References

Abarbanell, Jeffery S, William N Lanen, and Robert E Verrecchia. 1995. “Analysts’ Forecasts as Proxies for Investor Beliefs in Empirical Research.” Journal of Accounting and Economics 20 (1): 31–60.
Abel, Andrew B. 1983. “Optimal Investment Under Uncertainty.” The American Economic Review 73 (1): 228–33.
Abel, Andrew B, and Janice C Eberly. 1994. “A Unified Model of Investment Under Uncertainty.” American Economic Review 84 (5).
Abel, Andrew B, and Frederic S Mishkin. 1983. “An Integrated View of Tests of Rationality, Market Efficiency and the Short-Run Neutrality of Monetary Policy.” Journal of Monetary Economics 11 (1): 3–24.
Acemoglu, Daron, Asuman Ozdaglar, and Alireza Tahbaz-Salehi. 2015. “Systemic Risk and Stability in Financial Networks.” American Economic Review 105 (2): 564–608.
Acharya, Viral V, and Lasse Heje Pedersen. 2005. “Asset Pricing with Liquidity Risk.” Journal of Financial Economics 77 (2): 375–410.
Aggarwal, Reena, Isil Erel, Miguel Ferreira, and Pedro Matos. 2011. “Does Governance Travel Around the World? Evidence from Institutional Investors.” Journal of Financial Economics 100 (1): 154–81.
Aharony, Joseph, and Itzhak Swary. 1980. “Quarterly Dividend and Earnings Announcements and Stockholders’ Returns: An Empirical Analysis.” The Journal of Finance 35 (1): 1–12.
Alayrac, Jean-Baptiste, Jeff Donahue, Pauline Luc, Antoine Miech, Iain Barr, Yana Hasson, Karel Lenc, et al. 2022. “Flamingo: A Visual Language Model for Few-Shot Learning.” Advances in Neural Information Processing Systems 35: 23716–36.
Alexander, Gordon J, Gjergji Cici, and Scott Gibson. 2007. “Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds.” The Review of Financial Studies 20 (1): 125–50.
Alexandridis, George, Antonios Antoniou, and Dimitris Petmezas. 2007. “Divergence of Opinion and Post-Acquisition Performance.” Journal of Business Finance & Accounting 34 (3-4): 439–60.
Allen, Franklin, and Douglas Gale. 2000. “Financial Contagion.” Journal of Political Economy 108 (1): 1–33.
Almgren, Robert, and Neil Chriss. 2001. “Optimal Execution of Portfolio Transactions.” Journal of Risk 3: 5–40.
Altman, Edward I. 1968. “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy.” The Journal of Finance 23 (4): 589–609.
Altman, Edward I, and Edith Hotchkiss. 2010. Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt. Vol. 289. John Wiley & Sons.
Amihud, Yakov. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.” Journal of Financial Markets 5 (1): 31–56.
Amihud, Yakov, and Haim Mendelson. 1986. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics 17 (2): 223–49.
Anderson, Anne-Marie, and Edward A Dyl. 2005. “Market Structure and Trading Volume.” Journal of Financial Research 28 (1): 115–31.
Anderson, Kirsten L, Jeffrey H Harris, and Eric C So. 2007. “Opinion Divergence and Post-Earnings Announcement Drift.” Available at SSRN 969736.
Andrade, Gregor, Mark Mitchell, and Erik Stafford. 2001. “New Evidence and Perspectives on Mergers.” Journal of Economic Perspectives 15 (2): 103–20.
Ang, Andrew, and Joseph Chen. 2002. “Asymmetric Correlations of Equity Portfolios.” Journal of Financial Economics 63 (3): 443–94.
Ang, Andrew, Robert J Hodrick, Yuhang Xing, and Xiaoyan Zhang. 2006. “The Cross-Section of Volatility and Expected Returns.” The Journal of Finance 61 (1): 259–99.
Arnott, Robert D, Jason Hsu, and Philip Moore. 2005. “Fundamental Indexation.” Financial Analysts Journal 61 (2): 83–99.
Artzner, Philippe, Freddy Delbaen, Jean-Marc Eber, and David Heath. 1999. “Coherent Measures of Risk.” Mathematical Finance 9 (3): 203–28.
