Returns".
4221:
3726:
Jensen, Michael; Bennington, George (1970). "Random walks and technical theories: Some additional evidence".
3780:
Astakhov, Anton; Havranek, Tomas; Novak, Jiri (2019). "Firm Size and Stock
Returns: A Quantitative Survey".
4760:
4704:
4644:
4440:
4346:
438:
367:
returns are correlated with labor income, which is not captured by standard proxies for the market return.
4765:
4430:
4398:
4302:
4256:
4239:
4192:
349:
98:
58:
39:
4750:
4215:
4209:
17:
3398:
3539:
4604:
4279:
441:. Concerns about selection bias in anomalies goes back at least to Jensen and Bennington (1970).
4558:
4419:
4314:
4197:
3439:
Banz, Rolf W. (March 1981). "The relationship between return and market value of common stocks".
61:, as one needs to show predictability over and above that implied by a particular model of risk.
4446:
3534:
3525:
Fama, Eugene; French, Kenneth (1993). "Common risk factors in the return on stocks and bonds".
3126:
3922:
3285:
Novy-Marx, Robert; Velikov, Mihail (2015). "A taxonomy of anomalies and their trading costs".
445:
the reported estimates of the size premium are exaggerated twofold because of selection bias.
4584:
4393:
3467:
3121:
470:
361:
310:
257:
371:
risk factors in returns. The time-series regressions give direct evidence on this issue."
290:
4719:
4639:
4404:
4388:
4351:
4233:
4176:
4144:
3872:
450:
230:
102:
3195:
8:
4649:
4594:
4518:
4378:
4308:
4137:
4110:
3300:
Fama, Eugene (1970). "Efficient
Capital Markets: A Review of Theory and Empirical Work".
404:
69:
27:
Financial market is predictability seems to be inconsistent with theories of asset prices
4689:
4664:
4624:
4609:
4528:
4498:
4467:
4425:
4169:
4079:
4069:
3910:
3857:
3797:
3739:
3630:
3613:
3579:
3492:
3487:
3421:
3417:
3317:
376:
3766:
3214:
3162:
64:
The four primary explanations for market anomalies are (1) mispricing, (2) unmeasured
4553:
4538:
4290:
3918:
3801:
3712:
3685:
3575:
3548:
3452:
3218:
3914:
3496:
4654:
4574:
4370:
4251:
4127:
4046:
4002:
3980:
3902:
3853:
3824:
3789:
3762:
3735:
3708:
3699:
Stoll, Hans; Whaley, Robert (1983). "Transaction costs and the small firm effect".
3681:
3654:
3625:
3583:
3571:
3544:
3482:
3448:
3413:
3377:
3344:
3309:
3262:
3210:
3158:
384:
35:
3844:
Richard Roll (September 1981). "A Possible
Explanation of the Small Firm Effect".
3658:
4729:
4724:
4659:
4634:
4569:
4543:
4523:
4482:
4477:
4472:
4457:
4452:
4340:
4274:
4266:
4154:
4041:
3939:
3147:
4684:
4679:
4564:
4325:
4320:
4285:
4084:
4051:
3997:
3989:
427:
73:
65:
383:
Empirical shortcomings primarily regard the difficulty in measuring wealth or
307:
is the slope from regressing the anomaly's return on the market's return, and
4744:
4548:
4533:
4508:
4462:
4414:
4117:
4074:
4061:
4012:
434:
4709:
4629:
4599:
4589:
4409:
4383:
4132:
4122:
4105:
4036:
4031:
4007:
3876:
3645:
Fama, Eugene; French, Kenneth (2015). "A five-factor asset pricing model".
4714:
4694:
4674:
4669:
4614:
4503:
4435:
3906:
3829:
3816:
3382:
3365:
3349:
3336:
454:
significant, and conclude that most published findings are likely false.
3466:
Lakonishok, Josef; Shleifer, Andrei; Vishny, Robert W. (December 1994).
4699:
4619:
4296:
4159:
3793:
3425:
3321:
3267:
3250:
51:
4335:
4330:
4245:
4164:
3949:
3313:
457:
4513:
4149:
340:
is the return on the "market", often proxied by the return on the
4357:
105:. This intercept is commonly denoted by the Greek letter alpha:
4100:
49:
Academics have documented more than 150 return predictors (see
4023:
3889:
3196:"Psychology-based Models of Asset Prices and Trading Volume"
2009:
Institutional Ownership for stocks with high short interest
3597:
Stambaugh, Robert; Yuan, Yu (2016). "Mispricing Factors".
380:
mispricing as compared to cross-sectional predictability.
3465:
3752:
3251:"Does Academic Research Destroy Return Predictability?"
3779:
344:
index (an index of all publicly traded U.S. stocks).
313:
293:
260:
233:
113:
3562:Savov, Alexi (2011). "Asset pricing with garbage".
1890:
Institutional ownership interactions with anomalies
3671:
332:
299:
279:
246:
217:
3249:McLean, David; Pontiff, Jeffrey (February 2016).
458:List of anomalies documented in academic journals
218:{\displaystyle E(R_{t}-R_{f,t})=\alpha +\beta \,}
52:List of Anomalies Documented in Academic Journals
4742:
3815:Harvey, Campbell; Liu, Yan; Zhu, Heqing (2016).
3725:
3468:"Contrarian Investment, Extrapolation, and Risk"
3399:"Stock Prices, Earnings, and Expected Dividends"
3284:
3817:"... and the cross-section of expected returns"
3509:
3337:"... and the Cross-Section of Expected Returns"
3175:
496:Change in capital investment, industry adjusted
2681:Journal of Financial and Quantitative Analysis
2664:Journal of Financial and Quantitative Analysis
2647:Journal of Financial and Quantitative Analysis
2630:Journal of Financial and Quantitative Analysis
2613:Journal of Financial and Quantitative Analysis
2596:Journal of Financial and Quantitative Analysis
410:trading of illiquid (costly-to-trade) stocks.
3965:
3596:
3248:
3055:Review of Quantitative Finance and Accounting
83:
3843:
3814:
3698:
3614:"On persistence in mutual fund performance"
1366:Boudoukh, Michaely, Richardson, and Roberts
1349:Boudoukh, Michaely, Richardson, and Roberts
1185:Journal of Business, Finance and Accounting
3972:
3958:
3870:
3644:
3524:
3106:Journal of International Money and Finance
3828:
3629:
3538:
3486:
3381:
3348:
3266:
214:
3892:"Size Matters, If You Control Your Junk"
3396:
3363:
3193:
2757:Number of consecutive earnings increases
2417:Option Volume relative to recent average
615:Growth in Long term net operating assets
3611:
3145:
2029:Ball, Gerakos, Linnainmaa, and Nikolaev
1230:Avramov, Chordia, Jostova, and Philipov
1057:Change in current operating liabilities
14:
4743:
3334:
1298:Barber, Lehavy, McNichols, and Trueman
1281:Barber, Lehavy, McNichols, and Trueman
1264:Barber, Lehavy, McNichols, and Trueman
398:
3979:
3953:
3561:
785:Change in Noncurrent Operating Assets
513:Gross Margin growth over sales growth
287:is the return on the risk-free rate,
94:deviation relative to the benchmark.
3438:
3335:Harvey, Campbell R. (January 2016).
