The Role of Shorting, Firm Size, and Time on Market Anomalies
By Ronen Israel, Tobias J. Moskowitz. 2013
204 citations recorded by the source corpus.
Subfields: Accounting, Finance, Strategy and Management
View Paper: https://www.semanticscholar.org/paper/3d4356422142f0fc71e352efc0fbb9c1677605e0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Ronen Israel
- Clifford S. Asness
- Lasse Heje Pedersen
- Tobias J. Moskowitz
- Andrea Frazzini
- Robert Novy-Marx
- Nicholas Barberis
- Avanidhar Subrahmanyam
In Finance
- Lasse Heje Pedersen
- Tobias J. Moskowitz
- Clifford S. Asness
- Andrea Frazzini
- Ronen Israel
- Robert Novy-Marx
- Nicholas Barberis
- Avanidhar Subrahmanyam
In Strategy and Management
- Lasse Heje Pedersen
- Clifford S. Asness
- Andrea Frazzini
- Tobias J. Moskowitz
- Ronen Israel
- Christian Wagner
- Jianfeng Yu
- Robert Novy-Marx
Citations in the corpus
- Cash Flow Duration and the Term Structure of Equity Returns (2018, unknown): “…in the low residual institutional ownership, high duration bin earn on average a Fama & French adjusted excess return of -2.35% per month following periods of high sentiment; this abnormal return decreases to 6See e.g. Griffin and Lemmon (2002) and Israel and Moskowitz (2012) for the value premium.”
- Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity (2014, unknown): “This 14Our post-decimalization results on attenuation in anomaly profits complement those in Israel and Moskowitz (2012) as well as Frazzini, Israel, and Moskowitz (2012); however, our study is not directly comparable to these papers, because they focus primarily on size, value, and momentum and do…”
- Size matters, if you control your junk (2018, background): “For more about the January effect, see Keim (1983), Reinganum (1983b) , and Roll (1983) .”