Atiase, Rowland Kwame. 1985. “Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements.” Journal of Accounting Research, 21–36.
Baek, Jeonghun, Geewook Kim, Junyeop Lee, Sungrae Park, Dongyoon Han, Sangdoo Yun, Seong Joon Oh, and Hwalsuk Lee. 2019. “What Is Wrong with Scene Text Recognition Model Comparisons? Dataset and Model Analysis.” In Proceedings of the IEEE/CVF International Conference on Computer Vision, 4715–23.
Baker, Malcolm, Jeremy C Stein, and Jeffrey Wurgler. 2003. “When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms.” The Quarterly Journal of Economics 118 (3): 969–1005.
Baker, Malcolm, and Jeffrey Wurgler. 2002. “Market Timing and Capital Structure.” The Journal of Finance 57 (1): 1–32.
Bali, Turan G, Robert F Engle, and Scott Murray. 2016b. Empirical Asset Pricing: The Cross Section of Stock Returns. John Wiley & Sons.
———. 2016a. Empirical asset pricing: The cross section of stock returns. John Wiley & Sons. https://doi.org/10.1002/9781118445112.stat07954.
Ball, Ray, and Philip Brown. 2013. “An Empirical Evaluation of Accounting Income Numbers.” In Financial Accounting and Equity Markets, 27–46. Routledge.
Ball, Ray, Ashok Robin, and Joanna Shuang Wu. 2003. “Incentives Versus Standards: Properties of Accounting Income in Four East Asian Countries.” Journal of Accounting and Economics 36 (1-3): 235–70.
Ball, Ray, and Lakshmanan Shivakumar. 2008. “How Much New Information Is There in Earnings?” Journal of Accounting Research 46 (5): 975–1016.
Baltrušaitis, Tadas, Chaitanya Ahuja, and Louis-Philippe Morency. 2018. “Multimodal Machine Learning: A Survey and Taxonomy.” IEEE Transactions on Pattern Analysis and Machine Intelligence 41 (2): 423–43.
Bamber, Linda Smith, Theodore E Christensen, and Kenneth M Gaver. 2000. “Do We Really ‘Know’what We Think We Know? A Case Study of Seminal Research and Its Subsequent Overgeneralization.” Accounting, Organizations and Society 25 (2): 103–29.
Banerjee, Abhijit V. 1992. “A Simple Model of Herd Behavior.” The Quarterly Journal of Economics 107 (3): 797–817.
Bao Dinh, Ngoc, and Van Nguyen Hong Tran. 2024. “Institutional Ownership and Stock Liquidity: Evidence from an Emerging Market.” SAGE Open 14 (1): 21582440241239116.
Barber, Brad M, Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean. 2009. “Just How Much Do Individual Investors Lose by Trading?” The Review of Financial Studies 22 (2): 609–32.
Barber, Brad M, and John D Lyon. 1997. “Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics.” Journal of Financial Economics 43 (3): 341–72.
Barberis, Nicholas, Andrei Shleifer, and Robert Vishny. 1998. “A Model of Investor Sentiment.” Journal of Financial Economics 49 (3): 307–43.
Barillas, Francisco, and Jay Shanken. 2018. “Comparing Asset Pricing Models.” The Journal of Finance 73 (2): 715–54.
Barth, Mary E, Wayne R Landsman, and Mark H Lang. 2008. “International Accounting Standards and Accounting Quality.” Journal of Accounting Research 46 (3): 467–98.
Beaver, William H. 1968. “The Information Content of Annual Earnings Announcements.” Journal of Accounting Research, 67–92.
Bebchuk, Lucian A. 1999. “A Rent-Protection Theory of Corporate Ownership and Control.” National Bureau of Economic Research Cambridge, Mass., USA.
Bebchuk, Lucian A, Alma Cohen, and Charles CY Wang. 2013. “Learning and the Disappearing Association Between Governance and Returns.” Journal of Financial Economics 108 (2): 323–48.
Bebchuk, Lucian, Alma Cohen, and Allen Ferrell. 2009. “What Matters in Corporate Governance?” The Review of Financial Studies 22 (2): 783–827.
Bekaert, Geert, and Campbell R Harvey. 1995. “Time-Varying World Market Integration.” The Journal of Finance 50 (2): 403–44.
