The DOI matches its Crossref record; 85 of the 85 references it cites were found in a registry or an index.
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
Open accessAbstract
We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its share price responds to information. The most severely delayed firms command a large return premium that captures the size effect and half the value premium. Moreover, idiosyncratic risk is priced only among the most delayed firms. These results are not explained by other sources of return premia, microstructure, or pure liquidity effects, but appear most consistent with investor recognition and firm neglect. The very small segment of neglected firms (less than 0.02% of the market) captures a sizeable amount of cross-sectional variation in average returns.
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Cites
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Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
The Cross‐Section of Expected Stock Returns
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Risk, Return, and Equilibrium: Empirical Tests
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JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Illiquidity and stock returns: cross-section and time-series effects
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Continuous Auctions and Insider Trading
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Multifactor Explanations of Asset Pricing Anomalies
FAMA, E. F., & FRENCH, K. R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05202.x · Cited by 6,700
An Empirical Evaluation of Accounting Income Numbers
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Cited by
Does the stock market fully value intangibles? Employee satisfaction and equity prices
Edmans, A. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.03.021 · Cited by 2,511
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Driven to Distraction: Extraneous Events and Underreaction to Earnings News
HIRSHLEIFER, D., LIM, S. S., & TEOH, S. H. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01501.x · Cited by 1,542
Industry Information Diffusion and the Lead-lag Effect in Stock Returns
Hou, K. (2007) · Review of Financial Studies · doi:10.1093/revfin/hhm003 · Cited by 601
Self-citationThe implied cost of capital: A new approach
Hou, K., van Dijk, M. A., & Zhang, Y. (2012) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2011.12.001 · Cited by 561
Self-citation
Metadata
- Authors
- Hou, K., & Moskowitz, T. J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2005
- Volume
- 18
- Issue
- 3
- Pages
- 981-1020
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3123842350
- Cited by
- 1,083
- References
- 85
- FWCI
- 30.67
- Type
- journal article
- Language
- en
- Open access
- green
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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.
