TY  - JOUR
TI  - Characteristics are covariances: A unified model of risk and return
AU  - Bryan T. Kelly
AU  - Seth Pruitt
AU  - Yinan Su
JO  - Journal of Financial Economics
PY  - 2019
VL  - 134
IS  - 3
DO  - 10.1016/j.jfineco.2019.05.001
UR  - https://doi.org/10.1016/j.jfineco.2019.05.001
ER  -


TY  - JOUR
TI  - Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
AU  - Mitchell A. Petersen
JO  - Review of Financial Studies
PY  - 2008
VL  - 22
IS  - 1
DO  - 10.1093/rfs/hhn053
UR  - https://doi.org/10.1093/rfs/hhn053
ER  -


TY  - JOUR
TI  - Illiquidity and stock returns: cross-section and time-series effects
AU  - Yakov Amihud
JO  - Journal of Financial Markets
PY  - 2002
VL  - 5
IS  - 1
DO  - 10.1016/s1386-4181(01)00024-6
UR  - https://doi.org/10.1016/s1386-4181(01)00024-6
ER  -


TY  - JOUR
TI  - How to do Xtabond2: An Introduction to Difference and System GMM in Stata
AU  - David Malin Roodman
JO  - The Stata Journal Promoting communications on statistics and Stata
PY  - 2009
VL  - 9
IS  - 1
DO  - 10.1177/1536867x0900900106
UR  - https://doi.org/10.1177/1536867x0900900106
ER  -


TY  - JOUR
TI  - The Cross‐Section of Volatility and Expected Returns
AU  - Andrew Ang
AU  - Robert J. Hodrick
AU  - Yuhang Xing
AU  - Xiaoyan Zhang
JO  - The Journal of Finance
PY  - 2006
VL  - 61
IS  - 1
DO  - 10.1111/j.1540-6261.2006.00836.x
UR  - https://doi.org/10.1111/j.1540-6261.2006.00836.x
ER  -


TY  - JOUR
TI  - Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
AU  - Kent Daniel
AU  - Sheridan D. Titman
JO  - The Journal of Finance
PY  - 1997
VL  - 52
IS  - 1
DO  - 10.1111/j.1540-6261.1997.tb03806.x
UR  - https://doi.org/10.1111/j.1540-6261.1997.tb03806.x
ER  -


TY  - JOUR
TI  - Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
AU  - Martin Lettau
AU  - Sydney C. Ludvigson
JO  - Journal of Political Economy
PY  - 2001
VL  - 109
IS  - 6
DO  - 10.1086/323282
UR  - https://doi.org/10.1086/323282
ER  -


TY  - JOUR
TI  - Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1
AU  - Michael John Brennan
AU  - Tarun Chordia
AU  - Avanidhar Subrahmanyam
JO  - Journal of Financial Economics
PY  - 1998
VL  - 49
IS  - 3
DO  - 10.1016/s0304-405x(98)00028-2
UR  - https://doi.org/10.1016/s0304-405x(98)00028-2
ER  -


TY  - JOUR
TI  - Accounting valuation, market expectation, and cross-sectional stock returns
AU  - Richard M. Frankel
AU  - Charles M.C. Lee
JO  - Journal of Accounting and Economics
PY  - 1998
VL  - 25
IS  - 3
DO  - 10.1016/s0165-4101(98)00026-3
UR  - https://doi.org/10.1016/s0165-4101(98)00026-3
ER  -


TY  - JOUR
TI  - A Cross-Sectional Test of an Investment-Based Asset Pricing Model
AU  - John H. Cochrane
JO  - Journal of Political Economy
PY  - 1996
VL  - 104
IS  - 3
DO  - 10.1086/262034
UR  - https://doi.org/10.1086/262034
ER  -