———. 2002. “Research in Emerging Markets Finance: Looking to the Future.” Emerging Markets Review 3 (4): 429–48.
Bekaert, Geert, Campbell R Harvey, and Christian Lundblad. 2005. “Does Financial Liberalization Spur Growth?” Journal of Financial Economics 77 (1): 3–55.
Ben-David, ITZHAK, Francesco Franzoni, Augustin Landier, and Rabih Moussawi. 2013. “Do Hedge Funds Manipulate Stock Prices?” The Journal of Finance 68 (6): 2383–2434.
Ben-David, Itzhak, Francesco Franzoni, and Rabih Moussawi. 2012. “Hedge Fund Stock Trading in the Financial Crisis of 2007–2009.” The Review of Financial Studies 25 (1): 1–54.
Benjamini, Yoav, and Yosef Hochberg. 1995. “Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing.” Journal of the Royal Statistical Society: Series B (Methodological) 57 (1): 289–300.
Benveniste, Lawrence M, and Paul A Spindt. 1989. “How Investment Bankers Determine the Offer Price and Allocation of New Issues.” Journal of Financial Economics 24 (2): 343–61.
Berkman, Henk, Valentin Dimitrov, Prem C Jain, Paul D Koch, and Sheri Tice. 2009. “Sell on the News: Differences of Opinion, Short-Sales Constraints, and Returns Around Earnings Announcements.” Journal of Financial Economics 92 (3): 376–99.
Bernard, Victor L, and Jacob K Thomas. 1989. “Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?” Journal of Accounting Research 27: 1–36.
Berry, Steven, James Levinsohn, and Ariel Pakes. 1995. “Automobile Prices in Market Equilibrium.” Econometrica 63 (4): 841–90.
Bessembinder, Hendrik. 2003. “Trade Execution Costs and Market Quality After Decimalization.” Journal of Financial and Quantitative Analysis 38 (4): 747–77.
Beyer, Anne, Daniel A Cohen, Thomas Z Lys, and Beverly R Walther. 2010. “The Financial Reporting Environment: Review of the Recent Literature.” Journal of Accounting and Economics 50 (2-3): 296–343.
Bhattacharya, Sudipto. 1979. “Imperfect Information, Dividend Policy, and" the Bird in the Hand" Fallacy.” The Bell Journal of Economics, 259–70.
Bhattacharya, Utpal, Hazem Daouk, Brian Jorgenson, and Carl-Heinrich Kehr. 2000. “When an Event Is Not an Event: The Curious Case of an Emerging Market.” Journal of Financial Economics 55 (1): 69–101.
Biddle, Gary C, Gilles Hilary, and Rodrigo S Verdi. 2009. “How Does Financial Reporting Quality Relate to Investment Efficiency?” Journal of Accounting and Economics 48 (2-3): 112–31.
Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch. 1992. “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades.” Journal of Political Economy 100 (5): 992–1026.
Binder, John. 1998. “The Event Study Methodology Since 1969.” Review of Quantitative Finance and Accounting 11 (2): 111–37.
Bizjak, John M, Michael L Lemmon, and Lalitha Naveen. 2008. “Does the Use of Peer Groups Contribute to Higher Pay and Less Efficient Compensation?” Journal of Financial Economics 90 (2): 152–68.
Blei, David M, Andrew Y Ng, and Michael I Jordan. 2003. “Latent Dirichlet Allocation.” Journal of Machine Learning Research 3 (Jan): 993–1022.
Boehme, Rodney D, Bartley R Danielsen, and Sorin M Sorescu. 2006. “Short-Sale Constraints, Differences of Opinion, and Overvaluation.” Journal of Financial and Quantitative Analysis 41 (2): 455–87.
Boehmer, Ekkehart, Jim Masumeci, and Annette B Poulsen. 1991. “Event-Study Methodology Under Conditions of Event-Induced Variance.” Journal of Financial Economics 30 (2): 253–72.
Bollen, Nicolas PB, Tom Smith, and Robert E Whaley. 2004. “Modeling the Bid/Ask Spread: Measuring the Inventory-Holding Premium.” Journal of Financial Economics 72 (1): 97–141.
