The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?

By Avanidhar Subrahmanyam. 2010

180 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

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Citations in the corpus

Deep Learning for Forecasting Stock Returns in the Cross-Section (2018, background): “In particular, many authors attempt to explain the cross-section of stock returns by using various factors, such as earnings–price ratio, company size and stock price momentum, and the efficacy of using such factors [1-3] .”
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017, unknown): “It can be drawn from the four categories delineated in the wide-ranging survey by Subrahmanyam (2010): 1. informal Wall Street wisdom (such as “value-investing”), 2. theoretical motivation based on risk-return model variants, 3. behavioral biases or misreaction by cognitively challenged investors,…”
Empirical cross-sectional asset pricing: a survey (2011, methodology): “For example, see Campbell (2000), Fama and French (2004), Jagannathan et al. (2010a, 2010b), Subrahmanyam (2010), and Cochrane (2011).”
Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016, unknown): “Subrahmanyam (2010), Goyal (2011), Green et al. (2013) and Harvey et al. (2013) review as many as 330 anomalies that have been found by academic research and call for a synthesis of the existing literature.”
... and the Cross-Section of Expected Returns (2013, unknown): “…to a file with full references and Web addresses to the original articles: http://faculty.fuqua. duke.edu/∼charvey/Factor-List.xlsx. 2 Other recent papers that systematically study the cross-sectional return patterns include those by Subrahmanyam (2010) and Green, Hand, and Zhang (2013a, 2013b).”
A Transaction-Cost Perspective on the Multitude of Firm Characteristics (2020, unknown): “To determine which characteristics are jointly significant, we use a screen-and- 1See also the survey papers Subrahmanyam (2010), Richardson, Tuna, and Wysocki (2010), and Nagel (2013), and the book Bali, Engle, and Murray (2016).”
The supraview of return predictive signals (2013, unknown): “The number of RPS we identify is four times the number listed by McLean and Pontiff (2012), more than six times the 50 finance-based RPS reported by Subrahmanyam (2010), and vastly more than the four classic firm characteristics of firm size, book-to-market, momentum and beta, or their factor…”