Assessing Asset Pricing Anomalies

By Michael J. Brennan, Yihong Xia. 2001

133 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0426103906fca7579c4fabdec1d7ac50d3892cf7

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Citations in the corpus

Data-generating process uncertainty: What difference does it make in portfolio decisions? (2004, background): “Brennan and Xia (2001), Avramov (2002) and Cremers (2002) offer interesting Bayesian assessments on predictability in light of the model uncertainty.”
The Cross-Section of Expected Trading Activity (2007, background): “For other models of learning, see Klein and Bawa (1977), Barry and Brown (1985), Wang (1994), Veronesi (1999), Brennan and Xia (2001) , and Xia (2001).”
Stock Return Predictability and Model Uncertainty (2002, unknown): “Mispricing uncertainty is also at the core of the analysis in Brennan and Xia (2001) and Wang (2001). Our study departs along two important dimensions.”
Crisis Management Strategies and the Long-Term Effects of Product Recalls on Firm Value (2017, background): “…ranging from costs of the recall to the firm’s actions to alleviate the adverse financial impact (Govindaraj, Jaggi, and Lin 2004), helping investors update their beliefs about future cash flows and resulting in a change to the long-term firm value (Brav and Heaton 2002; Brennan and Xia 2001).”
Portfolio Selection in Stochastic Environments (2007, background): “In the works of Kim and Omberg (1996) and Brennan and Xia (2001) , the agent also shorts stock.”
Asset Allocation Under Multivariate Regime Switching (2005, unknown): “In related research Brennan and Xia (2001) and Pástor (2000) propose a Bayesian framework to address optimal portfolio choice when investors face model uncertainty and asset return distributions take the form of mixtures over a range of theoretical and data-driven models.”
Marketing and Firm Value: Metrics, Methods, Findings, and Future Directions (2009, unknown): “Recent research in finance has relaxed the EMH assumption of investors’ structural knowledge while maintaining the rationality assumption in decision making (e.g., Brav and Heaton 2002; Brennan and Xia 2001).”
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? (2009, background): “That is CER = E[rp] − A1 2 Var[rp], (20) where A is the appropriate risk-aversion parameter (see, e.g., Brennan and Xia (2001)).”
On the value relevance of customer satisfaction. Multiple drivers and multiple markets (2012, background): “Assuming that investors process information rationally (Brav and Heaton 2002; Brennan and Xia 2001), they do not equally weight the value relevance of any information related to customer satisfaction but rather weight this information with regard to the predicted magnitude of its impact on future sa”
Learning in Financial Markets (2009, background): “Brennan and Xia (2001b) assess the importance of the value and size anomalies from the perspective of an investor who is uncertain whether the anomalies are genuine.”