SSRN Electronic Journal · 2011 · 49 citations · 30 references
BusinessEconomicsFinanceCorporate FinanceFinancial EconomicsFinancial MarketsAsset Return ModelingCapital MarketsEquity MarketsInvestmentStock MarketsTrading StrategiesCumulative Abnormal ReturnsPrice MomentumPrice ReversalsReturn MomentumReturn ReversalStandardized Abnormal Returns
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Illiquidity and stock returns: cross-section and time-series effects
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The Behavior of Stock-Market Prices
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Andrew Ang, Robert J. Hodrick, Yuhang Xing et al. · The Journal of Finance · 2006 · 4.8K citations