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Содержание
Введение
Прогнозируемость финансового рынка представляется несогласующейся с теориями ценообразования активов. Рыночная аномалия на финансовом рынке – это прогнозируемость, которая, по-видимому, несовместима с (как правило, основанными на риске) теориями ценообразования активов. Стандартные теории включают модель ценообразования капитальных активов (CAPM) и трехфакторную модель Фама-Френча, однако отсутствие единого мнения среди ученых относительно правильной теории приводит к тому, что многие упоминают аномалии, не ссылаясь на эталонную теорию (например, Daniel и Hirschleifer, 2015, и Barberis, 2018). Фактически, многие ученые просто называют аномалии «предикторами доходности», избегая тем самым проблемы определения эталонной теории. Ученые задокументировали более 150 предикторов доходности (см. Список аномалий, задокументированных в академических журналах). Однако эти «аномалии» сопровождаются множеством оговорок. Почти все задокументированные аномалии связаны с неликвидными акциями небольших компаний. Четыре основных объяснения рыночных аномалий: 1) ошиночная оценка, 2) неучтенный риск, 3) ограничения арбитража и 4) систематическая ошибка отбора. Аномалии можно классифицировать на аномалии временных рядов и поперечного сечения. Аномалии временных рядов относятся к предсказуемости на агрегированном фондовом рынке, например, к часто обсуждаемому предиктору циклически скорректированной прибыли (CAPE). Эти предикторы временных рядов указывают на периоды, когда предпочтительнее инвестировать в акции, а не в безрисковые активы (например, казначейские векселя). Аномалии поперечного сечения относятся к предсказуемому превосходству определенных акций по сравнению с другими. Например, хорошо известная аномалия размера заключается в том, что акции с меньшей рыночной капитализацией, как правило, демонстрируют более высокую доходность, чем акции с большей рыночной капитализацией в будущем.
Financial market is predictability seems to be inconsistent with theories of asset prices
A market anomaly in a financial market is predictability that seems to be inconsistent with (typically risk based) theories of asset prices. Standard theories include the capital asset pricing model and the Fama French Three Factor Model, but a lack of agreement among academics about the proper theory leads many to refer to anomalies without a reference to a benchmark theory (Daniel and Hirschleifer 2015 and Barberis 2018, for example). Indeed, many academics simply refer to anomalies as "return predictors", avoiding the problem of defining a benchmark theory. Academics have documented more than 150 return predictors (see List of Anomalies Documented in Academic Journals). These "anomalies", however, come with many caveats. Almost all documented anomalies focus on illiquid, small stocks. The four primary explanations for market anomalies are (1) mispricing, (2) unmeasured risk, (3) limits to arbitrage, and (4) selection bias. mispricing,
Anomalies can be broadly categorized into time series and cross sectional anomalies. Time series anomalies refer to predictability in the aggregate stock market, such as the often discussed Cyclically Adjusted Price Earnings (CAPE) predictor. These time series predictors indicate times in which it is better to be invested in stocks vs a safe asset (such as Treasury bills). Cross sectional anomalies refer to the predictable out performance of particular stocks relative to others. For example, the well known size anomaly refers to the fact that stocks with lower market capitalization tend to out perform stocks with higher market capitalization in the future.
Неправильная оценка
Многие, если не большинство, исследований, документирующих аномалии, объясняют их неверной оценкой (например, Lakonishok, Shelifer, and Visny 1994). Такое объяснение естественно, поскольку аномалии по определению представляют собой отклонения от базовой теории ценообразования активов. "Неверная оценка" определяется как отклонение относительно эталонной модели. Наиболее распространенной эталонной моделью является CAPM (модель оценки капитальных активов). Отклонение от этой теории измеряется ненулевым пересечением в оцененной линии рынка ценных бумаг. Это пересечение обычно обозначается греческой буквой альфа:
Many, if not most, of the papers which document anomalies attribute them to mispricing (Lakonishok, Shelifer, and Visny 1994, for example). The mispricing explanation is natural, as anomalies are by definition deviations from a benchmark theory of asset prices. "Mispricing" is then defined as the deviation relative to the benchmark. The most common benchmark is the CAPM (Capital Asset Pricing Model). The deviation from this theory is measured by a non zero intercept in an estimated security market line. This intercept is commonly denoted by the Greek letter alpha:
где – доходность аномалии, – доходность безрисковой ставки, – наклон, полученный в результате регрессии доходности аномалии на доходность рынка, а – доходность "рынка", часто аппроксимируемая доходностью индекса CRSP (индекс всех публично торгуемых акций США). Объяснения, основанные на неверной оценке, часто вызывают споры в академической среде, поскольку ученые не приходят к согласию относительно правильной эталонной теории (см. раздел "Неучтенный риск" ниже). Это разногласие тесно связано с "проблемой совместной гипотезы" гипотезы эффективного рынка.
where is the return on the anomaly, is the return on the risk free rate, is the slope from regressing the anomaly's return on the market's return, and is the return on the "market", often proxied by the return on the CRSP index (an index of all publicly traded U. S. stocks). The mispricing explanations are often contentious within academic finance, as academics do not agree on the proper benchmark theory (see Unmeasured Risk, below). This disagreement is closely related to the "joint hypothesis problem" of the efficient market hypothesis.
