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Cited by 1,065

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Commonality in the determinants of expected stock returns

Haugen, Robert A., Baker, Nardin L.·1996·Journal of Financial Economics
DOI 10.1016/0304-405x(95)00868-f
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Citations

Cites

Show all 2 references

Research works printed but not linked: 24

  1. Amihud, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics, 17, 223, 10.1016/0304-405X(86)90065-6 · DOI · Paper page
  2. Ball, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics, 38, 79, 10.1016/0304-405X(94)00806-C · DOI · Paper page
  3. Ball, 1995, Can we implement research on stock trading rules?, Journal of Portfolio Management, 21, 54, 10.3905/jpm.1995.54 · DOI
  4. Bernard, 1990, Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics, 13, 305, 10.1016/0165-4101(90)90008-R · DOI · Paper page
  5. Black, 1993, Beta and return, Journal of Portfolio Management, 20, 8, 10.3905/jpm.1993.409462 · DOI · Paper page
  6. Box, 1964, An analysis of transformations, Journal of the Royal Statistical Society, 211, 10.1111/j.2517-6161.1964.tb00553.x · DOI · Paper page
  7. Brown, 1995, Performance persistence, Journal of Finance, 50, 679, 10.2307/2329424 · doi:10.2307/2329424
  8. Brown, 1995, Survival, Journal of Finance, 50, 853, 10.2307/2329290 · DOI
  9. Chan, 1991, Structural and return characteristics of small and large firms, Journal of Finance, 46, 1467, 10.2307/2328867 · doi:10.2307/2328867
  10. Chen, 1983, Some empirical tests of the theory of arbitrage pricing, Journal of Finance, 38, 1393, 10.2307/2327577 · doi:10.2307/2327577
  11. Chen, 1991, Financial investment opportunities and the macroeconomy, Journal of Finance, 46, 529, 10.2307/2328835 · DOI
  12. Chopra, 1992, Measuring abnormal performance: Do stocks overreact?, Journal of Financial Economics, 31, 235, 10.1016/0304-405X(92)90005-I · DOI · Paper page
  13. Davis, 1994, The cross-section of realized stock returns: The pre-Compustat evidence, Journal of Finance, 49, 1579, 10.2307/2329263 · doi:10.2307/2329263
  14. De Bondt, 1985, Does the stock market overreact?, Journal of Finance, 40, 793, 10.2307/2327804 · DOI
  15. Fama, 1992, The cross-section of expected returns, Journal of Finance, 47, 427, 10.2307/2329112 · DOI · Paper page
  16. Fama, 1973, Risk, return and equilibrium-empirical tests, Journal of Political Economy, 81, 607, 10.1086/260061 · DOI · Paper page
  17. French, 1987, Expected stock return and volatility, Journal of Financial Economics, 19, 3, 10.1016/0304-405X(87)90026-2 · DOI · Paper page
  18. Haugen, 1991, The effect of volatility changes on the level of stock prices and subsequent expected returns, Journal of Finance, 46, 985, 10.2307/2328551 · doi:10.2307/2328551
  19. Jegadeesh, 1990, Evidence of predictable behavior of security returns, Journal of Finance, 45, 881, 10.2307/2328797 · DOI
  20. Jegadeesh, 1993, Returns to buying winners and selling losers, Journal of Finance, 48, 65, 10.2307/2328882 · DOI
  21. Kothari, 1995, Another look at the cross-section of expected stock returns, Journal of Finance, 50, 185, 10.2307/2329243 · doi:10.2307/2329243
  22. Lakonishok, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance, 49, 1541, 10.2307/2329262 · doi:10.2307/2329262 · Paper page
  23. Lo, 1990, Data-snooping biases in tests of asset pricing models, Review of Financial Studies, 3, 431, 10.1093/rfs/3.3.431 · DOI · Paper page
  24. Stoll, 1983, Transactions costs and the small firm effect: A comment, Journal of Financial Economics, 12, 57, 10.1016/0304-405X(83)90027-2 · DOI · Paper page

Cited by

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Metadata

Authors
Haugen, R. A., & Baker, N. L.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
1996-07
Volume
41
Issue
3
Pages
401-439
ISSN
0304-405X (ISSN-L)
DOI
10.1016/0304-405x(95)00868-f
OpenAlex
W2093260403
Cited by
1,065
References
2
FWCI
20.96
Type
journal article
Language
en
Open access
closed
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)

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CoChat. (2026). Citation check: Commonality in the determinants of expected stock returns. https://app.cochat.ai/papers/10.1016/0304-405x(95)00868-f
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Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(95)00868-f

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.