3299:
3280:
3278:
3244:
3242:
3240:
3238:
3236:
3234:
3189:
3187:
2182:Dechow, Hutton, Meulbroek, and Sloan
2845:Rajgopal, Shevlin and Venkatachalam
2386:Ikenberry, Lakonishok and Vermaelen
2131:Chordia, Subrahmanyam, and Anshuman
2114:Chordia, Subrahmanyam, and Anshuman
1686:Industry concentration (Herfindahl)
1100:Journal of Accounting and Economics
1083:Journal of Accounting and Economics
1066:Journal of Accounting and Economics
1049:Journal of Accounting and Economics
1032:Journal of Accounting and Economics
1015:Journal of Accounting and Economics
1006:Change in depreciation to gross PPE
998:Journal of Accounting and Economics
981:Journal of Accounting and Economics
964:Journal of Accounting and Economics
947:Journal of Accounting and Economics
930:Journal of Accounting and Economics
24:
3858:10.1111/j.1540-6261.1981.tb04890.x
3740:10.1111/j.1540-6261.1970.tb00671.x
3631:10.1111/j.1540-6261.1997.tb03808.x
3488:10.1111/j.1540-6261.1994.tb04772.x
3418:10.1111/j.1540-6261.1988.tb04598.x
2080:Brennan, Chordia, and Subrahmanyam
2026:Cash-based operating profitability
1094:Richardson, Sloan Soliman and Tuna
1077:Richardson, Sloan Soliman and Tuna
1060:Richardson, Sloan Soliman and Tuna
1043:Richardson, Sloan Soliman and Tuna
1040:Change in current operating assets
1026:Richardson, Sloan Soliman and Tuna
669:Hafzalla, Lundholm, and Van Winkle
652:Hafzalla, Lundholm, and Van Winkle
584:Desai, Rajgopal, and Benkatachalam
547:Sales growth over inventory growth
355:
25:
4777:
3933:
3275:
3231:
3184:
3155:Handbook of Economics and Finance
3148:"Anomalies and Market Efficiency"
992:Hirschleifer, Hou Teoh, and Zhang
564:Sales growth over overhead growth
421:
97:The most common benchmark is the
4228:Electronic communication network
3576:10.1111/j.1540-6261.2010.01629.x
3178:Journal of Economic Perspectives
2715:Journal of Investment Management
1839:Public Seasoned Equity Offerings
1808:Lakonishok, Scheifer, and Vishny
1791:Lakonishok, Scheifer, and Vishny
1451:Chan, Lakonishok, and Sougiannis
1434:Chan, Lakonishok, and Sougiannis
1383:Campbell, Hilscher, and Szilagyi
924:Balakrishnan, Bartov, and Faurel
896:Contemporary Accounting Research
437:, and is closely related to the
3940:ANOMALIES AND MARKET EFFICIENCY
3883:
3871:Adam Hayes (January 14, 2021).
3864:
3837:
3821:The Review of Financial Studies
3808:
3773:
3746:
3719:
3692:
3665:
3638:
3605:
3590:
3555:
3518:
3503:
3459:
3432:
3397:Campbell, John Y. (July 1988).
3341:The Review of Financial Studies
3287:The Review of Financial Studies
2230:operating profits / book equity
1417:Chan, Jegadeesh, and Lakonishok
1400:Chan, Jegadeesh, and Lakonishok
1074:Change in financial liabilities
975:Bradshaw, Richardson, and Sloan
958:Bradshaw, Richardson, and Sloan
941:Bradshaw, Richardson, and Sloan
3701:Journal of Financial Economics
3674:Journal of Financial Economics
3647:Journal of Financial Economics
3527:Journal of Financial Economics
3441:Journal of Financial Economics
3390:
3357:
3328:
3293:
3169:
3139:
3089:Journal of Financial Economics
3072:Journal of Financial Economics
2995:Growth in advertising expenses
2910:Earnings surprise of big firms
2791:Change in Forecast and Accrual
2783:Quarterly Journal of Economics
2545:Journal of Financial Economics
2528:Journal of Financial Economics
2511:Journal of Financial Economics
2494:Journal of Financial Economics
2477:Journal of Financial Economics
2460:Journal of Financial Economics
2443:Journal of Financial Economics
2426:Journal of Financial Economics
2409:Journal of Financial Economics
2392:Journal of Financial Economics
2375:Journal of Financial Economics
2366:Sin Stock (selection criteria)
2358:Journal of Financial Economics
2341:Journal of Financial Economics
2324:Journal of Financial Economics
2307:Journal of Financial Economics
2290:Journal of Financial Economics
2273:Journal of Financial Economics
2256:Journal of Financial Economics
2239:Journal of Financial Economics
2222:Journal of Financial Economics
2205:Journal of Financial Economics
2188:Journal of Financial Economics
2171:Journal of Financial Economics
2154:Journal of Financial Economics
2137:Journal of Financial Economics
2120:Journal of Financial Economics
2103:Journal of Financial Economics
2086:Journal of Financial Economics
2069:Journal of Financial Economics
2052:Journal of Financial Economics
2035:Journal of Financial Economics
2018:Journal of Financial Economics
2001:Journal of Financial Economics
1168:Journal of Accounting Research
1151:Journal of Accounting Research
1134:Journal of Accounting Research
1117:Journal of Accounting Research
1091:Change in long-term investment
418:(Novy-Marx and Velikov 2015).
254:is the return on the anomaly,
211:
208:
170:
164:
149:
117:
44:Fama-French Three Factor Model
13:
1:
4222:Multilateral trading facility
3767:10.1016/S0304-4076(01)00077-X
3659:10.1016/j.jfineco.2014.10.010
3215:10.35188/UNU-WIDER/2018/444-5
3163:10.1016/S1574-0102(03)01024-0
3132:
2981:Lamont, Polk, and Saa-Requejo
2698:Journal of Financial Research
2434:Option Volume to Stock Volume
1213:Ang, Hodrick, Xing, and Zhang
802:Change in Net Working Capital
618:Fairfield, Whisenant and Yohn
581:Operating Cash flows to price
88:
4645:Returns-based style analysis
4441:Post-modern portfolio theory
4347:Security characteristic line
3713:10.1016/0304-405X(83)90027-2
3686:10.1016/0304-405X(94)00806-C
3549:10.1016/0304-405X(93)90023-5
3453:10.1016/0304-405X(81)90018-0
3146:Schwert, G. William (2003).
2927:Industry return of big firms
2868:Review of Accounting Studies
2851:Review of Accounting Studies
2834:Review of Accounting Studies
2817:Review of Accounting Studies
2800:Review of Accounting Studies
2749:Journal of Political Economy
2732:Journal of Political Economy
2579:Journal of Financial Markets
2562:Journal of Financial Markets
2485:gross profits / total assets
1397:Earnings announcement return
1145:Penman, Richardson, and Tuna
1128:Penman, Richardson, and Tuna
1111:Penman, Richardson, and Tuna
907:Barbee, Mukherji, and Raines
439:multiple comparisons problem
7:
4756:Efficient-market hypothesis
4399:Efficient-market hypothesis
4303:Capital asset pricing model
4240:Straight-through processing
3782:Journal of Economic Surveys
3599:Review of Financial Studies
3194:Barberis, Nicholas (2018).
3115:
3046:Book-to-market and accruals
3038:Review of Financial Studies
3021:Review of Financial Studies
3004:Review of Financial Studies
2987:Review of Financial Studies
2970:Review of Financial Studies
2953:Review of Financial Studies
2936:Review of Financial Studies
2919:Review of Financial Studies
2893:Decline in Analyst Coverage
2012:Asquith, Pathak, and Ritter
1601:Unexpected R&D increase
1414:Earnings forecast revisions
1193:Change in capex (two years)
1176:IPO and no R&D spending
913:Financial Analysts' Journal
377:Merton's Intertemporal CAPM
350:efficient market hypothesis
59:efficient market hypothesis
40:capital asset pricing model
10:
4782:
4216:Alternative Trading System
3945:Financial Market Anomalies
2777:Gompers, Ishii and Metrick
2638:Convertible debt indicator
2573:Datar, Naik, and Radcliffe
1247:Bali, Cakici, and Whitelaw
1196:Anderson and Garcia-Feijoo
1108:Enterprise component of BM
1023:Change in equity to assets
649:Percent Operating Accruals
635:Foster, Olsen and Shevliln
425:
402:
359:
84:Explanations for anomalies
4491:
4366:
4265:
4185:
4093:
4060:
4021:
3987:
3899:Fama-Miller Working Paper
2675:Ikenberry, Rankine, Stice
1621:Eisfeldt and Papanikolaou
1244:Maximum return over month
879:British Accounting Review
4280:Arbitrage pricing theory
3097:Turn of the Month Effect
2726:Belo, Lin, and Bazdresch
2706:Momentum and LT Reversal
2604:Efficient frontier index
2281:net income / book equity
1941:Initial Public Offerings
1737:Change in recommendation
1468:Cooper, Gulen and Schill
1261:Consensus Recommendation
1125:Leverage component of BM
768:Change in Asset Turnover
700:Taxable income to income
601:Elgers, Lo, and Pfeiffer
533:Ikenberry and Lakonishok
4559:Initial public offering
4420:Modern portfolio theory
4315:Dividend discount model
4198:List of stock exchanges
3755:Journal of Econometrics
3364:Cochrane, John (2017).
3205:. WIDER Working Paper.
3015:Lyandres, Sun and Zhang
3012:Composite debt issuance
2315:Volume to market equity
1924:Share issuance (1 year)
1584:EPS Forecast Dispersion
1567:Credit Rating Downgrade
1499:Share issuance (5 year)
1448:R&D over market cap
1312:Earnings-to-Price Ratio
819:Change in Profit Margin
333:{\displaystyle R_{M,t}}
280:{\displaystyle R_{f,t}}
4447:Random walk hypothesis
3846:The Journal of Finance
3612:Carhart, Mark (1997).