Неизмеренный риск
Среди ученых распространенным ответом на утверждения о неверной оценке было предположение, что аномалия отражает фактор риска, отсутствующий в базовой теории. Например, аномалия может генерировать ожидаемую доходность, превышающую ту, что измеряется с помощью регрессии CAPM, поскольку временной ряд ее доходности коррелирует с доходом от трудовой деятельности, который не учитывается стандартными прокси для рыночной доходности. Наиболее известным примером этого объяснения, основанного на неучтенном риске, является семинарская работа Фамы и Френча о их трехфакторной модели: «если активы оцениваются рационально, переменные, связанные со средней доходностью, должны отражать чувствительность к общим (совместным и, следовательно, недиверсифицируемым) факторам риска в доходности. Регрессии временных рядов [трехфакторной модели] предоставляют прямые доказательства этого». Объяснение неучтенного риска тесно связано с недостатками CAPM как теории риска, а также с недостатками эмпирических тестов CAPM и связанных с ней моделей. Наиболее распространенной критикой CAPM является то, что она выведена для однопериодной модели, и, следовательно, не учитывает динамические характеристики, такие как периоды высокой неопределенности. В более общей постановке CAPM обычно предполагает наличие множества факторов риска, как показано в межвременной CAPM Мертона. Более того, ICAPM обычно предполагает, что ожидаемая доходность меняется во времени, и, следовательно, предсказуемость временных рядов не является однозначным доказательством неверной оценки. Действительно, поскольку CAPM вообще не может отразить динамическую ожидаемую доходность, доказательства предсказуемости временных рядов реже рассматриваются как свидетельство неверной оценки по сравнению с поперечной предсказуемостью. Основные эмпирические недостатки связаны с трудностями измерения богатства или предельной полезности. Теоретически, богатство включает в себя не только богатство на фондовом рынке, но и неторгуемые активы, такие как частные активы и будущий доход от труда. В модели потребления CAPM (которая теоретически эквивалентна ICAPM Мертона) правильным прокси для богатства является потребление, которое трудно измерить (например, Savov, 2011). Несмотря на теоретическую обоснованность объяснения неучтенного риска, среди ученых нет единого мнения относительно правильной модели риска, помимо CAPM. Предложения включают в себя хорошо известную трехфакторную модель Фамы и Френча, четырехфакторную модель Фамы и Френча-Кархарта, пятифакторную модель Фамы и Френча и четырехфакторную модель Стамбо и Юана. Все эти модели эмпирически ориентированы, а не выведены из формальной теории равновесия, такой как ICAPM Мертона.
Among academics, a common response to claims of mispricing was the idea that the anomaly captures a dimension of risk that is missing from the benchmark theory. For example, the anomaly may generate expected returns beyond those measured using the CAPM regression because the time series of its returns are correlated with labor income, which is not captured by standard proxies for the market return. Perhaps the most well known example of this unmeasured risk explanation is found in Fama and French's seminar paper on their 3 factor model: "if assets are priced rationally, variables that are related to average returns , must proxy for sensitivity to common (shared and thus undiversifiable) risk factors in returns. The [3 factor model] time series regressions give direct evidence on this issue." The unmeasured risk explanation is closely related to the shortcomings of the CAPM as a theory of risk as well as shortcomings of empirical tests of the CAPM and related models. Perhaps the most common critique of the CAPM is that it is derived in a single period setting, and thus is missing dynamic features like periods of high uncertainty. In a more general setting, the CAPM typically implies multiple risk factors, as shown in Merton's Intertemporal CAPM theory. Moreover, the ICAPM generally implies the expected returns vary over time, and thus time series predictability is not clear evidence of mispricing. Indeed, since the CAPM cannot at all capture dynamic expected returns, evidence of time series predictability is less often regarded as mispricing as compared to cross sectional predictability. Empirical shortcomings primarily regard the difficulty in measuring wealth or marginal utility. Theoretically, wealth includes not only stock market wealth, but also non tradable wealth like private assets and future labor income. In the consumption CAPM, (which is theoretically equivalent to Merton's ICAPM), the proper proxy for wealth is consumption, which is difficult to measure (Savov 2011, for example). Despite the theoretical soundness of the unmeasured risk explanation, there is little consensus among academics about the proper risk model over and above the CAPM. Propositions include the well known Fama French 3 Factor Model, Fama French Carhart 4 factor model, Fama French 5 factor model, and Stambaugh and Yuan's 4 factor model. These models are all empirically oriented, rather than derived from a formal theory of equilibrium like Merton's ICAPM.
Ограничения на арбитраж
Аномалии почти всегда документируются с использованием цен закрытия из набора данных CRSP. Эти цены не учитывают торговые издержки, что может препятствовать арбитражу и, следовательно, устранению предсказуемости. Более того, почти все аномалии документируются на основе равномерно взвешенных портфелей. Недавнее исследование, охватывающее десятки аномалий, показывает, что торговые издержки оказывают существенное влияние на среднюю величину аномалии (Novy Marx и Velikov, 2015).
Anomalies are almost always documented using closing prices from the CRSP dataset. These prices do not reflect trading costs, which can prevent arbitrage and thus the elimination predictability. Moreover, almost all anomalies are documented using equally weighted portfolios, A recent paper that studies dozens of anomalies finds that trading costs have a massive effect on the average anomaly (Novy Marx and Velikov 2015).
