Value Uncertainty

References

• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Marketing 5(1):31–56.Crossref, Google Scholar
• Ang A, Hodrick R, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.Crossref, Google Scholar
• Asness C, Friedman J, Krail R, Liew J (2000) Style timing: Value vs. growth. J. Portfolio Management 26(3):50–60.Crossref, Google Scholar
• Atmaz A, Basak S (2018) Belief dispersion in the stock market. J. Finance 73(3):1225–1279.Crossref, Google Scholar
• Avramov D, Chordia T, Jostova G, Philipov A (2009) Dispersion in analysts’ earnings forecasts and credit rating. J. Financial Econom. 91(1):83–101.Crossref, Google Scholar
• Bali T, Del Viva L, Lambertides N, Trigeorgis L (2020) Growth options and related stock market anomalies: Profitability, distress, lotteryness, and volatility. J. Financial Quant. Anal. 55(7):2150–2180.Crossref, Google Scholar
• Berkman H, Dimitrov V, Jain PC, Koch PD, Tice S (2009) Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements. J. Financial Econom. 92(3):376–399.Crossref, Google Scholar
• Campbell J, Shiller R (1988) The dividend-price ratio and expectations of future dividends and discount factors. Rev. Financial Stud. 1(3):195–228.Crossref, Google Scholar
• Carhart M (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
• Carlin B, Longstaff F, Matoba K (2014) Disagreement and asset prices. J. Financial Econom. 114(2):226–238.Crossref, Google Scholar
• Chen J, Hong H, Stein J (2002) Breadth of ownership and stock returns. J. Financial Econom. 66(2–3):171–205.Crossref, Google Scholar
• Cochrane J (1992) Explaining the variance of price-dividend ratios. Rev. Financial Stud. 5(2):243–280.Crossref, Google Scholar
• Cohen R, Polk C, Vuolteenaho T (2003) The value spread. J. Finance 58(2):609–642.Crossref, Google Scholar
• Cooper I (2006) Asset pricing implications of nonconvex adjustment costs and irreversibility of investment. J. Finance 61(1):139–170.Crossref, Google Scholar
• Corwin SA, Schultz P (2012) A simple way to estimate bid-ask spreads from daily high and low prices. J. Finance 67(2):719–760.Crossref, Google Scholar
• Cragg J, Malkiel B (1982) Expectations and the Structure of Share Prices. National Bureau of Economic Research Monograph, The University of Chicago Press.Google Scholar
• Daniel K, Titman S (2006) Market reactions to tangible and intangible information. J. Finance 61(4):1605–1643.Crossref, Google Scholar
• Daniel K, Hirshleifer D, Sun L (2020) Short- and long-horizon behavioral factors. Rev. Financial Stud. 33(4):1673–1736.Crossref, Google Scholar
• De Bondt WF, Thaler R (1985) Does the stock-market overreact? J. Finance 40(3):793–805.Crossref, Google Scholar
• De Bondt WF, Thaler R (1987) Further evidence on investor overreaction and stock market seasonality. J. Finance 42(3):557–581.Crossref, Google Scholar
• Diether K, Malloy C, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57(5):2113–2141.Crossref, Google Scholar
• Dimson E (1979) Risk measurement when shares are subject to infrequent trading. J. Financial Econom. 7(2):197–226.Crossref, Google Scholar
• Doukas JA, Kim CF, Pantzalis C (2006) Divergence of opinion and equity returns. J. Financial Quant. Anal. 41(3):573–606.Crossref, Google Scholar
• Fama E, French K (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
• Fama E, French K (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
• Fama E, French K (1995) Size and book-to-market factors in earnings and returns. J. Finance 50(1):131–155.Crossref, Google Scholar
• Fama E, French K (2006a) Profitability, investment and average returns. J. Financial Econom. 82(3):491–518.Crossref, Google Scholar
• Fama E, French K (2006b) The value premium and the CAPM. J. Finance 61(5):2163–2185.Crossref, Google Scholar
• Fama E, French K (2008) Dissecting anomalies. J. Finance 63(4):1653–1678.Crossref, Google Scholar
• Fama E, French K (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
• Fama E, MacBeth J (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
• Fama EF, French KR (2018) Choosing factors. J. Financial Econom. 128(2):234–252.Crossref, Google Scholar
• Goetzmann W, Massa M (2005) Dispersion of opinion and stock returns. J. Financial Marketing 8(3):324–349.Crossref, Google Scholar
• Grullon G, Lyandres E, Zhdanov A (2012) Real options, volatility, and stock returns. J. Finance 67(4):1499–1537.Crossref, Google Scholar
• Hong H, Stein J (2007) Disagreement and the stock market. J. Econom. Perspectives 21(2):109–128.Crossref, Google Scholar
• Hou K, Xue C, Zhang L (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.Crossref, Google Scholar
• Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
• Johnson TC (2004) Forecast dispersion and the cross section of expected returns. J. Finance 59(5):1957–1978.Crossref, Google Scholar
• Jones JJ (1991) Earnings management during import relief investigations. J. Accounting Res. 29(2):193–228.Crossref, Google Scholar
• Kothari S, Shanken J, Sloan R (1995) Another look at the cross-section of expected stock returns. J. Finance 50(1):185–224.Crossref, Google Scholar
• Lakonishok J, Shleifer A, Vishny R (1994) Contrarian investment, extrapolation, and risk. J. Finance 49(5):1541–1578.Crossref, Google Scholar
• Loughran T (1997) Book-to-market across firm size, exchange, and seasonality: Is there an effect? J. Financial Quant. Anal. 32(3):249–268.Crossref, Google Scholar
• Luchman JN (2021) Determining relative importance in STATA using dominance analysis: domin and domme. Stata J. 21(2):510–538.Crossref, Google Scholar
• Lyle MR (2019) Information quality, growth options, and average future stock returns. Accounting Rev. 94(1):271–298.Crossref, Google Scholar
• Miller E (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151–1168.Crossref, Google Scholar
• Newey W, West K (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
• Novy-Marx R (2013) The other side of value: The gross profitability premium. J. Financial Econ. 108(1):1–28.Crossref, Google Scholar
• Park C (2005) Stock return predictability and the dispersion in earnings forecasts. J. Bus. 78(6):2351–2376.Crossref, Google Scholar
• Pástor L, Stambaugh R (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.Crossref, Google Scholar
• Pástor L, Veronesi P (2003) Stock valuation and learning about profitability. J. Finance 58(5):1749–1789.Crossref, Google Scholar
• Piotroski JD, So EC (2012) Identifying expectation errors in value/glamour strategies: A fundamental analysis approach. Rev. Financial Stud. 25(9):2841–2875.Crossref, Google Scholar
• Qu S, Starks L, Yan H (2003) Risk, dispersion of analyst forecasts and stock returns. Working paper, University of Texas at Austin, 1–33.Google Scholar
• Scholes M, Williams J (1977) Estimating betas from nonsynchronous data. J. Financial Econom. 5(3):309–327.Crossref, Google Scholar
• Stambaugh RF, Yuan Y (2017) Mispricing factors. Rev. Financial Stud. 30(4):1270–1315.Crossref, Google Scholar
• Vuolteenaho T (2002) What drives firm-level stock returns? J. Finance 57(1):233–264.Crossref, Google Scholar
• Yu J (2011) Disagreement and return predictability of stock portfolios. J. Financial Econom. 99(1):162–183.Crossref, Google Scholar
• Zhang L (2005) The value premium. J. Finance 60(1):67–103.Crossref, Google Scholar