3564:The Journal of Finance
3406:The Journal of Finance
3255:The Journal of Finance
3127:Low-volatility anomaly
1771:Long-term EPS forecast
1635:Pension Funding Status
1618:Organizational Capital
972:Net external financing
666:Percent Total Accruals
334:
301:
300:{\displaystyle \beta }
281:
248:
219:
4585:Market capitalization
4394:Dollar cost averaging
3122:Neglected firm effect
2978:Kaplan Zingales index
2522:Spiess Affleck-Graves
2468:Intermediate Momentum
2451:Days with zero trades
1995:Amihud and Mendelsohn
862:The Accounting Review
845:The Accounting Review
828:The Accounting Review
811:The Accounting Review
794:The Accounting Review
777:The Accounting Review
760:The Accounting Review
743:The Accounting Review
726:The Accounting Review
709:The Accounting Review
692:The Accounting Review
675:The Accounting Review
658:The Accounting Review
641:The Accounting Review
624:The Accounting Review
607:The Accounting Review
590:The Accounting Review
573:The Accounting Review
567:Abarbanell and Bushee
556:The Accounting Review
550:Abarbanell and Bushee
522:The Accounting Review
516:Abarbanell and Bushee
505:The Accounting Review
499:Abarbanell and Bushee
471:neglected firm effect
469:It is related to the
362:Risk factor (finance)
335:
302:
282:
249:
247:{\displaystyle R_{t}}
220:
4405:Fundamental analysis
4389:Contrarian investing
4352:Security market line
4257:Liquidity aggregator
4234:Direct market access
4145:Quantitative analyst
3907:10.2139/ssrn.2553889
3029:Real estate holdings
2624:Titman, Wei, and Xie
2590:Loughran and Wellman
2553:Amihud's illiquidity
2403:Jegadeesh and Livnat
2094:Breadth of ownership
1927:Pontiff and Woodgate
1723:Jegadeesh and Titman
1706:Jegadeesh and Titman
989:Net Operating Assets
955:Net equity financing
870:Earnings Consistency
451:False Discovery Rate
311:
291:
258:
231:
111:
103:security market line
4761:Financial economics
4650:Reverse stock split
4595:Market manipulation
4519:Dual-listed company
4379:Algorithmic trading
4309:Capital market line
4111:Inter-dealer broker
3873:"Small Firm Effect"
3066:Smirlock and Starks
2587:Enterprise Multiple
2250:Grinblatt Moskowitz
2145:Conglomerate return
2111:Turnover volatility
2077:Past trading volume
1958:Firm Age - Momentum
1856:Dividend Initiation
1822:Momentum and Volume
1805:Revenue Growth Rank
1788:Cash flow to market
1754:Short term reversal
1703:Momentum (12 month)
1638:Franzoni and Martin
1536:De Bondt and Thaler
1519:De Bondt and Thaler
1431:Advertising Expense
1380:Failure probability
1227:Junk Stock Momentum
539:Journal of Business
405:Limits to arbitrage
399:Limits to arbitrage
70:limits to arbitrage
4766:Behavioral finance
4690:Stock market index
4529:Efficient frontier
4468:Technical analysis
4426:Momentum investing
4248:(private exchange)
4138:Proprietary trader
4080:Shares outstanding
4070:Authorised capital
3830:10.1093/rfs/hhv059
3794:10.1111/joes.12335
3728:Journal of Finance
3618:Journal of Finance
3512:Journal of Finance
3475:Journal of Finance
3383:10.1093/rof/rfx010
3350:10.1093/rfs/hhv059
3302:Journal of Finance
3268:10.1111/jofi.12365
3203:NBER Working Paper
3100:Agrawal and Tandon
2876:Operating Leverage
2766:Management Science
2689:Sustainable Growth
2349:Return Seasonality
2298:Cash-flow variance
1967:Journal of Finance
1950:Journal of Finance
1933:Journal of Finance
1916:Journal of Finance
1899:Journal of Finance
1882:Journal of Finance
1865:Journal of Finance
1848:Journal of Finance
1831:Journal of Finance
1814:Journal of Finance
1797:Journal of Finance
1780:Journal of Finance
1763:Journal of Finance
1746:Journal of Finance
1729:Journal of Finance
1720:Momentum (6 month)
1712:Journal of Finance
1695:Journal of Finance
1678:Journal of Finance
1661:Journal of Finance
1644:Journal of Finance
1627:Journal of Finance
1610:Journal of Finance
1593:Journal of Finance
1576:Journal of Finance
1559:Journal of Finance
1542:Journal of Finance
1525:Journal of Finance
1508:Journal of Finance
1491:Journal of Finance
1474:Journal of Finance
1457:Journal of Finance
1440:Journal of Finance
1423:Journal of Finance
1406:Journal of Finance
1389:Journal of Finance
1372:Journal of Finance
1355:Journal of Finance
1338:Journal of Finance
1321:Journal of Finance
1304:Journal of Finance
1287:Journal of Finance
1270:Journal of Finance
1253:Journal of Finance
1236:Journal of Finance
1219:Journal of Finance
1210:Idiosyncratic risk
1202:Journal of Finance
1009:Holthausen Larcker
938:Net debt financing
683:Real dirty surplus
330:
297:
277:
244:
215:
4751:Financial markets
4738:
4737:
4539:Flight-to-quality
4291:Buffett indicator
3981:Financial markets
3370:Review of Finance
3224:978-92-9256-444-5
3113:
3112:
2947:Hou and Moskowitz
2902:Review of Finance
2885:Review of Finance
2808:Excluded Expenses
2740:CAPM beta squared
2723:Employment growth
2692:Lockwood Prombutr
2383:Share repurchases
2267:Hartzmark Salomon
2247:Industry Momentum
1873:Dividend Omission
1533:Long-run reversal
1516:Momentum-Reversal
1502:Daniel and Titman
1485:Daniel and Titman
1482:Intangible return
1278:Down forecast EPS
1179:Gou, Lev, and Shi
1142:Net debt to price
921:earnings / assets
890:Prakash and Sinha
853:Abnormal Accruals
717:Piotroski F-score
632:Earnings Surprise
598:Earnings Forecast
464:small firm effect
16:(Redirected from
4773:
4655:Share repurchase
4367:Trading theories
4252:Crossing network
4210:Over-the-counter
4047:Restricted stock
4003:Secondary market
3974:
3967:
3960:
3951:
3950:
3927:
3926:
3896:
3887:
3881:
3880:
3868:
3862:
3861:
3841:
3835:
3834:
3832:
3812:
3806:
3805:
3788:(5): 1463–1492.
3777:
3771:
3770:
3750:
3744:
3743:
3723:
3717:
3716:
3696:
3690:
3689:
3669:
3663:
3662:
3642:
3636:
3635:
3633:
3609:
3603:
3602:
3594:
3588:
3587:
3559:
3553:
3552:
3542:
3522:
3516:
3515:
3507:
3501:
3500:
3490:
3481:(5): 1541–1578.