Bollerslev, Tim. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 31 (3): 307–27.
Bond, Philip, Alex Edmans, and Itay Goldstein. 2012. “The Real Effects of Financial Markets.” Annu. Rev. Financ. Econ. 4 (1): 339–60.
Bond, Stephen, Julie Ann Elston, Jacques Mairesse, and Benoı̂t Mulkay. 2003. “Financial Factors and Investment in Belgium, France, Germany, and the United Kingdom: A Comparison Using Company Panel Data.” Review of Economics and Statistics 85 (1): 153–65.
Bonferroni, Carlo. 1936. “Teoria Statistica Delle Classi e Calcolo Delle Probabilita.” Pubblicazioni Del R Istituto Superiore Di Scienze Economiche e Commericiali Di Firenze 8: 3–62.
Bonsall IV, Samuel B, Andrew J Leone, Brian P Miller, and Kristina Rennekamp. 2017. “A Plain English Measure of Financial Reporting Readability.” Journal of Accounting and Economics 63 (2-3): 329–57.
Botosan, Christine A. 1997. “Disclosure Level and the Cost of Equity Capital.” Accounting Review, 323–49.
Botosan, Christine A, and Marlene A Plumlee. 2002. “A Re-Examination of Disclosure Level and the Expected Cost of Equity Capital.” Journal of Accounting Research 40 (1): 21–40.
Brennan, Michael J. 1986. “A Theory of Price Limits in Futures Markets.” Journal of Financial Economics 16 (2): 213–33.
Brown, Stephen J, and Jerold B Warner. 1980. “Measuring Security Price Performance.” Journal of Financial Economics 8 (3): 205–58.
———. 1985. “Using Daily Stock Returns: The Case of Event Studies.” Journal of Financial Economics 14 (1): 3–31.
Brunnermeier, Markus K. 2009. “Deciphering the Liquidity and Credit Crunch 2007–2008.” Journal of Economic Perspectives 23 (1): 77–100.
Brunnermeier, Markus K, Stefan Nagel, and Lasse H Pedersen. 2008. “Carry Trades and Currency Crashes.” NBER Macroeconomics Annual 23 (1): 313–48.
Brunnermeier, Markus K, and Lasse Heje Pedersen. 2009. “Market Liquidity and Funding Liquidity.” The Review of Financial Studies 22 (6): 2201–38.
Burgstahler, David, and Ilia Dichev. 1997. “Earnings Management to Avoid Earnings Decreases and Losses.” Journal of Accounting and Economics 24 (1): 99–126.
Bushman, Robert, Qi Chen, Ellen Engel, and Abbie Smith. 2004. “Financial Accounting Information, Organizational Complexity and Corporate Governance Systems.” Journal of Accounting and Economics 37 (2): 167–201.
Bybee, Leland, Bryan Kelly, and Yinan Su. 2023. “Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text.” The Review of Financial Studies 36 (12): 4759–87.
Cai, Ye, Dan S Dhaliwal, Yongtae Kim, and Carrie Pan. 2014. “Board Interlocks and the Diffusion of Disclosure Policy.” Review of Accounting Studies 19 (3): 1086–1119.
Campbell, John Y, Andrew W Lo, A Craig MacKinlay, and Robert F Whitelaw. 1998. “The Econometrics of Financial Markets.” Macroeconomic Dynamics 2 (4): 559–62.
Campbell, John Y, Karine Serfaty-De Medeiros, and Luis M Viceira. 2010. “Global Currency Hedging.” The Journal of Finance 65 (1): 87–121.
Carhart, Mark M. 1997a. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82.
Carhart, Mark M. 1997b. On persistence in mutual fund performance.” The Journal of Finance 52 (1): 57–82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x.
Chambers, Anne E, and Stephen H Penman. 1984. “Timeliness of Reporting and the Stock Price Reaction to Earnings Announcements.” Journal of Accounting Research, 21–47.
Chan, Kalok, Allaudeen Hameed, and Wilson Tong. 2000. “Profitability of Momentum Strategies in the International Equity Markets.” Journal of Financial and Quantitative Analysis, 153–72.
Chatterjee, Sris, Kose John, and An Yan. 2012. “Takeovers and Divergence of Investor Opinion.” The Review of Financial Studies 25 (1): 227–77.
