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1
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Corporate Investment, Book-to-Market, Firm Size and Stock Returns: Empirical Evidence
– Christopher W. Anderson, Luis Garcia-Feijóo
- 2002
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Exact factor pricing in a European framework
– John Crombez, Rudi Vander Vennet
- 2000
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5
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VALUE VERSUS GLAMOUR
– Jennifer Conrad, Michael Cooper, Gautam Kaul
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79
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Characteristics, Covariances, And Average Returns: 1929 To 1997
– James L. Davis, Eugene F. Fama, Kenneth R. French
- 1999
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2
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Introduction to Asset Pricing Theory and Tests
– Robert R. Grauer
- 2001
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Conditioning Variables and the Cross-Section of Stock Returns
– Wayne Ferson And, Wayne E. Ferson, Campbell R. Harvey
- 1999
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Conditional Nonlinear Asset Pricing Kernels and the Size and Book-to-Market Effects
– Stephen D. Burke
- 2001
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74
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Asset pricing at the millennium
– John Y. Campbell
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Keeping, not catching, up with the Joneses: An international asset pricing model ∗
– Juan-pedro Gómez, Richard Priestley, O Zapatero, Jel Codes G
- 2002
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20
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Fundamental determinants of national equity market returns: A perspective on conditional asset pricing
– Wayne E. Ferson , Campbell R. Harvey
- 1998
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4
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Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
– Wayne E. Ferson
- 2003
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2
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Predicting Stock Returns Using Industry-Relative Firm Characteristics 1 (Please do not quote without permission)
– Clifford S. Asness, R. Burt, Porter Ross, L. Stevens
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SIZE AND BOOK TO MARKET EFFECTS: FURTHER EVIDENCE FROM THE FRENCH CASE
– Souad Lajili
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8
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The Capital Asset Pricing Model: Theory and Evidence
– Eugene F. Fama, Kenneth R. French
- 2004
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Expected Return and Asset Pricing ♣
– Alon Brav, Reuven Lehavy, Roni Michaely, We Thank Yakov Amihud, Malcolm Baker, Brad Barber, Larry Blume, Kobi Boudoukh, Markus Brunnermeier, Peter Demerjian
- 2002
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185
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A unified theory of underreaction, momentum trading and overreaction in asset markets
– Harrison Hong, Jeremy C. Stein
- 1999
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19
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Are Financial Assets Priced Locally or Globally?
– G. Andrew Karolyi, René M. Stulz
- 2002
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Forecasting ability of the Fama and French three-factor model-----------Implications for Capital Budgeting
– unknown authors
- 2003
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Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio
– Cesare Robotti, Cesare Robotti, Federal Reserve, Bank Atlanta
- 2003
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