Склонность к выбору
Задокументированные аномалии, вероятно, представляют собой лучшие результаты из гораздо большего набора потенциальных предикторов доходности. Этот отбор создает систематическую ошибку и подразумевает, что оценки прибыльности аномалий завышены. Данное объяснение аномалий также известно как "охота за данными", "p-хакинг", "интеллектуальный анализ данных" и "просеивание данных", и тесно связано с проблемой множественных сравнений. Опасения относительно систематической ошибки отбора при анализе аномалий восходят, по крайней мере, к работам Jensen и Bennington (1970). Большинство исследований систематической ошибки отбора в рыночных аномалиях сосредоточено на конкретных подмножествах предикторов. Например, Sullivan, Timmermann и White (2001) показали, что календарные аномалии перестают быть значимыми после корректировки на систематическую ошибку отбора. Недавний мета-анализ премии за размер показал, что заявленные оценки премии за размер завышены вдвое из-за систематической ошибки отбора. Исследования систематической ошибки отбора для аномалий в целом относительно немногочисленны и не дают однозначных результатов. McLean и Pontiff (2016) использовали вневыборочный тест, чтобы показать, что систематическая ошибка отбора объясняет не более 26% средней доходности типичной аномалии в течение периода выборки, использованного в оригинальной публикации. Для этого они воспроизвели почти 100 аномалий и показали, что средняя доходность аномалии снижается всего на 26% в течение нескольких лет сразу после окончания исходных выборок. Поскольку часть этого снижения может быть обусловлена эффектом обучения инвесторов, 26% является верхней границей оценки.
The documented anomalies are likely the best performers from a much larger set of potential return predictors. This selection creates a bias and implies that estimates of the profitability of anomalies is overstated. This explanation for anomalies is also known as data snooping, p hacking, data mining, and data dredging, and is closely related to the multiple comparisons problem. Concerns about selection bias in anomalies goes back at least to Jensen and Bennington (1970). Most research on selection bias in market anomalies focuses on particular subsets of predictors. For example, Sullivan, Timmermann, and White (2001) show that calendar based anomalies are no longer significant after adjusting for selection bias. A recent meta analysis of the size premium shows that the reported estimates of the size premium are exaggerated twofold because of selection bias. Research on selection bias for anomalies more generally is relatively limited and inconclusive. McLean and Pontiff (2016) use an out of sample test to show that selection bias accounts for at most 26% of the typical anomaly's mean return during the sample period of the original publication. To show this, they replicate almost 100 anomalies, and show that the average anomaly's return is only 26% smaller in the few years immediately after the end of the original samples. As some of this decline may be due to investor learning effects, the 26% is an upper bound.
Список аномалий, задокументированных в научных журналах
Эффект малой фирмы предполагает, что небольшие компании показывают более высокую доходность, чем крупные. В академических журналах ведутся дебаты о том, является ли этот эффект реальным или возникает из-за определенных системных ошибок. Он связан с эффектом пренебрегаемых фирм.
The small firm effect proposes that small companies outperform larger ones. It has been debated in academic journals as to whether the effect is real or arises due to certain systemic errors. It is related to the neglected firm effect. 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Cross Sectional Short Interest Dechow, Hutton, Meulbroek, and Sloan 2001 Journal of Financial Economics Cross Sectional O Score Dichev 1998 Journal of Financial Economics Cross Sectional Altman Z Score Dichev 1998 Journal of Financial Economics Cross Sectional operating profits / book equity Fama and French 2006 Journal of Financial Economics Cross Sectional Industry Momentum Grinblatt Moskowitz 1999 Journal of Financial Economics Cross Sectional Dividends Hartzmark Salomon 2013 Journal of Financial Economics Cross Sectional net income / book equity Haugen and Baker 1996 Journal of Financial Economics Cross Sectional Cash flow variance Haugen and Baker 1996 Journal of Financial Economics Cross Sectional Volume to market equity Haugen and Baker 1996 Journal of Financial Economics Cross Sectional Volume Trend Haugen and Baker 1996 Journal of Financial Economics Cross Sectional Return Seasonality Heston and Sadka 2008 Journal of Financial Economics Cross Sectional Sin Stock (selection criteria) Hong Kacperczyk 2009 Journal of Financial Economics Cross Sectional Share repurchases Ikenberry, Lakonishok and Vermaelen 1995 Journal of Financial Economics Cross Sectional Revenue Surprise Jegadeesh and Livnat 2006 Journal of Financial Economics Cross Sectional Option Volume relative to recent average Johnson So 2012 