Expected Return Anomalies is an empirical phenomenon in asset pricing theory wherein certain securities or portfolios exhibit systematically higher or lower average returns than predicted by prevailing asset pricing models after controlling for risk factors.
58
Publications
5.5K
Citations
99
Authors
100
Institutions
Publications per year
2017–2026
15
Variants
Return Anomalies
Parents
Publications
58
Competing Theories of Financial Anomalies
Alon Brav, J.B. Heaton · Review of Financial Studies · 2002 · 475 citations
The Conditional CAPM Does Not Explain Asset-pricing Anomalies
Jonathan Lewellen, Stefan Nagel · SSRN Electronic Journal · 2003 · 373 citations · Full text
An Alternative Three-Factor Model
Long Chen, Robert Novy‐Marx, Lu Zhang · SSRN Electronic Journal · 2011 · 349 citations · Full text
1–5 of 58
Authors
99
- RM
3
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- LZ
3
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- OI
3
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- AY
3
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- GB
3
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1–5 of 99
Institutions
100
National Bureau of Economic Research
Cambridge, United States
8 h-index
11 publications
1.8K citations
Duke University
Durham, United States
4 h-index
4 publications
1.2K citations
University of South Carolina
Columbia, United States
4 h-index
4 publications
507 citations
Centre for Economic Policy Research
London, United Kingdom
4 h-index
4 publications
521 citations
Virginia Tech
Blacksburg, United States
3 h-index
5 publications
552 citations
Federal Reserve
Washington D.C., United States
3 h-index
3 publications
154 citations
University of Chicago
Chicago, United States
3 h-index
3 publications
525 citations
Federal Reserve Board of Governors
Washington D.C., United States
3 h-index
3 publications
154 citations
1–8 of 100
Venues
- SSRN Electronic Journal
Repository · 16 publications · 1.2K citations
12
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- The Journal of Finance
5 publications · 1K citations
5
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- Journal of Financial Economics
5 publications · 1.1K citations
5
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- Journal of Banking & Finance
4 publications · 243 citations
4
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- Pacific-Basin Finance Journal
3 publications · 66 citations
3
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1–5