Dissecting Anomalies

By Eugene F. Fama. 2007

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Citations in the corpus

Deep Learning in Finance (2016, background): “For areas of ﬁnance applications, see Fama and French (1992, 2008), Engle (1982), Campbell, Lo, and MacKinley (1997), Singleton (2006), and Daniel and Titman (2006).”
A five-factor asset pricing model (2013, unknown): “(See also Haugen and Baker, 1996; Cohen, Gompers, and Vuolteenaho, 2002; Fairfield, Whisenant, and Yohn, 2003; Titman, Wei, and Xie, 2004; and Fama and French, 2006, 2008.)”
Innovative Efficiency and Stock Returns (2013, unknown): “24 We define microstocks as the stocks below the 20th percentile of NYSE firms’ size following Fama and French (2008). efficiency and greater predictability of stock returns.”
Hedging Climate Change News (2019, unknown): “1 Among the many prominent papers in this literature are Fama and MacBeth (1973), Chen et al. (1986), Huberman et al. (1987), Breeden et al.”
Anomalies across the globe: Once public, no longer existent? (2020, unknown): “Concerns about data snooping and statistical biases have already been expressed in studies such as Lo and MacKinlay (1990), Fama (1998) and Schwert (2003). These issues have recently received renewed attention in Chen and Zimmermann (2016), Harvey et al.”
A diagnostic criterion for approximate factor structure (2016, methodology): “The three factors of Fama and French (1993) are the monthly excess return on CRSP NYSE/AMEX/Nasdaq valueweighted market portfolio over the risk free rate rm,t, and the monthly returns on zero-investment factormimicking portfolios for size and book-to-market, denoted by rsmb,t and rhml,t respectively”
Shrinking the Cross Section∗ (2017, unknown): “Fama and French (2008); Freyberger et al. (2017) provide evidence of nonlinear effects for other anomalies, but in terms of portfolio sorts and cross-sectional return prediction rather than SDF estimation.”
Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016, unknown): “With this in mind, Green et al. (2014) "view it as infeasible to examine non-linearities in RPS-returns relations in the manner undertaken in Fama and French (2008)."”