Journal of Financial Economics Cross Sectional Option Volume to Stock Volume Johnson So 2012 Journal of Financial Economics Cross Sectional Days with zero trades Liu 2006 Journal of Financial Economics Cross Sectional Intermediate Momentum Novy Marx 2012 Journal of Financial Economics Cross Sectional gross profits / total assets Novy Marx 2013 Journal of Financial Economics Cross Sectional Cash to assets Palazzo 2012 Journal of Financial Economics Cross Sectional Debt Issuance Spiess Affleck Graves 1999 Journal of Financial Economics Cross Sectional Slope of smile Yan 2011 Journal of Financial Economics Cross Sectional Amihud's illiquidity Amihud 2002 Journal of Financial Markets Cross Sectional Share Volume Datar, Naik, and Radcliffe 1998 Journal of Financial Markets Cross Sectional Enterprise Multiple Loughran and Wellman 2011 Journal of Financial and Quantitative Analysis Cross Sectional Efficient frontier index Nguyen Swanson 2009 Journal of Financial and Quantitative Analysis Cross Sectional Investment Titman, Wei, and Xie 2004 Journal of Financial and Quantitative Analysis Cross Sectional Convertible debt indicator Valta 2016 Journal of Financial and Quantitative Analysis Cross Sectional Volatility smirk Xing Zhang Zhao 2010 Journal of Financial and Quantitative Analysis Cross Sectional Stock Splits Ikenberry, Rankine, Stice 1996 Journal of Financial and Quantitative Analysis Cross Sectional Sustainable Growth Lockwood Prombutr 2010 Journal of Financial Research Cross Sectional Momentum and LT Reversal Chan and Kot 2006 Journal of Investment Management Cross Sectional Employment growth Belo, Lin, and Bazdresch 2014 Journal of Political Economy Cross Sectional CAPM beta squared Fama and MacBeth 1973 Journal of Political Economy Cross Sectional Number of consecutive earnings increases Loh Warachka 2012 Management Science Cross Sectional Governance Index Gompers, Ishii and Metrick 2003 Quarterly Journal of Economics Cross Sectional Change in Forecast and Accrual Barth and Hutton 2004 Review of Accounting Studies Cross Sectional Excluded Expenses Doyle et al. 2003 Review of Accounting Studies Cross Sectional Mohanram G score Mohanram 2005 Review of Accounting Studies Cross Sectional Order backlog Rajgopal, Shevlin and Venkatachalam 2003 Review of Accounting Studies Cross Sectional Inventory Growth Thomas and Zhang 2002 Review of Accounting Studies Cross Sectional Operating Leverage Novy Marx 2010 Review of Finance Cross Sectional Decline in Analyst Coverage Scherbina 2008 Review of Finance Cross Sectional Earnings surprise of big firms Hou 2007 Review of Financial Studies Cross Sectional Industry return of big firms Hou 2007 Review of Financial Studies Cross Sectional Price delay Hou and Moskowitz 2005 Review of Financial Studies Cross Sectional Tail risk beta Kelly and Jiang 2014 Review of Financial Studies Cross Sectional Kaplan Zingales index Lamont, Polk, and Saa Requejo 2001 Review of Financial Studies Cross Sectional Growth in advertising expenses Lou 2014 Review of Financial Studies Cross Sectional Composite debt issuance Lyandres, Sun and Zhang 2008 Review of Financial Studies Cross Sectional Real estate holdings Tuzel 2010 Review of Financial Studies Cross Sectional Book to market and accruals Bartov and Kim 2004 Review of Quantitative Finance and Accounting Cross Sectional Weekend Effect Smirlock and Starks 1986 Journal of Financial Economics Time Series January Effect Keims 1985 Journal of Financial Economics Time Series Turn of the Month Effect Agrawal and Tandon 1994 Journal of International Money and Finance Time Series
Автор(ы) Год Журнал Широкая категория Изменение капитальных инвестиций, скорректированное по отрасли Abarbanell и Bushee 1998 Обзор бухгалтерского учета Межсекционный рост валовой маржи по сравнению с ростом продаж Abarbanell и Bushee 1998 Обзор бухгалтерского учета Межсекционный рост числа прокси-борьб Ikenberry и Lakonishok 1993 Журнал бизнеса Межсекционный рост продаж по сравнению с ростом запасов Abarbanell и Bushee 1998 Обзор бухгалтерского учета Межсекционный рост продаж по сравнению с ростом накладных расходов Abarbanell и Bushee 1998 Обзор бухгалтерского учета Межсекционный рост операционных денежных потоков к цене Desai, Rajgopal и Benkatachalam 2004 Обзор бухгалтерского учета Межсекционный прогноз прибыли Elgers, Lo и Pfeiffer 2001 Обзор бухгалтерского учета Межсекционный рост долгосрочных чистых операционных активов Fairfield, Whisenant и Yohn 2003 Обзор бухгалтерского учета Межсекционный сюрприз по прибыли Foster, Olsen и Shevlilin 1984 Обзор бухгалтерского учета Межсекционный процент операционных начислений Hafzalla, Lundholm и Van Winkle 2011 Обзор бухгалтерского учета Межсекционный процент общих начислений Hafzalla, Lundholm и Van Winkle 2011 Обзор бухгалтерского учета Межсекционный реальный грязный остаток Landsman et al. 2011 Обзор бухгалтерского учета Межсекционный налогооблагаемый доход к доходу Lev и Nissim 2004 Обзор бухгалтерского учета Межсекционный F-оценка Piotroski Piotroski 2000 Обзор бухгалтерского учета Межсекционный начисления