Chen, Andrew, and Tom Zimmermann. 2022. “Open Source Cross-Sectional Asset Pricing.” > Critical Finance Review 11 (02): 207–64.
Chen, Hsiu-Lang, Narasimhan Jegadeesh, and Russ Wermers. 2000. “The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers.” Journal of Financial and Quantitative Analysis 35 (3): 343–68.
Chen, Joseph, Harrison Hong, and Jeremy C Stein. 2001. “Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices.” Journal of Financial Economics 61 (3): 345–81.
———. 2002. “Breadth of Ownership and Stock Returns.” Journal of Financial Economics 66 (2-3): 171–205.
Cheong, Foong Soon, and Jacob Thomas. 2011. “Why Do EPS Forecast Error and Dispersion Not Vary with Scale? Implications for Analyst and Managerial Behavior.” Journal of Accounting Research 49 (2): 359–401.
Cho, David D, Jeffrey Russell, George C Tiao, and Ruey Tsay. 2003. “The Magnet Effect of Price Limits: Evidence from High-Frequency Data on Taiwan Stock Exchange.” Journal of Empirical Finance 10 (1-2): 133–68.
Choe, Hyuk, Bong-Chan Kho, and René M Stulz. 2005. “Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea.” The Review of Financial Studies 18 (3): 795–829.
Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam. 2000. “Commonality in Liquidity.” Journal of Financial Economics 56 (1): 3–28.
———. 2001. “Market Liquidity and Trading Activity.” The Journal of Finance 56 (2): 501–30.
Choueifaty, Yves. 2008. “Towards Maximum Diversification.” Available at SSRN 4063676.
Christoffersen, Peter F. 1998. “Evaluating Interval Forecasts.” International Economic Review, 841–62.
Chu, Xiaojun, and Jianying Qiu. 2019. “Forecasting Volatility with Price Limit Hits—Evidence from Chinese Stock Market.” Emerging Markets Finance and Trade 55 (5): 1034–50.
Chui, Andy CW, Sheridan Titman, and KC John Wei. 2010. “Individualism and Momentum Around the World.” The Journal of Finance 65 (1): 361–92.
Chung, Kee H, and Stephen W Pruitt. 1994. “A Simple Approximation of Tobin’s q.” Financial Management, 70–74.
Chung, Kee H, and Hao Zhang. 2014. “A Simple Approximation of Intraday Spreads Using Daily Data.” Journal of Financial Markets 17: 94–120.
Claessens, Stijn, Simeon Djankov, Joseph PH Fan, and Larry HP Lang. 2002. “Disentangling the Incentive and Entrenchment Effects of Large Shareholdings.” The Journal of Finance 57 (6): 2741–71.
Claessens, Stijn, Simeon Djankov, and Larry HP Lang. 2000. “The Separation of Ownership and Control in East Asian Corporations.” Journal of Financial Economics 58 (1-2): 81–112.
Clarke, Roger, Harindra De Silva, and Steven Thorley. 2011. “Minimum-Variance Portfolio Composition.” Journal of Portfolio Management 37 (2): 31.
Coad, Alex, Jacob Rubæk Holm, Jackie Krafft, and Francesco Quatraro. 2018. “Firm Age and Performance.” Journal of Evolutionary Economics 28 (1): 1–11.
Cochrane, John H. 1991. “Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations.” The Journal of Finance 46 (1): 209–37.
———. 2011. “Presidential Address: Discount Rates.” The Journal of Finance 66 (4): 1047–1108.
Cohen, Daniel A, Aiyesha Dey, and Thomas Z Lys. 2008. “Real and Accrual-Based Earnings Management in the Pre-and Post-Sarbanes-Oxley Periods.” The Accounting Review 83 (3): 757–87.
Cohen, Lauren, and Andrea Frazzini. 2008. “Economic Links and Predictable Returns.” The Journal of Finance 63 (4): 1977–2011.
Comerton-Forde, Carole, and Kar Mei Tang. 2009. “Anonymity, Liquidity and Fragmentation.” Journal of Financial Markets 12 (3): 337–67.
Cont, Rama. 2001. “Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues.” Quantitative Finance 1 (2): 223.