3472:
3463:
3457:
3456:
3436:
3430:
3429:
3403:
3394:
3388:
3387:
3385:
3361:
3355:
3354:
3352:
3332:
3326:
3325:
3297:
3291:
3290:
3282:
3273:
3272:
3270:
3246:
3229:
3228:
3200:
3191:
3182:
3181:
3173:
3167:
3166:
3152:
3143:
3058:Cross-Sectional
3041:Cross-Sectional
3024:Cross-Sectional
3007:Cross-Sectional
2990:Cross-Sectional
2973:Cross-Sectional
2956:Cross-Sectional
2939:Cross-Sectional
2922:Cross-Sectional
2905:Cross-Sectional
2888:Cross-Sectional
2871:Cross-Sectional
2862:Thomas and Zhang
2859:Inventory Growth
2854:Cross-Sectional
2837:Cross-Sectional
2825:Mohanram G-score
2820:Cross-Sectional
2803:Cross-Sectional
2794:Barth and Hutton
2786:Cross-Sectional
2774:Governance Index
2769:Cross-Sectional
2752:Cross-Sectional
2743:Fama and MacBeth
2735:Cross-Sectional
2718:Cross-Sectional
2701:Cross-Sectional
2684:Cross-Sectional
2667:Cross-Sectional
2655:Volatility smirk
2650:Cross-Sectional
2633:Cross-Sectional
2616:Cross-Sectional
2599:Cross-Sectional
2582:Cross-Sectional
2565:Cross-Sectional
2548:Cross-Sectional
2531:Cross-Sectional
2514:Cross-Sectional
2497:Cross-Sectional
2480:Cross-Sectional
2463:Cross-Sectional
2446:Cross-Sectional
2429:Cross-Sectional
2412:Cross-Sectional
2400:Revenue Surprise
2395:Cross-Sectional
2378:Cross-Sectional
2361:Cross-Sectional
2352:Heston and Sadka
2344:Cross-Sectional
2335:Haugen and Baker
2327:Cross-Sectional
2318:Haugen and Baker
2310:Cross-Sectional
2301:Haugen and Baker
2293:Cross-Sectional
2284:Haugen and Baker
2276:Cross-Sectional
2259:Cross-Sectional
2242:Cross-Sectional
2225:Cross-Sectional
2208:Cross-Sectional
2191:Cross-Sectional
2174:Cross-Sectional
2157:Cross-Sectional
2140:Cross-Sectional
2123:Cross-Sectional
2106:Cross-Sectional
2089:Cross-Sectional
2072:Cross-Sectional
2055:Cross-Sectional
2038:Cross-Sectional
2021:Cross-Sectional
2004:Cross-Sectional
1987:Cross-Sectional
1970:Cross-Sectional
1953:Cross-Sectional
1936:Cross-Sectional
1919:Cross-Sectional
1902:Cross-Sectional
1885:Cross-Sectional
1868:Cross-Sectional
1851:Cross-Sectional
1834:Cross-Sectional
1817:Cross-Sectional
1800:Cross-Sectional
1783:Cross-Sectional
1766:Cross-Sectional
1749:Cross-Sectional
1740:Jegadeesh et al.
1732:Cross-Sectional
1715:Cross-Sectional
1698:Cross-Sectional
1689:Hou and Robinson
1681:Cross-Sectional
1664:Cross-Sectional
1655:George and Hwang
1647:Cross-Sectional
1630:Cross-Sectional
1613:Cross-Sectional
1596:Cross-Sectional
1579:Cross-Sectional
1570:Dichev Piotroski
1562:Cross-Sectional
1553:Dharan Ikenberry
1545:Cross-Sectional
1528:Cross-Sectional
1511:Cross-Sectional
1494:Cross-Sectional
1477:Cross-Sectional
1460:Cross-Sectional
1443:Cross-Sectional
1426:Cross-Sectional
1409:Cross-Sectional
1392:Cross-Sectional
1375:Cross-Sectional
1358:Cross-Sectional
1346:Net Payout Yield
1341:Cross-Sectional
1324:Cross-Sectional
1307:Cross-Sectional
1290:Cross-Sectional
1273:Cross-Sectional
1256:Cross-Sectional
1239:Cross-Sectional
1222:Cross-Sectional
1205:Cross-Sectional
1188:Cross-Sectional
1171:Cross-Sectional
1162:Thomas and Zhang
1154:Cross-Sectional
1137:Cross-Sectional
1120:Cross-Sectional
1103:Cross-Sectional
1086:Cross-Sectional
1069:Cross-Sectional
1052:Cross-Sectional
1035:Cross-Sectional
1018:Cross-Sectional
1001:Cross-Sectional
984:Cross-Sectional
967:Cross-Sectional
950:Cross-Sectional
933:Cross-Sectional
916:Cross-Sectional
899:Cross-Sectional
887:Deferred Revenue
882:Cross-Sectional
865:Cross-Sectional
848:Cross-Sectional
831:Cross-Sectional
814:Cross-Sectional
797:Cross-Sectional
780:Cross-Sectional
763:Cross-Sectional
746:Cross-Sectional
729:Cross-Sectional
712:Cross-Sectional
695:Cross-Sectional
678:Cross-Sectional
661:Cross-Sectional
644:Cross-Sectional
627:Cross-Sectional
610:Cross-Sectional
593:Cross-Sectional
576:Cross-Sectional
559:Cross-Sectional
542:Cross-Sectional
525:Cross-Sectional
508:Cross-Sectional
476:
475:
389:consumption CAPM
385:marginal utility
339:
337:
336:
331:
329:
328:
306:
304:
303:
298:
286:
284:
283:
278:
276:
275:
253:
251:
250:
245:
243:
242:
224:
222:
221:
216:
207:
206:
188:
187:
148:
147:
129:
128:
36:financial market
21:
4781:
4780:
4776:
4775:
4774:
4772:
4771:
4770:
4741:
4740:
4739:
4734:
4725:Voting interest
4635:Public offering
4570:Mandatory offer
4544:Government bond
4524:DuPont analysis
4487:
4483:Value investing
4478:Value averaging
4473:Trend following
4458:Style investing
4453:Sector rotation
4368:
4362:
4341:Net asset value
4267:Stock valuation
4261:
4181:
4089:
4056:
4042:Preferred stock
4017:
3983:
3978:
3936:
3931:
3930:
3894:
3888:
3884:
3869:
3865:
3842:
3838:
3813:
3809:
3778:
3774:
3751:
3747:
3724:
3720:
3697:
3693:
3670:
3666:
3643:
3639:
3610:
3606:
3595:
3591:
3560:
3556:
3540:10.1.1.139.5892
3523:
3519:
3508:
3504:
3470:
3464:
3460:
3437:
3433:
3401:
3395:
3391:
3366:"Macro-Finance"
3362:
3358:
3333:
3329:
3314:10.2307/2325486
3298:
3294:
3283:
3276:
3247:
3232:
3225:
3198:
3192:
3185:
3174:
3170:
3150:
3144:
3140:
3135:
3118:
2964:Kelly and Jiang
2658:Xing Zhang Zhao
2369:Hong Kacperczyk
2233:Fama and French
2128:Volume Variance
2097:Chen Hong Stein
2060:Market leverage
1984:The Chicago MBA
1876:Michaely et al.
1859:Michaely et al.
1842:Loughran Ritter
1825:Lee Swaminathan
1604:Eberhart et al.
1550:Exchange Switch
1332:Blume and Husic
1159:Change in Taxes
686:Landsman et al.
491:Broad Category
460:
430:
424:
407:
401:
364:
358:
356:Unmeasured risk
318:
314:
312:
309:
308:
292:
289:
288:
265:
261:
259:
256:
255:
238:
234:
232:
229:
228:
196:
192:
177:
173:
137:
133:
124:
120:
112:
109:
108:
91:
86:
28:
23:
22:
15:
12:
11:
5:
4779:
4769:
4768:
4763:
4758:
4753:
4736:
4735:
4733:
4732:
4727:
4722:
4717:
4712:
4707:
4702:
4697:
4692:
4687:
4685:Stock exchange
4682:
4680:Stock dilution
4677:
4672:
4667:
4662:
4657:
4652:
4647:
4642:
4637:
4632:
4627:
4622:
4617:
4612:
4607:
4605:Mean reversion
4602:
4597:
4592:
4587:
4582:
4580:Market anomaly
4577:
4572:
4567:
4562:
4556:
4551:
4546:
4541:
4536:
4531:
4526:
4521:
4516:
4511:
4506:
4501:
4499:Bid–ask spread
4495:
4493:
4489:
4488:
4486:
4485:
4480:
4475:
4470:
4465:
4460:
4455:
4450:
4444:
4438:
4433:
4428:
4423:
4417:
4412:
4407:
4402:
4396:
4391:
4386:
4381:
4375:
4373:
4364:
4363:
4361:
4360:
4355:
4349:
4344:
4338:
4333:
4328:
4326:Earnings yield
4323:
4321:Dividend yield
4318:
4312:
4306:
4300:
4294:
4288:
4283:
4277:
4271:
4269:
4263:
4262:
4260:
4259:
4254:
4249:
4243:
4237:
4231:
4225:
4219:
4213:
4212:(off-exchange)
4207:
4206:
4205:
4200:
4189:
4187:
4186:Trading venues
4183:
4182:
4180:
4179:
4174:
4173:
4172:
4162:
4157:
4152:
4147:
4142:
4141:
4140:
4135:
4125:
4120:
4115:
4114:
4113:
4108:
4097:
4095:
4091:
4090:
4088:
4087:
4085:Treasury stock
4082:
4077:
4072:
4066:
4064:
4058:
4057:
4055:
4054:
4052:Tracking stock
4049:
4044:
4039:
4034:
4028:
4026:
4019:
4018:
4016:
4015:
4010:
4005:
4000:
3998:Primary market
3994:
3992:
3985:
3984:
3977:
3976:
3969:
3962:
3954:
3948:
3947:
3942:
3935:
3934:External links
3932:
3929:
3928:
3882:
3863:
3852:(4): 879–888.