Sloan 1996 Обзор бухгалтерского учета Межсекционный оборачиваемость активов Soliman 2008 Обзор бухгалтерского учета Межсекционный изменение оборачиваемости активов Soliman 2008 Обзор бухгалтерского учета Межсекционный изменение основных операционных активов Soliman 2008 Обзор бухгалтерского учета Межсекционный изменение чистого оборотного капитала Soliman 2008 Обзор бухгалтерского учета Межсекционный изменение рентабельности Soliman 2008 Обзор бухгалтерского учета Межсекционный рентабельность Soliman 2008 Обзор бухгалтерского учета Межсекционный аномальные начисления Xie 2001 Обзор бухгалтерского учета Межсекционный согласованность прибыли Alwathainani 2009 British Accounting Review Межсекционный отложенный доход Prakash и Sinha 2012 Contemporary Accounting Research Межсекционный продажи к цене Barbee, Mukherji и Raines 1996 Financial Analysts' Journal Межсекционный прибыль / активы Balakrishnan, Bartov и Faurel 2010 Journal of Accounting and Economics Межсекционный чистое финансирование за счет долга Bradshaw, Richardson и Sloan 2006 Journal of Accounting and Economics Межсекционный чистое финансирование за счет собственного капитала Bradshaw, Richardson и Sloan 2006 Journal of Accounting and Economics Межсекционный чистое внешнее финансирование Bradshaw, Richardson и Sloan 2006 Journal of Accounting and Economics Межсекционный чистые операционные активы Hirschleifer, Hou Teoh и Zhang 2004 Journal of Accounting and Economics Межсекционный изменение амортизации к валовым основным средствам Holthausen Larcker 1992 Journal of Accounting and Economics Межсекционный изменение собственного капитала к активам Richardson, Sloan Soliman и Tuna 2005 Journal of Accounting and Economics Межсекционный изменение текущих операционных активов Richardson, Sloan Soliman и Tuna 2005 Journal of Accounting and Economics Межсекционный изменение текущих операционных обязательств Richardson, Sloan Soliman и Tuna 2005 Journal of Accounting and Economics Межсекционный изменение финансовых обязательств Richardson, Sloan Soliman и Tuna 2005 Journal of Accounting and Economics Межсекционный изменение долгосрочных инвестиций Richardson, Sloan Soliman и Tuna 2005 Journal of Accounting and Economics Межсекционный компонент предприятия BM Penman, Richardson и Tuna 2007 Journal of Accounting Research Межсекционный компонент рычага BM Penman, Richardson и Tuna 2007 Journal of Accounting Research Межсекционный чистый долг к цене Penman, Richardson и Tuna 2007 Journal of Accounting Research Межсекционный изменение налогов Thomas и Zhang 2011 Journal of Accounting Research Межсекционный IPO и отсутствие расходов на НИОКР Gou, Lev и Shi 2006 Journal of Business, Finance and Accounting Межсекционный изменение капитальных затрат (два года) Anderson и Garcia Feijoo 2006 Journal of Finance Межсекционный идиосинкразический риск Ang, Hodrick, Xing и Zhang 2006 Journal of Finance Межсекционный импульс "мусорных" акций Avramov, Chordia, Jostova и Philipov 2007 Journal of Finance Межсекционный максимальный доход за месяц Bali, Cakici и Whitelaw 2010 Journal of Finance Межсекционный консенсус-рекомендация Barber, Lehavy, McNichols и Trueman 2001 Journal of Finance Межсекционный прогноз EPS в сторону понижения Barber, Lehavy, McNichols и Trueman 2001 Journal of Finance Межсекционный прогноз в сторону повышения Barber, Lehavy, McNichols и Trueman 2001 Journal of Finance Межсекционный отношение прибыли к цене Basu 1977 Journal of Finance Межсекционный цена Blume и Husic 1972 Journal of Finance Межсекционный чистая доходность от выплат Boudoukh, Michaely, Richardson и Roberts 2007 Journal of Finance Межсекционный доходность от выплат Boudoukh, Michaely, Richardson и Roberts 2007 Journal of Finance Межсекционный вероятность банкротства Campbell, Hilscher и Szilagyi 2008 Journal of Finance Межсекционный доходность от объявления о прибыли Chan, Jegadeesh и Lakonishok 1996 Journal of Finance Межсекционный пересмотр прогноза прибыли Chan, Jegadeesh и Lakonishok 1996 Journal of Finance Межсекционный расходы на рекламу Chan, Lakonishok и Sougiannis 2001 Journal of Finance Межсекционный НИОКР к рыночной капитализации Chan, Lakonishok и Sougiannis 2001 Journal of Finance Межсекционный рост активов Cooper, Gulen и Schill 2008 Journal of Finance Межсекционный нематериальная доходность Daniel и Titman 2006 Journal of Finance Межсекционный выпуск акций (5 лет) Daniel и Titman 2006 Journal of Finance Межсекционный разворот импульса De Bondt и Thaler 1985 Journal of Finance Межсекционный долгосрочный разворот De Bondt и Thaler 1985 Journal of Finance Межсекционный переход на другую биржу Dharan Ikenberry 1995 Journal of Finance Межсекционный понижение кредитного рейтинга Dichev Piotroski 2001 Journal of Finance Межсекционный дисперсия прогноза EPS Diether et al. 2002 Journal of Finance Межсекционный неожиданное увеличение НИОКР Eberhart et al. 2004 Journal of Finance Межсекционный организационный капитал Eisfeldt и Papanikolaou 2013 Journal of Finance Межсекционный статус финансирования пенсионных фондов Franzoni и Martin 2006 Journal of Finance