Cooper, Michael J, Huseyin Gulen, and Michael J Schill. 2008. “Asset Growth and the Cross-Section of Stock Returns.” The Journal of Finance 63 (4): 1609–51.
Cooper, Michael J, Roberto C Gutierrez Jr, and Allaudeen Hameed. 2004. “Market States and Momentum.” The Journal of Finance 59 (3): 1345–65.
Corrado, Charles J. 1989. “A Nonparametric Test for Abnormal Security-Price Performance in Event Studies.” Journal of Financial Economics 23 (2): 385–95.
Corwin, Shane A, and Paul Schultz. 2012. “A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices.” The Journal of Finance 67 (2): 719–60.
Coval, Joshua, and Erik Stafford. 2007. “Asset Fire Sales (and Purchases) in Equity Markets.” Journal of Financial Economics 86 (2): 479–512.
Cowan, Arnold Richard. 1992. “Nonparametric Event Study Tests.” Review of Quantitative Finance and Accounting 2 (4): 343–58.
Cremers, KJ Martijn, and Vinay B Nair. 2005. “Governance Mechanisms and Equity Prices.” The Journal of Finance 60 (6): 2859–94.
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam. 1998. “Investor Psychology and Security Market Under-and Overreactions.” The Journal of Finance 53 (6): 1839–85.
Daniel, Kent, and Tobias J Moskowitz. 2016. “Momentum Crashes.” Journal of Financial Economics 122 (2): 221–47.
Daniel, Kent, and Sheridan Titman. 1997. “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns.” The Journal of Finance 52 (1): 1–33.
Datar, Vinay T, Narayan Y Naik, and Robert Radcliffe. 1998. “Liquidity and Stock Returns: An Alternative Test.” Journal of Financial Markets 1 (2): 203–19.
DeAngelo, Linda Elizabeth. 1986. “Accounting Numbers as Market Valuation Substitutes: A Study of Management Buyouts of Public Stockholders.” Accounting Review, 400–420.
Dechow, Patricia M, Richard G Sloan, and Amy P Sweeney. 1995. “Detecting Earnings Management.” Accounting Review, 193–225.
Dechow, Patricia, Weili Ge, and Catherine Schrand. 2010. “Understanding Earnings Quality: A Review of the Proxies, Their Determinants and Their Consequences.” Journal of Accounting and Economics 50 (2-3): 344–401.
DellaVigna, Stefano, and Joshua M Pollet. 2009. “Investor Inattention and Friday Earnings Announcements.” The Journal of Finance 64 (2): 709–49.
Demarta, Stefano, and Alexander J McNeil. 2005. “The t Copula and Related Copulas.” International Statistical Review 73 (1): 111–29.
DeMiguel, Victor, Lorenzo Garlappi, and Raman Uppal. 2009. “Optimal Versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy?” The Review of Financial Studies 22 (5): 1915–53.
Devlin, Jacob, Ming-Wei Chang, Kenton Lee, and Kristina Toutanova. 2019. “Bert: Pre-Training of Deep Bidirectional Transformers for Language Understanding.” In Proceedings of the 2019 Conference of the North American Chapter of the Association for Computational Linguistics: Human Language Technologies, Volume 1 (Long and Short Papers), 4171–86.
Diamond, Douglas W. 1985. “Optimal Release of Information by Firms.” The Journal of Finance 40 (4): 1071–94.
Diamond, Douglas W, and Robert E Verrecchia. 1991. “Disclosure, Liquidity, and the Cost of Capital.” The Journal of Finance 46 (4): 1325–59.
Diebold, Francis X, and Robert S Mariano. 2002. “Comparing Predictive Accuracy.” Journal of Business & Economic Statistics 20 (1): 134–44.
Diebold, Francis X, and Kamil Yılmaz. 2014. “On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.” Journal of Econometrics 182 (1): 119–34.
Diether, Karl B, Christopher J Malloy, and Anna Scherbina. 2002. “Differences of Opinion and the Cross Section of Stock Returns.” The Journal of Finance 57 (5): 2113–41.
Dimson, Elroy. 1979. “Risk Measurement When Shares Are Subject to Infrequent Trading.” Journal of Financial Economics 7 (2): 197–226.
