Arbitrage risk and the book-to-market anomaly
Top Cited Papers
- 1 August 2003
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 69 (2) , 355-373
- https://doi.org/10.1016/s0304-405x(03)00116-8
Abstract
No abstract availableKeywords
This publication has 40 references indexed in Scilit:
- Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock ReturnsThe Journal of Finance, 2001
- Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum StrategiesThe Journal of Finance, 2000
- Industry costs of equityPublished by Elsevier ,1998
- Is the Risk of Bankruptcy a Systematic Risk?The Journal of Finance, 1998
- Returns to contrarian investment strategies: Tests of naive expectations hypothesesJournal of Financial Economics, 1997
- Aggregate mutual fund flows and security returnsJournal of Financial Economics, 1995
- Displayed and Effective Spreads By MarketSSRN Electronic Journal, 1992
- Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund IndustryThe Journal of Law and Economics, 1992
- Fundamentals and Stock Returns in JapanThe Journal of Finance, 1991
- The anomalous stock market behavior of small firms in JanuaryJournal of Financial Economics, 1983