3836:
3807:
3772:
3745:
3734:(2): 469–482.
3718:
3691:
3664:
3637:
3604:
3589:
3554:
3517:
3502:
3458:
3431:
3412:(3): 661–676.
3389:
3376:(3): 945–985.
3356:
3327:
3308:(2): 383–417.
3292:
3274:
3230:
3223:
3183:
3168:
3137:
3136:
3134:
3131:
3130:
3129:
3124:
3117:
3114:
3111:
3110:
3107:
3104:
3101:
3098:
3094:
3093:
3090:
3087:
3084:
3081:
3080:January Effect
3077:
3076:
3073:
3070:
3067:
3064:
3063:Weekend Effect
3060:
3059:
3056:
3053:
3050:
3049:Bartov and Kim
3047:
3043:
3042:
3039:
3036:
3033:
3030:
3026:
3025:
3022:
3019:
3016:
3013:
3009:
3008:
3005:
3002:
2999:
2996:
2992:
2991:
2988:
2985:
2982:
2979:
2975:
2974:
2971:
2968:
2965:
2962:
2961:Tail risk beta
2958:
2957:
2954:
2951:
2948:
2945:
2941:
2940:
2937:
2934:
2931:
2928:
2924:
2923:
2920:
2917:
2914:
2911:
2907:
2906:
2903:
2900:
2897:
2894:
2890:
2889:
2886:
2883:
2880:
2877:
2873:
2872:
2869:
2866:
2863:
2860:
2856:
2855:
2852:
2849:
2846:
2843:
2839:
2838:
2835:
2832:
2829:
2826:
2822:
2821:
2818:
2815:
2812:
2809:
2805:
2804:
2801:
2798:
2795:
2792:
2788:
2787:
2784:
2781:
2778:
2775:
2771:
2770:
2767:
2764:
2761:
2758:
2754:
2753:
2750:
2747:
2744:
2741:
2737:
2736:
2733:
2730:
2727:
2724:
2720:
2719:
2716:
2713:
2710:
2707:
2703:
2702:
2699:
2696:
2693:
2690:
2686:
2685:
2682:
2679:
2676:
2673:
2669:
2668:
2665:
2662:
2659:
2656:
2652:
2651:
2648:
2645:
2642:
2639:
2635:
2634:
2631:
2628:
2625:
2622:
2618:
2617:
2614:
2611:
2608:
2607:Nguyen Swanson
2605:
2601:
2600:
2597:
2594:
2591:
2588:
2584:
2583:
2580:
2577:
2574:
2571:
2567:
2566:
2563:
2560:
2557:
2554:
2550:
2549:
2546:
2543:
2540:
2537:
2536:Slope of smile
2533:
2532:
2529:
2526:
2523:
2520:
2516:
2515:
2512:
2509:
2506:
2503:
2502:Cash to assets
2499:
2498:
2495:
2492:
2489:
2486:
2482:
2481:
2478:
2475:
2472:
2469:
2465:
2464:
2461:
2458:
2455:
2452:
2448:
2447:
2444:
2441:
2438:
2435:
2431:
2430:
2427:
2424:
2421:
2418:
2414:
2413:
2410:
2407:
2404:
2401:
2397:
2396:
2393:
2390:
2387:
2384:
2380:
2379:
2376:
2373:
2370:
2367:
2363:
2362:
2359:
2356:
2353:
2350:
2346:
2345:
2342:
2339:
2336:
2333:
2329:
2328:
2325:
2322:
2319:
2316:
2312:
2311:
2308:
2305:
2302:
2299:
2295:
2294:
2291:
2288:
2285:
2282:
2278:
2277:
2274:
2271:
2268:
2265:
2261:
2260:
2257:
2254:
2251:
2248:
2244:
2243:
2240:
2237:
2234:
2231:
2227:
2226:
2223:
2220:
2217:
2214:
2213:Altman Z-Score
2210:
2209:
2206:
2203:
2200:
2197:
2193:
2192:
2189:
2186:
2183:
2180:
2179:Short Interest
2176:
2175:
2172:
2169:
2166:
2165:Cusatis et al.
2163:
2159:
2158:
2155:
2152:
2149:
2146:
2142:
2141:
2138:
2135:
2132:
2129:
2125:
2124:
2121:
2118:
2115:
2112:
2108:
2107:
2104:
2101:
2098:
2095:
2091:
2090:
2087:
2084:
2081:
2078:
2074:
2073:
2070:
2067:
2064:
2061:
2057:
2056:
2053:
2050:
2047:
2044:
2040:
2039:
2036:
2033:
2030:
2027:
2023:
2022:
2019:
2016:
2013:
2010:
2006:
2005:
2002:
1999:
1996:
1993:
1992:Bid-ask spread
1989:
1988:
1985:
1982:
1979:
1976:
1975:Book to market
1972:
1971:
1968:
1965:
1962:
1959:
1955:
1954:
1951:
1948:
1945:
1942:
1938:
1937:
1934:
1931:
1928:
1925:
1921:
1920:
1917:
1914:
1911:
1910:Naranjo et al.
1908:
1907:Dividend Yield
1904:
1903:
1900:
1897:
1894:
1891:
1887:
1886:
1883:
1880:
1877:
1874:
1870:
1869:
1866:
1863:
1860:
1857:
1853:
1852:
1849:
1846:
1843:
1840:
1836:
1835:
1832:
1829:
1826:
1823:
1819:
1818:
1815:
1812:
1809:
1806:
1802:
1801:
1798:
1795:
1792:
1789:
1785:
1784:
1781:
1778:
1775:
1772:
1768:
1767:
1764:
1761:
1758:
1755:
1751:
1750:
1747:
1744:
1741:
1738:
1734:
1733:
1730:
1727:
1724:
1721:
1717:
1716:
1713:
1710:
1707:
1704:
1700:
1699:
1696:
1693:
1690:
1687:
1683:
1682:
1679:
1676:
1673:
1670:
1666:
1665:
1662:
1659:
1656:
1653:
1649:
1648:
1645:
1642:
1639:
1636:
1632:
1631:
1628:
1625:
1622:
1619:
1615:
1614:
1611:
1608:
1605:
1602:
1598:
1597:
1594:
1591:
1588:
1587:Diether et al.
