Citation Impact
Citing Papers
Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1
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Costly Search and Mutual Fund Flows
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Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?
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Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs
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THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS
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The seasonal behavior of the liquidity premium in asset pricing
1993
Efficient Capital Markets: II
1991 StandoutNobel
The Performance of Hedge Funds: Risk, Return, and Incentives
1999 Standout
Returns and Volatility of Low‐Grade Bonds 1977–1989
1991
Common risk factors in the returns on stocks and bonds
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Anomalies: The Equity Premium Puzzle
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An institution-based view of international business strategy: a focus on emerging economies
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Residual Risk, Trading Costs, and Commodity Futures Risk Premia:
1988
Asset pricing with liquidity risk
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Modeling and Forecasting Realized Volatility
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Do Industries Explain Momentum?
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Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks
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On Persistence in Mutual Fund Performance
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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
2001
Yes, Discounts on Closed‐End Funds Are a Sentiment Index
1993 StandoutNobel
The stochastic behavior of common stock variances Value, leverage and interest rate effects
1982 Standout
The Impact of Corporate Sustainability on Organizational Processes and Performance
2014 Standout
The Conditional CAPM and the Cross‐Section of Expected Returns
1996 Standout
Investor Psychology and Asset Pricing
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Are Investors Reluctant to Realize Their Losses?
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Incentives and Efficiency in the Market for Management Services: A Study of Canadian Mutual Funds
1993
A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1
1998 Standout
Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing
2006 StandoutNobel
Efficient Capital Markets: II
1991 StandoutNobel
Evidence on Tax‐Motivated Securities Trading Behavior
1991
Luck versus Skill in the Cross‐Section of Mutual Fund Returns
2010 StandoutNobel
Intraday periodicity and volatility persistence in financial markets
1997
Finite sample properties of the generalized method of moments in tests of conditional asset pricing models
1994
On estimating the expected return on the market
1980 StandoutNobel
Momentum and Reversals in Equity‐Index Returns During Periods of Abnormal Turnover and Return Dispersion
2003
Returns from Investing in Equity Mutual Funds 1971 to 1991
1995
An Introduction to Econophysics: Correlations and Complexity in Finance
2000 Standout
Short-Term Interest Rates as Subordinated Diffusions
1997 StandoutNobel
Investor Sentiment and the Closed-End Fund Puzzle
1991 StandoutNobel
Performance measurement with the arbitrage pricing theory
1986
Time‐Varying World Market Integration
1995 Standout
Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets
2002 Standout
The price of sin: The effects of social norms on markets
2009 Standout
Volatility Timing in Mutual Funds: Evidence from Daily Returns
1999
From Efficient Markets Theory to Behavioral Finance
2003 StandoutNobel
Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons
1987
Investor Sentiment and the Closed‐End Fund Puzzle
1991 StandoutNobel
Risk Taking by Mutual Funds as a Response to Incentives
1997 Standout
Forecasting Using Principal Components From a Large Number of Predictors
2002 Standout
What Does the Stock Market Tell Us About Real Estate Returns?
1992
Another Puzzle: The Growth in Actively Managed Mutual Funds
1996 Standout
Summing Up
1993 StandoutNobel
The Long‐Run Performance of initial Public Offerings
1991 Standout
The Distribution of Realized Exchange Rate Volatility
2001 Standout
Anomalies: The Law of One Price in Financial Markets
2003 StandoutNobel
Closed-end Country Funds and U.S. Market Sentiment
1995
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
2003
The Determinants of Credit Spread Changes
2001 Standout
Investor Sentiment and the Cross‐Section of Stock Returns
2006 Standout
Finite-Sample Properties of Some Alternative GMM Estimators
1996 StandoutNobel
Effects of legislation events on US gaming stock returns and market turnings
2001
International Investment Restrictions and Closed‐End Country Fund Prices
1990
Corporate Governance and Performance in Publicly Listed, Family-Controlled Firms: Evidence from Taiwan
2005
ARCH modeling in finance
1992 Standout
Anomalies: Closed-End Mutual Funds
1990 StandoutNobel
Changes in Expected Security Returns, Risk, and the Level of Interest Rates
1989
Measuring Fund Strategy and Performance in Changing Economic Conditions
1996
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
2008
The Cross‐Section of Volatility and Expected Returns
2006 Standout
Works of Eric C. Chang being referenced
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1998
Short-sale constraints: Reductions in costs of capital or overvaluation? Evidence from Hong Kong
2012
Time-Varying Return and Risk in the Corporate Bond Market
1990
Market Timing and Mutual Fund Investment Performance
1984
Return Seasonality in Stocks and Their Underlying Assets: Tax-Loss Selling Versus Information Explanations
1990
Returns to Speculators and the Theory of Normal Backwardation
1985
A Fundamental Study of the Seasonal Risk-Return Relationship: A Note
1988
Risk and Inflation
1987
International diversification through closed-end country funds
1995
A Fundamental Study of the Seasonal Risk‐Return Relationship: A Note
1988
Standard & Poor's 500 Index Futures Volatility and Price Changes Around the New York Stock Exchange Close
1995
Return seasonality and tax-loss selling in the market for long-term government and corporate bonds
1986
An examination of herd behavior in equity markets: An international perspective
2000
An empirical test of the variance gamma option pricing model
2002