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Cited by 523

The DOI matches its Crossref record; 65 of the 65 references it cites were found in a registry or an index.

Asset Pricing Models and Financial Market Anomalies

Open access
Avramov, Doron, Chordia, Tarun·2006·Review of Financial Studies
DOI 10.1093/rfs/hhj025
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Abstract

This article develops a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables. With constant beta, none of the models examined capture any of the market anomalies. When beta is allowed to vary, the size and value effects are often explained, but the explanatory power of past return remains robust. The past return effect is captured by model mispricing that varies with macroeconomic variables.

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Citations

Cites

Show all 65 references

Research works printed but not linked: 13

  1. 1981, Journal of Finance, 32, 663
  2. 10.2307/2326304 · DOI
  3. 1989., Journal of Financial Economics, 19, 3
  4. 10.2307/2329112 · DOI · Paper page
  5. 10.2307/2329302 · doi:10.2307/2329302
  6. 1998, Journal of Banking and Finance, 21, 1625
  7. 10.2307/2328415 · doi:10.2307/2328415
  8. 10.2307/2329301 · DOI
  9. 10.2307/2328797 · DOI
  10. 10.2307/2328882 · DOI
  11. 10.2307/2329243 · doi:10.2307/2329243
  12. 10.2307/2977249 · DOI
  13. 10.2307/2977928 · DOI

Cited by

See all 523

Metadata

Authors
Avramov, D., & Chordia, T.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2006
Volume
19
Issue
3
Pages
1001-1040
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhj025
OpenAlex
W3125452688
Cited by
523
References
65
FWCI
32.92
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Asset Pricing Models and Financial Market Anomalies. https://app.cochat.ai/papers/10.1093/rfs/hhj025
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Avramov, D., & Chordia, T. (2006). Asset Pricing Models and Financial Market Anomalies. Review of Financial Studies. https://doi.org/10.1093/rfs/hhj025

Data sources

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.