1585:
1581:
1580:
1577:
1574:
1571:
1568:
1564:
1563:
1560:
1557:
1554:
1551:
1547:
1546:
1543:
1540:
1537:
1534:
1530:
1529:
1526:
1523:
1520:
1517:
1513:
1512:
1509:
1506:
1503:
1500:
1496:
1495:
1492:
1489:
1486:
1483:
1479:
1478:
1475:
1472:
1469:
1466:
1462:
1461:
1458:
1455:
1452:
1449:
1445:
1444:
1441:
1438:
1435:
1432:
1428:
1427:
1424:
1421:
1418:
1415:
1411:
1410:
1407:
1404:
1401:
1398:
1394:
1393:
1390:
1387:
1384:
1381:
1377:
1376:
1373:
1370:
1367:
1364:
1360:
1359:
1356:
1353:
1350:
1347:
1343:
1342:
1339:
1336:
1333:
1330:
1326:
1325:
1322:
1319:
1316:
1313:
1309:
1308:
1305:
1302:
1299:
1296:
1292:
1291:
1288:
1285:
1282:
1279:
1275:
1274:
1271:
1268:
1265:
1262:
1258:
1257:
1254:
1251:
1248:
1245:
1241:
1240:
1237:
1234:
1231:
1228:
1224:
1223:
1220:
1217:
1214:
1211:
1207:
1206:
1203:
1200:
1197:
1194:
1190:
1189:
1186:
1183:
1180:
1177:
1173:
1172:
1169:
1166:
1163:
1160:
1156:
1155:
1152:
1149:
1146:
1143:
1139:
1138:
1135:
1132:
1129:
1126:
1122:
1121:
1118:
1115:
1112:
1109:
1105:
1104:
1101:
1098:
1095:
1092:
1088:
1087:
1084:
1081:
1078:
1075:
1071:
1070:
1067:
1064:
1061:
1058:
1054:
1053:
1050:
1047:
1044:
1041:
1037:
1036:
1033:
1030:
1027:
1024:
1020:
1019:
1016:
1013:
1010:
1007:
1003:
1002:
999:
996:
993:
990:
986:
985:
982:
979:
976:
973:
969:
968:
965:
962:
959:
956:
952:
951:
948:
945:
942:
939:
935:
934:
931:
928:
925:
922:
918:
917:
914:
911:
908:
905:
904:Sales-to-price
901:
900:
897:
894:
891:
888:
884:
883:
880:
877:
874:
871:
867:
866:
863:
860:
857:
854:
850:
849:
846:
843:
840:
837:
833:
832:
829:
826:
823:
820:
816:
815:
812:
809:
806:
803:
799:
798:
795:
792:
789:
786:
782:
781:
778:
775:
772:
769:
765:
764:
761:
758:
755:
752:
751:Asset Turnover
748:
747:
744:
741:
738:
735:
731:
730:
727:
724:
721:
718:
714:
713:
710:
707:
704:
703:Lev and Nissim
701:
697:
696:
693:
690:
687:
684:
680:
679:
676:
673:
670:
667:
663:
662:
659:
656:
653:
650:
646:
645:
642:
639:
636:
633:
629:
628:
625:
622:
619:
616:
612:
611:
608:
605:
602:
599:
595:
594:
591:
588:
585:
582:
578:
577:
574:
571:
568:
565:
561:
560:
557:
554:
551:
548:
544:
543:
540:
537:
534:
531:
527:
526:
523:
520:
517:
514:
510:
509:
506:
503:
500:
497:
493:
492:
489:
486:
483:
480:
459:
456:
428:Selection bias
426:Main article:
423:
422:Selection bias
420:
403:Main article:
400:
397:
360:Main article:
357:
354:
327:
324:
321:
317:
296:
274:
271:
268:
264:
241:
237:
213:
210:
205:
202:
199:
195:
191:
186:
183:
180:
176:
172:
169:
166:
163:
160:
157:
154:
151:
146:
143:
140:
136:
132:
127:
123:
119:
116:
90:
87:
85:
82:
74:selection bias
32:market anomaly
26:
9:
6:
4:
3:
2:
4778:
4767:
4764:
4762:
4759:
4757:
4754:
4752:
4749:
4748:
4746:
4731:
4728:
4726:
4723:
4721:
4718:
4716:
4713:
4711:
4708:
4706:
4703:
4701:
4698:
4696:
4693:
4691:
4688:
4686:
4683:
4681:
4678:
4676:
4673:
4671:
4668:
4666:
4663:
4661:
4660:Short selling
4658:
4656:
4653:
4651:
4648:
4646:
4643:
4641:
4638:
4636:
4633:
4631:
4628:
4626:
4623:
4621:
4618:
4616:
4613:
4611:
4608:
4606:
4603:
4601:
4598:
4596:
4593:
4591:
4588:
4586:
4583:
4581:
4578:
4576:
4573:
4571:
4568:
4566:
4563:
4560:
4557:
4555:
4552:
4550:
4549:Greenspan put
4547:
4545:
4542:
4540:
4537:
4535:
4534:Financial law
4532:
4530:
4527:
4525:
4522:
4520:
4517:
4515:
4512:
4510:
4509:Cross listing
4507:
4505:
4502:
4500:
4497:
4496:
4494:
4492:Related terms
4490:
4484:
4481:
4479:
4476:
4474:
4471:
4469:
4466:
4464:
4463:Swing trading
4461:
4459:
4456:
4454:
4451:
4448:
4445:
4442:
4439:
4437:
4434:
4432:
4431:Mosaic theory
4429:
4427:
4424:
4421:
4418:
4416:
4415:Market timing
4413:
4411:
4408:
4406:
4403:
4400:
4397:
4395:
4392:
4390:
4387:
4385:
4382:
4380:
4377:
4376:
4374:
4372:
4365:
4359:
4356:
4353:
4350:
4348:
4345:
4342:
4339:
4337:
4334:
4332:
4329:
4327:
4324:
4322:
4319:
4316:
4313:
4310:
4307:
4304:
4301:
4298:
4295:
4292:
4289:
4287:
4284:
4281:
4278:
4276:
4273:
4272:
4270:
4268:
4264:
4258:
4255:
4253:
4250:
4247:
4244:
4241:
4238:
4235:
4232:
4229:
4226:
4223:
4220:
4217:
4214:
4211:
4208:
4204:
4203:Trading hours
4201:
4199:
4196:
4195:
4194:
4191:
4190:
4188:
4184:
4178:
4175:
4171:
4168:
4167:
4166:
4163:
4161:
4158:
4156:
4153:
4151:
4148:
4146:
4143:
4139:
4136:
4134:
4131:
4130:
4129:
4126:
4124:
4121:
4119:
4118:Broker-dealer
4116:
4112:
4109:
4107:
4104:
4103:
4102:
4099:
4098:
4096:
4092:
4086:
4083:
4081:
4078:
4076:
4075:Issued shares
4073:
4071:
4068:
4067:
4065:
4063:
4062:Share capital
4059:
4053:
4050:
4048:
4045:
4043:
4040:
4038:
4035:
4033:
4030:
4029:
4027:
4025:
4020:
4014:
4013:Fourth market
4011:
4009:
4006:
4004:
4001:
3999:
3996:
3995:
3993:
3991:
3986:
3982:
3975:
3970:
3968:
3963:
3961:
3956:
3955:
3952:
3946:
3943:
3941:
3938:
3937:
3924:
3920:
3916:
3912:
3908:
3904:
3900:
3893:
3886:
3878:
3874:
3867:
3859:
3855:
3851:
3847:
3840:
3831:
3826:
3822:
3818:
3811:
3803:
3799:
3795:
3791:
3787:
3783:
3776:
3768:
3764:
3760:
3756:
3749:
3741:
3737:
3733:
3729:
3722:
3714:
3710:
3706:
3702:
3695:
3687:
3683:
3679:
3675:
3668:
3660:
3656:
3652:
3648:
3641:
3632:
3627:
3623:
3619:
3615:
3608:
3600:
3593:
3585:
3581:
3577:
3573:
3569:
3565:
3558:
3550:
3546:
3541:
3536:
3532:
3528:
3521:
3513:
3506:
3498:
3494:
3489:
3484:
3480:
3476:
3469:
3462:
3454:
3450:
3446:
3442:
3435:
3427:
3423:
3419:
3415:
3411:
3407:
3400:
3393:
3384:
3379:
3375:
3371:
3367:
3360:
3351:
3346:
3342:
3338:
3331:
3323:
3319:
3315:
3311:
3307:
3303:
3296:
3288:
3281:
3279:
3269:
3264:
3260:
3256:
3252:
3245:
3243:
3241:
3239:
3237:
3235:
3226:
3220:
3216:
3212:
3208:
3204:
3197:
3190:
3188:
3179:
3172:
3164:
3160:
3156:
3149:
3142:
3138:
3128:
3125:
3123:
3120:
3119:
3108:
3105:
3102:
3099:
3096:
3095:
3091:
3088:
3085:
3082:
3079:
3078:
3074:
3071:
3068:
3065:
3062:
3061:
3057:
3054:
3051:
3048:
3045:
3044:
3040:
3037:
3034:
3031:
3028:
3027:
3023:
3020:
3017:
3014:
3011:
3010:
3006:
3003:
3000:
2997:
2994:
2993:
2989:
2986:
2983:
2980:
2977:
2976:
2972:
2969:
2966:
2963:
2960:
2959:
2955:
2952:
2949:
2946:
2943:
2942:
2938:
2935:
2932:
2929:
2926:
2925:
2921:
2918:
2915:
2912:
2909:
2908:
2904:
2901:
2898:
2895:
2892:
2891:
2887:
2884:
2881:
2878:
2875:
