The DOI matches its Crossref record; 110 of the 110 references it cites were found in a registry or an index.
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
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Citations
Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Hierarchical Grouping to Optimize an Objective Function
Ward, J. H. (1963) · Journal of the American Statistical Association · doi:10.1080/01621459.1963.10500845 · Cited by 20,598
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Lintner, J. (1965) · The Review of Economics and Statistics · doi:10.2307/1924119 · Cited by 6,877
Noise Trader Risk in Financial Markets
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990) · Journal of Political Economy · doi:10.1086/261703 · Cited by 6,234
Investor Sentiment and the Cross‐Section of Stock Returns
BAKER, M., & WURGLER, J. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00885.x · Cited by 6,049
Financial Ratios and the Probabilistic Prediction of Bankruptcy
Ohlson, J. A. (1980) · Journal of Accounting Research · doi:10.2307/2490395 · Cited by 5,989
Cited by
Bollerslev, T., Li, S. Z., & Todorov, V. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2016.02.001 · Cited by 180
Machine Learning Versus Economic Restrictions: Evidence from Stock Return Predictability
Avramov, D., Cheng, S., & Metzker, L. (2019) · SSRN Electronic Journal · doi:10.2139/ssrn.3450322 · Cited by 74
Climate Sensitivity and Predictable Returns
Kumar, A., Xin, W., & Zhang, C. (2019) · SSRN Electronic Journal · doi:10.2139/ssrn.3331872 · Cited by 55
Non-Standard Errors in Portfolio Sorts
Walter, D., Weber, R., & Weiss, P. (2022) · SSRN Electronic Journal · doi:10.2139/ssrn.4164117 · Cited by 12
Metadata
- Authors
- Stambaugh, R. F., Yu, J., & Yuan, Y.
- Venue
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Published
- 2012
- ISSN
- 1556-5068 (ISSN-L)
- OpenAlex
- W2171209577
- Cited by
- 286
- References
- 110
- Type
- posted content
- Language
- en
- Open access
- green
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Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
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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.
