Idiosyncratic Risk, Long-Term Reversal, and Momentum

By R. D. McLean. Journal of Financial and Quantitative Analysis, 2010

160 citations recorded by the source corpus.

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Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers (2010, unknown): “As examples, Pontiff (1996), Wurgler and Zhuravskaya (2002), Ali, Hwang, and Trombley (2003), Mashruwala, Rajgopal, and Shevlin (2006), Scruggs (2007), and McLean (2009) show that closed-end fund discounts, abnormal returns resulting from index inclusions, the book-to-market effect, the accrual anom”
On the Scope and Drivers of the Asset Growth Effect (2011, unknown): “…have been used by others to explore mispricing using other return effects (see Pontiff (1996) (closed-end funds), Ali, Hwang, and Trombley (2003) (value effect), Lesmond, Schill, and Zhou (2004), McLean (2010) (price momentum and reversal), and Gagnon and Karolyi (2010) (cross-market effects)).”
Does Academic Research Destroy Stock Return Predictability (2016, background): “Previous papers in the limited arbitrage literature estimate differences across stocks within an anomaly portfolio (see Pontiff, 2006; Duan, Hu, and McLean, 2010; and McLean, 2010).”
Investor Sentiment, Limits to Arbitrage and Private Market Returns (2014, background): “McLean (2010) also finds that idiosyncratic risk, in addition to transaction costs, limit arbitrageurs in their ability to counteract mispricing.”
Anomalies across the globe: Once public, no longer existent? (2020, methodology): “In an intriguing paper, McLean and Pontiff (2016) study 97 return predictive variables in the U.”