Can Noise Create Size and Value Effects?-Reference-Cited by-同舟云学术

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Can Noise Create Size and Value Effects?

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Arnott Robert D.,Hsu Jason C.,Liu Jun,Markowitz Harry

Publisher

Elsevier BV

Reference53 articles.

1. Measuring Value Relevance in a (possibly) Inefficient Market;David Aboody;Journal of Accounting Research,2002

2. Risk, Return, and Dividends;Andrew Ang;Journal of Financial Economics,2006

3. What Cost Noise?;Robert D Arnott;Financial Analysts Journal, v61,2005

4. Disentangling Size and Value;Robert D Arnott;Financial Analysts Journal, v61,2005

5. Noise, Capm and the Size and Value Effects

Cited by 10 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Duality of Value and Mean Reversion;Portfolio Construction, Measurement, and Efficiency;2016-09-24

2. Understanding Rebalancing and Portfolio Reconstitution;SSRN Electronic Journal;2015

3. Risk Aversion, Noise and Optimal Investments;SSRN Electronic Journal;2015

4. Noisy information and the size effect in stock returns;Annals of Finance;2014-05-01

5. Mispricing, Idiosyncratic Risk, and the Cross-Section of Stock Returns;SSRN Electronic Journal;2013

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