Межсекционный 52-недельный максимум George и Hwang 2004 Journal of Finance Межсекционный материальность Hahn и Lee 2009 Journal of Finance Межсекционный концентрация отрасли (Herfindahl) Hou и Robinson 2006 Journal of Finance Межсекционный импульс (12 месяцев) Jegadeesh и Titman 1993 Journal of Finance Межсекционный импульс (6 месяцев) Jegadeesh и Titman 1993 Journal of Finance Межсекционный изменение рекомендации Jegadeesh et al. 2004 Journal of Finance Межсекционный краткосрочный разворот Jegedeesh 1989 Journal of Finance Межсекционный долгосрочный прогноз EPS La Porta 1996 Journal of Finance Межсекционный денежный поток к рынку Lakonishok, Scheifer и Vishny 1994 Journal of Finance Межсекционный рост доходов Ранг Lakonishok, Scheifer и Vishny 1994 Journal of Finance Межсекционный импульс и объем Lee Swaminathan 2000 Journal of Finance Межсекционный публичные сезонные предложения акций Loughran Ritter 1995 Journal of Finance Межсекционный инициирование дивидендов Michaely et al. 1995 Journal of Finance Межсекционный отмена дивидендов Michaely et al. 1995 Journal of Finance
The small firm effect proposes that small companies outperform larger ones. It has been debated in academic journals as to whether the effect is real or arises due to certain systemic errors. It is related to the neglected firm effect. Description Author(s) Year Journal Broad Category Change in capital investment, industry adjusted Abarbanell and Bushee 1998 The Accounting Review Cross Sectional Gross Margin growth over sales growth Abarbanell and Bushee 1998 The Accounting Review Cross Sectional Proxy Fights Ikenberry and Lakonishok 1993 Journal of Business Cross Sectional Sales growth over inventory growth Abarbanell and Bushee 1998 The Accounting Review Cross Sectional Sales growth over overhead growth Abarbanell and Bushee 1998 The Accounting Review Cross Sectional Operating Cash flows to price Desai, Rajgopal, and Benkatachalam 2004 The Accounting Review Cross Sectional Earnings Forecast Elgers, Lo, and Pfeiffer 2001 The Accounting Review Cross Sectional Growth in Long term net operating assets Fairfield, Whisenant and Yohn 2003 The Accounting Review Cross Sectional Earnings Surprise Foster, Olsen and Shevliln 1984 The Accounting Review Cross Sectional Percent Operating Accruals Hafzalla, Lundholm, and Van Winkle 2011 The Accounting Review Cross Sectional Percent Total Accruals Hafzalla, Lundholm, and Van Winkle 2011 The Accounting Review Cross Sectional Real dirty surplus Landsman et al. 2011 The Accounting Review Cross Sectional Taxable income to income Lev and Nissim 2004 The Accounting Review Cross Sectional Piotroski F score Piotroski 2000 The Accounting Review Cross Sectional Accruals Sloan 1996 The Accounting Review Cross Sectional Asset Turnover Soliman 2008 The Accounting Review Cross Sectional Change in Asset Turnover Soliman 2008 The Accounting Review Cross Sectional Change in Noncurrent Operating Assets Soliman 2008 The Accounting Review Cross Sectional Change in Net Working Capital Soliman 2008 The Accounting Review Cross Sectional Change in Profit Margin Soliman 2008 The Accounting Review Cross Sectional Profit Margin Soliman 2008 The Accounting Review Cross Sectional Abnormal Accruals Xie 2001 The Accounting Review Cross Sectional Earnings Consistency Alwathainani 2009 British Accounting Review Cross Sectional Deferred Revenue Prakash and Sinha 2012 Contemporary Accounting Research Cross Sectional Sales to price Barbee, Mukherji, and Raines 1996 Financial Analysts' Journal Cross Sectional earnings / assets Balakrishnan, Bartov, and Faurel 2010 Journal of Accounting and Economics Cross Sectional Net debt financing Bradshaw, Richardson, and Sloan 2006 Journal of Accounting and Economics Cross Sectional Net equity financing Bradshaw, Richardson, and Sloan 2006 Journal of Accounting and Economics Cross Sectional Net external financing Bradshaw, Richardson, and Sloan 2006 Journal of Accounting and Economics Cross Sectional Net Operating Assets Hirschleifer, Hou Teoh, and Zhang 2004 Journal of Accounting and Economics Cross Sectional Change in depreciation to gross PPE Holthausen Larcker 1992 Journal of Accounting and Economics Cross Sectional Change in equity to assets Richardson, Sloan Soliman and Tuna 2005 Journal of Accounting and Economics Cross Sectional Change in current operating assets Richardson, Sloan Soliman and Tuna 2005 Journal of Accounting and Economics Cross Sectional Change in current operating liabilities Richardson, Sloan Soliman and Tuna 2005 Journal of Accounting and Economics Cross Sectional Change in financial liabilities Richardson, Sloan Soliman and Tuna 2005 Journal of Accounting and Economics Cross Sectional Change in long term investment Richardson, Sloan Soliman and Tuna 2005 Journal of Accounting and Economics Cross Sectional Enterprise component of BM Penman, Richardson, and Tuna 2007 Journal of Accounting Research Cross Sectional Leverage component of BM Penman, Richardson, and Tuna 2007 Journal of Accounting Research Cross Sectional Net debt to price Penman, Richardson, and