2874:
2870:
2867:
2864:
2861:
2858:
2857:
2853:
2850:
2847:
2844:
2842:Order backlog
2841:
2840:
2836:
2833:
2830:
2827:
2824:
2823:
2819:
2816:
2813:
2810:
2807:
2806:
2802:
2799:
2796:
2793:
2790:
2789:
2785:
2782:
2779:
2776:
2773:
2772:
2768:
2765:
2762:
2759:
2756:
2755:
2751:
2748:
2745:
2742:
2739:
2738:
2734:
2731:
2728:
2725:
2722:
2721:
2717:
2714:
2711:
2708:
2705:
2704:
2700:
2697:
2694:
2691:
2688:
2687:
2683:
2680:
2677:
2674:
2671:
2670:
2666:
2663:
2660:
2657:
2654:
2653:
2649:
2646:
2643:
2640:
2637:
2636:
2632:
2629:
2626:
2623:
2620:
2619:
2615:
2612:
2609:
2606:
2603:
2602:
2598:
2595:
2592:
2589:
2586:
2585:
2581:
2578:
2575:
2572:
2569:
2568:
2564:
2561:
2558:
2555:
2552:
2551:
2547:
2544:
2541:
2538:
2535:
2534:
2530:
2527:
2524:
2521:
2519:Debt Issuance
2518:
2517:
2513:
2510:
2507:
2504:
2501:
2500:
2496:
2493:
2490:
2487:
2484:
2483:
2479:
2476:
2473:
2470:
2467:
2466:
2462:
2459:
2456:
2453:
2450:
2449:
2445:
2442:
2439:
2436:
2433:
2432:
2428:
2425:
2422:
2419:
2416:
2415:
2411:
2408:
2405:
2402:
2399:
2398:
2394:
2391:
2388:
2385:
2382:
2381:
2377:
2374:
2371:
2368:
2365:
2364:
2360:
2357:
2354:
2351:
2348:
2347:
2343:
2340:
2337:
2334:
2331:
2330:
2326:
2323:
2320:
2317:
2314:
2313:
2309:
2306:
2303:
2300:
2297:
2296:
2292:
2289:
2286:
2283:
2280:
2279:
2275:
2272:
2269:
2266:
2263:
2262:
2258:
2255:
2252:
2249:
2246:
2245:
2241:
2238:
2235:
2232:
2229:
2228:
2224:
2221:
2218:
2215:
2212:
2211:
2207:
2204:
2201:
2198:
2195:
2194:
2190:
2187:
2184:
2181:
2178:
2177:
2173:
2170:
2167:
2164:
2161:
2160:
2156:
2153:
2150:
2148:Cohen and Lou
2147:
2144:
2143:
2139:
2136:
2133:
2130:
2127:
2126:
2122:
2119:
2116:
2113:
2110:
2109:
2105:
2102:
2099:
2096:
2093:
2092:
2088:
2085:
2082:
2079:
2076:
2075:
2071:
2068:
2065:
2062:
2059:
2058:
2054:
2051:
2048:
2045:
2042:
2041:
2037:
2034:
2031:
2028:
2025:
2024:
2020:
2017:
2014:
2011:
2008:
2007:
2003:
2000:
1997:
1994:
1991:
1990:
1986:
1983:
1980:
1977:
1974:
1973:
1969:
1966:
1963:
1960:
1957:
1956:
1952:
1949:
1946:
1943:
1940:
1939:
1935:
1932:
1929:
1926:
1923:
1922:
1918:
1915:
1912:
1909:
1906:
1905:
1901:
1898:
1895:
1892:
1889:
1888:
1884:
1881:
1878:
1875:
1872:
1871:
1867:
1864:
1861:
1858:
1855:
1854:
1850:
1847:
1844:
1841:
1838:
1837:
1833:
1830:
1827:
1824:
1821:
1820:
1816:
1813:
1810:
1807:
1804:
1803:
1799:
1796:
1793:
1790:
1787:
1786:
1782:
1779:
1776:
1773:
1770:
1769:
1765:
1762:
1759:
1756:
1753:
1752:
1748:
1745:
1742:
1739:
1736:
1735:
1731:
1728:
1725:
1722:
1719:
1718:
1714:
1711:
1708:
1705:
1702:
1701:
1697:
1694:
1691:
1688:
1685:
1684:
1680:
1677:
1674:
1671:
1668:
1667:
1663:
1660:
1657:
1654:
1651:
1650:
1646:
1643:
1640:
1637:
1634:
1633:
1629:
1626:
1623:
1620:
1617:
1616:
1612:
1609:
1606:
1603:
1600:
1599:
1595:
1592:
1589:
1586:
1583:
1582:
1578:
1575:
1572:
1569:
1566:
1565:
1561:
1558:
1555:
1552:
1549:
1548:
1544:
1541:
1538:
1535:
1532:
1531:
1527:
1524:
1521:
1518:
1515:
1514:
1510:
1507:
1504:
1501:
1498:
1497:
1493:
1490:
1487:
1484:
1481:
1480:
1476:
1473:
1470:
1467:
1464:
1463:
1459:
1456:
1453:
1450:
1447:
1446:
1442:
1439:
1436:
1433:
1430:
1429:
1425:
1422:
1419:
1416:
1413:
1412:
1408:
1405:
1402:
1399:
1396:
1395:
1391:
1388:
1385:
1382:
1379:
1378:
1374:
1371:
1368:
1365:
1362:
1361:
1357:
1354:
1351:
1348:
1345:
1344:
1340:
1337:
1334:
1331:
1328:
1327:
1323:
1320:
1317:
1314:
1311:
1310:
1306:
1303:
1300:
1297:
1294:
1293:
1289:
1286:
1283:
1280:
1277:
1276:
1272:
1269:
1266:
1263:
1260:
1259:
1255:
1252:
1249:
1246:
1243:
1242:
1238:
1235:
1232:
1229:
1226:
1225:
1221:
1218:
1215:
1212:
1209:
1208:
1204:
1201:
1198:
1195:
1192:
1191:
1187:
1184:
1181:
1178:
1175:
1174:
1170:
1167:
1164:
1161:
1158:
1157:
1153:
1150:
1147:
1144:
1141:
1140:
1136:
1133:
1130:
1127:
1124:
1123:
1119:
1116:
1113:
1110:
1107:
1106:
1102:
1099:
1096:
1093:
1090:
1089:
1085:
1082:
1079:
1076:
1073:
1072:
1068:
1065:
1062:
1059:
1056:
1055:
1051:
1048:
1045:
1042:
1039:
1038:
1034:
1031:
1028:
1025:
1022:
1021:
1017:
1014:
1011:
1008:
1005:
1004:
1000:
997:
994:
991:
988:
987:
983:
980:
977:
974:
971:
970:
966:
963:
960:
957:
954:
953:
949:
946:
943:
940:
937:
936:
932:
929:
926:
923:
920:
919:
915:
912:
909:
906:
903:
902:
898:
895:
892:
889:
886:
885:
881:
878:
875:
872:
869:
868:
864:
861:
858:
855:
852:
851:
847:
844:
841:
838:
836:Profit Margin
835:
834:
830:
827:
824:
821:
818:
817:
813:
810:
807:
804:
801:
800:
796:
793:
790:
787:
784:
783:
779:
776:
773:
770:
767:
766:
762:
759:
756:
753:
750:
749:
745:
742:
739:
736:
733:
732:
728:
725:
722:
719:
716:
715:
711:
708:
705:
702:
699:
698:
694:
691:
688:
685:
682:
681:
677:
674:
671:
668:
665:
664:
660:
657:
654:
651:
648:
647:
643:
640:
637:
634:
631:
630:
626:
623:
620:
617:
614:
613:
609:
606:
603:
600:
597:
596:
592:
589:
586:
583:
580:
579:
575:
572:
569:
566:
563:
562:
558:
555:
552:
549:
546:
545:
541:
538:
535:
532:
529:
528:
524:
521:
518:
515:
512:
511:
507:
504:
501:
498:
495:
494:
490:
487:
484:
481:
478:
477:
474:
472:
467:
465:
455:
452:
446:
442:
440:
436:
435:data dredging
429:
419:
415:
411:
406:
396:
392:
390:
386:
381:
378:
372:
368:
363:
353:
351:
345:
343:
325:
322:
319:
315:
294:
272:
269:
266:
262:
239:
235:
225:
203:
200:
197:
193:
189:
184:
181:
178:
174:
167:
161:
158:
155:
152:
144:
141:
138:
134:
130:
125:
121:
114:
106:
104:
100:
95:
81:
77:
75:
71:
67:
62:
60:
55:
53:
47:
45:
41:
37:
33:
19:
4710:Tender offer
4630:Public float
4600:Market trend
4590:Market depth
4579:
4410:Growth stock
4384:Buy and hold
4293:(Cap-to-GDP)
4133:Floor trader
4123:Market maker
4106:Floor broker
4094:Participants
4037:Golden share
4032:Common stock
4008:Third market
3898:
3885:
3877:Investopedia
3866:
3849:
3845:
3839:
3820:
3810:
3785:
3781:
3775:
3758:
3754:
3748:
3731:
3727:
3721:
3704:
3700:
3694:
3677:
3673:
3667:
3650:
3646:
3640:
3621:
3617:
3607:
3598:
3592:
3567:
3563:
3557:
3530:
3526:
3520:
3511:
3505:
3478:
3474:
3461:
3444:
3440:
3434:
3409:
3405:
3392:
3373:
3369:
3359:
3340:
3330:
3305:
3301:
3295:
3286:
3258:
3254:
3206:
3202:
3177:
3171:
3154:
3141:
3109:Time-Series
3092:Time-Series
3075:Time-Series
2811:Doyle et al.
