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678
The crosssection of expected stock returns
 Journal of Finance
, 1992
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Cited by 1254 (18 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at
Market Efficiency, LongTerm Returns, and Behavioral Finance
, 1998
"... Market e#ciency survives the challenge from the literature on longterm return anomalies. Consistent with the market e#ciency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and postevent continuation of preevent abnormal ..."
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Cited by 510 (4 self)
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Market e#ciency survives the challenge from the literature on longterm return anomalies. Consistent with the market e#ciency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and postevent continuation of preevent abnormal returns is about as frequent as postevent reversal. Most important, consistent with the market e#ciency prediction that apparent anomalies can be due to methodology, most longterm return anomalies tend to disappear with reasonable changes in technique. # 1998 Elsevier Science S.A. All rights reserved.
A unified theory of underreaction, momentum trading and overreaction in asset markets
, 1999
"... We model a market populated by two groups of boundedly rational agents: “newswatchers” and “momentum traders.” Each newswatcher observes some private information, but fails to extract other newswatchers’ information from prices. If information diffuses gradually across the population, prices underre ..."
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Cited by 381 (23 self)
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We model a market populated by two groups of boundedly rational agents: “newswatchers” and “momentum traders.” Each newswatcher observes some private information, but fails to extract other newswatchers’ information from prices. If information diffuses gradually across the population, prices underreact in the short run. The underreaction means that the momentum traders can profit by trendchasing. However, if they can only implement simple (i.e., univariate) strategies, their attempts at arbitrage must inevitably lead to overreaction at long horizons. In addition to providing a unified account of under and overreactions, the model generates several other distinctive implications.
On estimating the expected return on the market  an exploratory investigation
 Journal of Financial Economics
, 1980
"... The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market retu ..."
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Cited by 342 (2 self)
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The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market return adds the historical average realized excess market returns to the current observed interest rate. While this model explicitly reflects the dependence of the market return on the interest rate, it fails to account for the effect of changes in the level of market risk. Three models of equilibrium expected market returns which reflect this dependence are analyzed in this paper. Estimation procedures which incorporate the prior restriction that equilibrium expected excess returns on the market must be positive are derived and applied to return data for the period 19261978. The principal conclusions from this exploratory investigation are: (1) in estimating models of the expected market return, the nonnegativity restriction of the expected excess return should be explicitly included as part of the specification; (2) estimators which use realized returns should be adjusted for heteroscedasticity. 1.
A Test of the Efficiency of a Given Portfolio
 In Econometrica
, 1989
"... A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study the sensitivity of the test to the portfolio choice and to the number of assets used to determine the ex pos ..."
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Cited by 225 (11 self)
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A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study the sensitivity of the test to the portfolio choice and to the number of assets used to determine the ex post meanvariance efficient frontier. Several intuitive interpretations of the test are provided, including a simple meanstandard deviation geometric explanation. A univariate test, equivalent to our multivariatebased method, is derived, and it suggests some useful diagnostic tools which may explain why the null hypothesis is rejected. Empirical examples suggest that the multivariate approach can lead to more appropriate conclusions than those based on traditional inference which relies on a set of dependent univariate statistics.
Conditional skewness in asset pricing tests
 Journal of Finance
, 2000
"... If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the crosssectional variation of expect ..."
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Cited by 203 (6 self)
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If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the crosssectional variation of expected returns across assets and is significant even when factors based on size and booktomarket are included. Systematic skewness is economically important and commands a risk premium, on average, of 3.60 percent per year. Our results suggest that the momentum effect is related to systematic skewness. The low expected return momentum portfolios have higher skewness than high expected return portfolios. THE SINGLE FACTOR CAPITAL ASSET PRICING MODEL ~CAPM! of Sharpe ~1964! and Lintner ~1965! has come under recent scrutiny. Tests indicate that the crossasset variation in expected returns cannot be explained by the market beta alone. For example, a growing number of studies show that “fundamental” variables such as size, booktomarket value, and price to earnings ratios
Value versus growth: The international evidence
 JOURNAL OF FINANCE
, 1998
"... Value stocks have higher returns than growth stocks in markets around the world. For the period 1975 through 1995, the difference between the average returns on global portfolios of high and low booktomarket stocks is 7.68 percent per year, and value stocks outperform growth stocks in twelve of th ..."
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Cited by 181 (6 self)
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Value stocks have higher returns than growth stocks in markets around the world. For the period 1975 through 1995, the difference between the average returns on global portfolios of high and low booktomarket stocks is 7.68 percent per year, and value stocks outperform growth stocks in twelve of thirteen major markets. An international capital asset pricing model cannot explain the value premium, but a twofactor model that includes a risk factor for relative distress captures the value premium in international returns.