Tuna 2007 Journal of Accounting Research Cross Sectional Change in Taxes Thomas and Zhang 2011 Journal of Accounting Research Cross Sectional IPO and no R&D spending Gou, Lev, and Shi 2006 Journal of Business, Finance and Accounting Cross Sectional Change in capex (two years) Anderson and Garcia Feijoo 2006 Journal of Finance Cross Sectional Idiosyncratic risk Ang, Hodrick, Xing, and Zhang 2006 Journal of Finance Cross Sectional Junk Stock Momentum Avramov, Chordia, Jostova, and Philipov 2007 Journal of Finance Cross Sectional Maximum return over month Bali, Cakici, and Whitelaw 2010 Journal of Finance Cross Sectional Consensus Recommendation Barber, Lehavy, McNichols, and Trueman 2001 Journal of Finance Cross Sectional Down forecast EPS Barber, Lehavy, McNichols, and Trueman 2001 Journal of Finance Cross Sectional Up Forecast Barber, Lehavy, McNichols, and Trueman 2001 Journal of Finance Cross Sectional Earnings to Price Ratio Basu 1977 Journal of Finance Cross Sectional Price Blume and Husic 1972 Journal of Finance Cross Sectional Net Payout Yield Boudoukh, Michaely, Richardson, and Roberts 2007 Journal of Finance Cross Sectional Payout Yield Boudoukh, Michaely, Richardson, and Roberts 2007 Journal of Finance Cross Sectional Failure probability Campbell, Hilscher, and Szilagyi 2008 Journal of Finance Cross Sectional Earnings announcement return Chan, Jegadeesh, and Lakonishok 1996 Journal of Finance Cross Sectional Earnings forecast revisions Chan, Jegadeesh, and Lakonishok 1996 Journal of Finance Cross Sectional Advertising Expense Chan, Lakonishok, and Sougiannis 2001 Journal of Finance Cross Sectional R&D over market cap Chan, Lakonishok, and Sougiannis 2001 Journal of Finance Cross Sectional Asset Growth Cooper, Gulen and Schill 2008 Journal of Finance Cross Sectional Intangible return Daniel and Titman 2006 Journal of Finance Cross Sectional Share issuance (5 year) Daniel and Titman 2006 Journal of Finance Cross Sectional Momentum Reversal De Bondt and Thaler 1985 Journal of Finance Cross Sectional Long run reversal De Bondt and Thaler 1985 Journal of Finance Cross Sectional Exchange Switch Dharan Ikenberry 1995 Journal of Finance Cross Sectional Credit Rating Downgrade Dichev Piotroski 2001 Journal of Finance Cross Sectional EPS Forecast Dispersion Diether et al. 2002 Journal of Finance Cross Sectional Unexpected R&D increase Eberhart et al. 2004 Journal of Finance Cross Sectional Organizational Capital Eisfeldt and Papanikolaou 2013 Journal of Finance Cross Sectional Pension Funding Status Franzoni and Martin 2006 Journal of Finance Cross Sectional 52 week high George and Hwang 2004 Journal of Finance Cross Sectional Tangibility Hahn and Lee 2009 Journal of Finance Cross Sectional Industry concentration (Herfindahl) Hou and Robinson 2006 Journal of Finance Cross Sectional Momentum (12 month) Jegadeesh and Titman 1993 Journal of Finance Cross Sectional Momentum (6 month) Jegadeesh and Titman 1993 Journal of Finance Cross Sectional Change in recommendation Jegadeesh et al. 2004 Journal of Finance Cross Sectional Short term reversal Jegedeesh 1989 Journal of Finance Cross Sectional Long term EPS forecast La Porta 1996 Journal of Finance Cross Sectional Cash flow to market Lakonishok, Scheifer, and Vishny 1994 Journal of Finance Cross Sectional Revenue Growth Rank Lakonishok, Scheifer, and Vishny 1994 Journal of Finance Cross Sectional Momentum and Volume Lee Swaminathan 2000 Journal of Finance Cross Sectional Public Seasoned Equity Offerings Loughran Ritter 1995 Journal of Finance Cross Sectional Dividend Initiation Michaely et al. 1995 Journal of Finance Cross Sectional Dividend Omission Michaely et al. 1995 Journal of Finance Cross Sectional Institutional ownership interactions with anomalies Nagel 2005 Journal of Finance Cross Sectional Dividend Yield Naranjo et al. 1998 Journal of Finance Cross Sectional Share issuance (1 year) Pontiff and Woodgate 2008 Journal of Finance Cross Sectional Initial Public Offerings Ritter 1991 Journal of Finance Cross Sectional Firm Age Momentum Zhang 2004 Journal of Finance Cross Sectional Book to market Stattman 1980 The Chicago MBA Cross Sectional Bid ask spread Amihud and Mendelsohn 1986 Journal of Financial Economics Cross Sectional Institutional Ownership for stocks with high short interest Asquith, Pathak, and Ritter 2005 Journal of Financial Economics Cross Sectional Cash based operating profitability Ball, Gerakos, Linnainmaa, and Nikolaev 2016 Journal of Financial Economics Cross Sectional Size Banz 1981 Journal of Financial Economics Cross Sectional Market leverage Bhandari 1988 Journal of Financial Economics Cross Sectional Past trading volume Brennan, Chordia, and Subrahmanyam 1998 Journal of Financial Economics Cross Sectional Breadth of ownership Chen Hong Stein 2002 Journal of Financial Economics Cross Sectional Turnover volatility Chordia, Subrahmanyam, and Anshuman 2001 Journal of Financial Economics Cross Sectional Volume Variance Chordia, Subrahmanyam, and Anshuman 2001 Journal of Financial Economics Cross Sectional