2760:Loh Warachka
2709:Chan and Kot
2672:Stock Splits
2570:Share Volume
2332:Volume Trend
1672:Hahn and Lee
1652:52 week high
1465:Asset Growth
1363:Payout Yield
873:Alwathainani
530:Proxy Fights
468:
463:
461:
447:
443:
433:mining, and
431:
416:
412:
408:
393:
382:
373:
369:
365:
346:
226:
107:
96:
92:
78:
63:
50:
48:
31:
29:
4715:Uptick rule
4695:Stock split
4675:Squeeze-out
4670:Speculation
4615:Open outcry
4504:Block trade
4436:Pairs trade
3761:: 249–286.
3570:: 177–201.
2944:Price delay
1669:Tangibility
1295:Up Forecast
479:Description
72:, and (4)
4745:Categories
4720:Volatility
4700:Stock swap
4620:Order book
4371:strategies
4297:Book value
4165:Arbitrager
4160:Speculator
3680:: 79–107.
3133:References
2621:Investment
2437:Johnson So
2420:Johnson So
89:Mispricing
18:Mispricing
4336:Fed model
4331:EV/EBITDA
4246:Dark pool
4177:Regulator
4022:Types of
3988:Types of
3802:201355673
3707:: 57–79.
3624:: 57–82.
3535:CiteSeerX
2896:Scherbina
2879:Novy-Marx
2488:Novy-Marx
2471:Novy-Marx
2264:Dividends
1757:Jegedeesh
720:Piotroski
482:Author(s)
295:β
190:−
162:β
156:α
131:−
4665:Slippage
4625:Position
4610:Momentum
4514:Dividend
4193:Exchange
4150:Investor
3915:53063462
3653:: 1–22.
3533:: 3–56.
3497:55404532
3447:: 3–18.
3261:(1): 5.
3116:See also
2828:Mohanram
2162:Spinoffs
2063:Bhandari
1978:Stattman
1774:La Porta
734:Accruals
42:and the
4554:Haircut
4358:T-model
4170:Scalper
3990:markets
3923:2553889
3584:9452564
3426:2328190
3322:2325486
2505:Palazzo
2196:O Score
839:Soliman
822:Soliman
805:Soliman
788:Soliman
771:Soliman
754:Soliman
488:Journal
4575:Margin
4443:(PMPT)
4305:(CAPM)
4155:Hedger
4128:Trader
4101:Broker
4024:stocks
3921:
3913:
3800:
3582:
3537:
3495:
3424:
3320:
3221:
2556:Amihud
2216:Dichev
2199:Dichev
1944:Ritter
227:where
68:, (3)
4730:Yield
4705:Trade
4640:Rally
4561:(IPO)
4449:(RMH)
4422:(MPT)
4401:(EMH)
4354:(SML)
4343:(NAV)
4317:(DDM)
4311:(CML)
4282:(APT)
4275:Alpha
4242:(STP)
4236:(DMA)
4230:(ECN)
4224:(MTF)
4218:(ATS)
3911:S2CID
3895:(PDF)
3798:S2CID
3580:S2CID
3493:S2CID
3471:(PDF)
3422:JSTOR
3402:(PDF)
3318:JSTOR
3199:(PDF)
3151:(PDF)
3083:Keims
3032:Tuzel
2641:Valta
1961:Zhang
1893:Nagel
1329:Price
737:Sloan
34:in a
4565:Long
4369:and
4299:(BV)
4286:Beta
3919:SSRN
3219:ISBN
3207:2018
3103:1994
3086:1985
3069:1986
3052:2004
3035:2010
3018:2008
3001:2014
2984:2001
2967:2014
2950:2005
2933:2007
2916:2007
2899:2008
2882:2010
2865:2002
2848:2003
2831:2005
2814:2003
2797:2004
2780:2003
2763:2012
2746:1973
2729:2014
2712:2006
2695:2010
2678:1996
2661:2010
2644:2016
2627:2004
2610:2009
2593:2011
2576:1998
2559:2002
2542:2011
2525:1999
2508:2012
2491:2013
2474:2012
2457:2006
2440:2012
2423:2012
2406:2006
2389:1995
2372:2009
2355:2008
2338:1996
2321:1996
2304:1996
2287:1996
2270:2013
2253:1999
2236:2006
2219:1998
2202:1998
2185:2001
2168:1993
2151:2012
2134:2001
2117:2001
2100:2002
2083:1998
2066:1988
2049:1981
2046:Banz
2043:Size
2032:2016
2015:2005
1998:1986
1981:1980
1964:2004
1947:1991
1930:2008
1913:1998
1896:2005
1879:1995
1862:1995
1845:1995
1828:2000
1811:1994
1794:1994
1777:1996
1760:1989
1743:2004
1726:1993
1709:1993
1692:2006
1675:2009
1658:2004
1641:2006
1624:2013
1607:2004
1590:2002
1573:2001
1556:1995
1539:1985
1522:1985
1505:2006
1488:2006
1471:2008
1454:2001
1437:2001
1420:1996
1403:1996
1386:2008
1369:2007
1352:2007
1335:1972
1318:1977
1315:Basu
1301:2001
1284:2001
1267:2001
1250:2010
1233:2007
1216:2006
1199:2006
1182:2006
1165:2011
1148:2007
1131:2007
1114:2007
1097:2005
1080:2005
1063:2005
1046:2005
1029:2005
1012:1992
995:2004
978:2006
961:2006
944:2006
927:2010
910:1996
893:2012
876:2009
859:2001
842:2008
825:2008
808:2008
791:2008
774:2008
757:2008
740:1996
723:2000
706:2004
689:2011
672:2011
655:2011
638:1984
621:2003
604:2001
587:2004
570:1998
553:1998
536:1993
519:1998
502:1998
485:Year
462:The
342:CRSP
99:CAPM
66:risk
3903:doi
3854:doi
3825:doi
3790:doi
3763:doi
3759:105
3736:doi
3709:doi
3682:doi
3655:doi
3651:116
3626:doi
3572:doi
3545:doi
3483:doi
3449:doi
3414:doi
3378:doi
3345:doi
3310:doi
3263:doi
3211:doi
3159:doi
2998:Lou
2930:Hou
2913:Hou
2539:Yan
2454:Liu
856:Xie
4747::
3917:.
3909:.
3901:.
3897:.
3875:.
3850:36
3848:.
3823:.
3819:.
3796:.
3786:33
3784:.
3757:.
3732:25
3730:.
3705:12
3703:.
3678:38
3676:.
3649:.
3622:52
3620:.
3616:.
3578:.
3568:66
3566:.
3543:.
3531:33
3529:.
3491:.
3479:49
3477:.
3473:.
3443:.
3420:.
3410:43
3408:.
3404:.
3374:21
3372:.
3368:.
3343:.
3339:.
3316:.
3306:25
3304:.
3277:^
3259:61
3257:.
3253:.
3233:^
3217:.
3209:.
3201:.
3186:^
3157:.
3153:.
473:.
352:.
54:).
30:A
3973:e
3966:t
3959:v
3925:.
3905::
3879:.
3860:.
3856::
3833:.
3827::
3804:.
3792::
3769:.
3765::
3742:.
3738::
3715:.
3711::
3688:.
3684::
3661:.
3657::
3634:.
3628::
3601:.
3586:.
3574::
3551:.
3547::
3514:.
3499:.
3485::
3455:.
3451::
3445:9
3428:.
3416::
3386:.
3380::
3353:.
3347::
3324:.
3312::
3289:.
3271:.
3265::
3227:.
3213::
3180:.
3165:.
3161::
326:t
323:,
320:M
316:R
273:t
270:,
267:f
263:R
240:t
236:R
212:]
209:)
204:t
201:,
198:f
194:R
185:t
182:,
179:M
175:R
171:(
168:E
165:[
159:+
153:=
150:)
145:t
142:,
139:f
135:R
126:t
122:R
118:(
115:E
20:)
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.