Asset Growth and Stock Market Returns: A Time-Series Analysis*
暂无分享,去创建一个
[1] Turan G. Bali,et al. Is Economic Uncertainty Priced in the Cross-Section of Stock Returns? , 2016 .
[2] A. Jackson. Dissecting Anomalies with a Five-Factor Model , 2016 .
[3] Jeffrey Pontiff,et al. Does Academic Research Destroy Stock Return Predictability? , 2015 .
[4] Charles M. C. Lee,et al. Aggregate Investment and Investor Sentiment , 2014 .
[5] E. Fama,et al. A Five-Factor Asset Pricing Model , 2014 .
[6] Gene Amromin,et al. From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return , 2014, Manag. Sci..
[7] S. Titman,et al. Market Development and the Asset Growth Effect: International Evidence , 2013, Journal of Financial and Quantitative Analysis.
[8] D. Ng,et al. Predicting Market Returns Using Aggregate Implied Cost of Capital , 2013 .
[9] Lu Zhang,et al. Digesting Anomalies: An Investment Approach , 2012 .
[10] Yan Xu,et al. The Asset Growth Effect: Insights from International Equity Markets , 2012 .
[11] K. Wei,et al. Limits-to-arbitrage, investment frictions, and the asset growth anomaly , 2011 .
[12] Jun Li,et al. Investor Attention, Psychological Anchors, and Stock Return Predictability , 2010 .
[13] Dongmei Li,et al. Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns? , 2010 .
[14] Zhi Da,et al. Cashflow risk, systematic earnings revisions, and the cross-section of stock returns , 2009 .
[15] Toni M. Whited,et al. Investment‐Based Expected Stock Returns , 2009, Journal of Political Economy.
[16] R. Priestley,et al. Time-Varying Risk Premiums and the Output Gap , 2009 .
[17] Eric Ghysels,et al. The impact of risk and uncertainty on expected returns. , 2009 .
[18] Guofu Zhou,et al. Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy , 2009 .
[19] D. Hirshleifer,et al. Accruals, cash flows, and aggregate stock returns , 2009 .
[20] Bruce D. Phelps. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction , 2009 .
[21] Michael J. Schill,et al. On the Scope and Drivers of the Asset Growth Effect , 2009, Journal of Financial and Quantitative Analysis.
[22] S. B. Thompson,et al. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? , 2008 .
[23] Michael J. Cooper,et al. Asset Growth and the Cross-Section of Stock Returns , 2007 .
[24] Todd E. Clark,et al. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models , 2005 .
[25] Narasimhan Jegadeesh,et al. The timing and value of forecast and recommendation revisions , 2004 .
[26] Adlai J. Fisher,et al. Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns , 2003 .
[27] Jerold B. Warner,et al. Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance , 2003 .
[28] Narasimhan Jegadeesh,et al. Analyzing the Analysts: When Do Recommendations Add Value? , 2002 .
[29] Sheridan Titman,et al. Capital Investments and Stock Returns , 2001, Journal of Financial and Quantitative Analysis.
[30] J. Campbell. Asset Pricing at the Millennium , 2000, The Journal of Finance.
[31] Jeffrey Wurgler,et al. The Equity Share in New Issues and Aggregate Stock Returns , 1999 .
[32] R. Stambaugh,et al. Predictive Regressions , 1999 .
[33] Jeffrey Pontiff,et al. Book-to-market ratios as predictors of market returns 1 This paper has benefited from comments from , 1998 .
[34] Richard G. Sloan. Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings , 1998 .
[35] R. Green,et al. Optimal Investment, Growth Options, and Security Returns , 1998 .
[36] P. Newbold,et al. Tests for Forecast Encompassing , 1998 .
[37] S. Kothari,et al. Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis , 1997 .
[38] Rafael La Porta,et al. Expectations and the Cross-Section of Stock Returns , 1996 .
[39] John H. Cochrane,et al. A Cross-Sectional Test of an Investment-Based Asset Pricing Model , 1996, Journal of Political Economy.
[40] Josef Lakonishok,et al. Momentum Strategies , 1995 .
[41] C. Nelson,et al. Predictable Stock Returns: The Role of Small Sample Bias , 1993 .
[42] E. Fama,et al. The Cross‐Section of Expected Stock Returns , 1992 .
[43] J. Cochrane. Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations , 1991 .
[44] V. Bernard,et al. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings , 1990 .
[45] M. Shapiro,et al. Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models , 1985 .
[46] Jesper Rangvid,et al. End-of-the-year economic growth and time-varying expected returns. , 2012 .