Conglomerate return Cohen and Lou 2012 Journal of Financial Economics Cross Sectional Spinoffs Cusatis et al. 1993 Journal of Financial Economics Cross Sectional Short Interest Dechow, Hutton, Meulbroek, and Sloan 2001 Journal of Financial Economics Cross Sectional O Score Dichev 1998 Journal of Financial Economics Cross Sectional Altman Z Score Dichev 1998 Journal of Financial Economics Cross Sectional operating profits / book equity Fama and French 2006 Journal of Financial Economics Cross Sectional Industry Momentum Grinblatt Moskowitz 1999 Journal of Financial Economics Cross Sectional Dividends Hartzmark Salomon 2013 Journal of Financial Economics Cross Sectional net income / book equity Haugen and Baker 1996 Journal of Financial Economics Cross Sectional Cash flow variance Haugen and Baker 1996 Journal of Financial Economics Cross Sectional Volume to market equity Haugen and Baker 1996 Journal of Financial Economics Cross Sectional Volume Trend Haugen and Baker 1996 Journal of Financial Economics Cross Sectional Return Seasonality Heston and Sadka 2008 Journal of Financial Economics Cross Sectional Sin Stock (selection criteria) Hong Kacperczyk 2009 Journal of Financial Economics Cross Sectional Share repurchases Ikenberry, Lakonishok and Vermaelen 1995 Journal of Financial Economics Cross Sectional Revenue Surprise Jegadeesh and Livnat 2006 Journal of Financial Economics Cross Sectional Option Volume relative to recent average Johnson So 2012 Journal of Financial Economics Cross Sectional Option Volume to Stock Volume Johnson So 2012 Journal of Financial Economics Cross Sectional Days with zero trades Liu 2006 Journal of Financial Economics Cross Sectional Intermediate Momentum Novy Marx 2012 Journal of Financial Economics Cross Sectional gross profits / total assets Novy Marx 2013 Journal of Financial Economics Cross Sectional Cash to assets Palazzo 2012 Journal of Financial Economics Cross Sectional Debt Issuance Spiess Affleck Graves 1999 Journal of Financial Economics Cross Sectional Slope of smile Yan 2011 Journal of Financial Economics Cross Sectional Amihud's illiquidity Amihud 2002 Journal of Financial Markets Cross Sectional Share Volume Datar, Naik, and Radcliffe 1998 Journal of Financial Markets Cross Sectional Enterprise Multiple Loughran and Wellman 2011 Journal of Financial and Quantitative Analysis Cross Sectional Efficient frontier index Nguyen Swanson 2009 Journal of Financial and Quantitative Analysis Cross Sectional Investment Titman, Wei, and Xie 2004 Journal of Financial and Quantitative Analysis Cross Sectional Convertible debt indicator Valta 2016 Journal of Financial and Quantitative Analysis Cross Sectional Volatility smirk Xing Zhang Zhao 2010 Journal of Financial and Quantitative Analysis Cross Sectional Stock Splits Ikenberry, Rankine, Stice 1996 Journal of Financial and Quantitative Analysis Cross Sectional Sustainable Growth Lockwood Prombutr 2010 Journal of Financial Research Cross Sectional Momentum and LT Reversal Chan and Kot 2006 Journal of Investment Management Cross Sectional Employment growth Belo, Lin, and Bazdresch 2014 Journal of Political Economy Cross Sectional CAPM beta squared Fama and MacBeth 1973 Journal of Political Economy Cross Sectional Number of consecutive earnings increases Loh Warachka 2012 Management Science Cross Sectional Governance Index Gompers, Ishii and Metrick 2003 Quarterly Journal of Economics Cross Sectional Change in Forecast and Accrual Barth and Hutton 2004 Review of Accounting Studies Cross Sectional Excluded Expenses Doyle et al. 2003 Review of Accounting Studies Cross Sectional Mohanram G score Mohanram 2005 Review of Accounting Studies Cross Sectional Order backlog Rajgopal, Shevlin and Venkatachalam 2003 Review of Accounting Studies Cross Sectional Inventory Growth Thomas and Zhang 2002 Review of Accounting Studies Cross Sectional Operating Leverage Novy Marx 2010 Review of Finance Cross Sectional Decline in Analyst Coverage Scherbina 2008 Review of Finance Cross Sectional Earnings surprise of big firms Hou 2007 Review of Financial Studies Cross Sectional Industry return of big firms Hou 2007 Review of Financial Studies Cross Sectional Price delay Hou and Moskowitz 2005 Review of Financial Studies Cross Sectional Tail risk beta Kelly and Jiang 2014 Review of Financial Studies Cross Sectional Kaplan Zingales index Lamont, Polk, and Saa Requejo 2001 Review of Financial Studies Cross Sectional Growth in advertising expenses Lou 2014 Review of Financial Studies Cross Sectional Composite debt issuance Lyandres, Sun and Zhang 2008 Review of Financial Studies Cross Sectional Real estate holdings Tuzel 2010 Review of Financial Studies Cross Sectional Book to market and accruals Bartov and Kim 2004 Review of Quantitative Finance and Accounting Cross Sectional Weekend Effect Smirlock and Starks 1986 Journal of Financial Economics Time Series January Effect Keims 1985 Journal of Financial Economics Time Series Turn of the Month Effect Agrawal and Tandon 1994 Journal of International Money and Finance Time Series