Donaldson, Dave. 2018. “Railroads of the Raj: Estimating the Impact of Transportation Infrastructure.” American Economic Review 108 (4-5): 899–934.
Dornbusch, Rudiger. 1976. “Expectations and Exchange Rate Dynamics.” Journal of Political Economy 84 (6): 1161–76.
Dosovitskiy, Alexey, Lucas Beyer, Alexander Kolesnikov, Dirk Weissenborn, Xiaohua Zhai, Thomas Unterthiner, Mostafa Dehghani, et al. 2020. “An Image Is Worth 16x16 Words: Transformers for Image Recognition at Scale.” arXiv Preprint arXiv:2010.11929.
Doukas, John A, Chansog Francis Kim, and Christos Pantzalis. 2006. “Divergence of Opinion and Equity Returns.” Journal of Financial and Quantitative Analysis 41 (3): 573–606.
Doukas, John A, Chansog Kim, and Christos Pantzalis. 2004. “Divergent Opinions and the Performance of Value Stocks.” Financial Analysts Journal 60 (6): 55–64.
Du, Wenxin, Alexander Tepper, and Adrien Verdelhan. 2018. “Deviations from Covered Interest Rate Parity.” The Journal of Finance 73 (3): 915–57.
Dumas, Bernard, and Bruno Solnik. 1995. “The World Price of Foreign Exchange Risk.” The Journal of Finance 50 (2): 445–79.
Dyer, Travis, Mark Lang, and Lorien Stice-Lawrence. 2017. “The Evolution of 10-k Textual Disclosure: Evidence from Latent Dirichlet Allocation.” Journal of Accounting and Economics 64 (2-3): 221–45.
Easley, David, Soeren Hvidkjaer, and Maureen O’hara. 2002. “Is Information Risk a Determinant of Asset Returns?” The Journal of Finance 57 (5): 2185–2221.
Easley, David, Nicholas M Kiefer, Maureen O’hara, and Joseph B Paperman. 1996. “Liquidity, Information, and Infrequently Traded Stocks.” The Journal of Finance 51 (4): 1405–36.
Eisenberg, Larry, and Thomas H Noe. 2001. “Systemic Risk in Financial Systems.” Management Science 47 (2): 236–49.
Elton, Edwin J, Martin J Gruber, and Christopher R Blake. 2011. “Holdings Data, Security Returns, and the Selection of Superior Mutual Funds.” Journal of Financial and Quantitative Analysis 46 (2): 341–67.
Engle, Robert. 2002. “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” Journal of Business & Economic Statistics 20 (3): 339–50.
Erickson, Timothy, and Toni M Whited. 2012. “Treating Measurement Error in Tobin’s q.” The Review of Financial Studies 25 (4): 1286–1329.
Errunza, Vihang, and Etienne Losq. 1985. “International Asset Pricing Under Mild Segmentation: Theory and Test.” The Journal of Finance 40 (1): 105–24.
Fairfield, Patricia M, J Scott Whisenant, and Teri Lombardi Yohn. 2003. “Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing.” The Accounting Review 78 (1): 353–71.
Fama, Eugene F. 1984. “Forward and Spot Exchange Rates.” Journal of Monetary Economics 14 (3): 319–38.
———. 1998. “Market Efficiency, Long-Term Returns, and Behavioral Finance.” Journal of Financial Economics 49 (3): 283–306.
Fama, Eugene F, Lawrence Fisher, Michael C Jensen, and Richard Roll. 1969. “The Adjustment of Stock Prices to New Information.” International Economic Review 10 (1): 1–21.
Fama, Eugene F., and Kenneth R. French. 1989. Business conditions and expected returns on stocks and bonds.” Journal of Financial Economics 25 (1): 23–49. https://doi.org/10.1016/0304-405X(89)90095-0.
———. 1992. The cross-section of expected stock returns.” The Journal of Finance 47 (2): 427–65. https://doi.org/2329112.
———. 1993a. Common risk factors in the returns on stocks and bonds.” Journal of Financial Economics 33 (1): 3–56. https://doi.org/10.1016/0304-405X(93)90023-5.
———. 1993b. Common risk factors in the returns on stocks and bonds.” Journal of Financial Economics 33 (1): 3–56. https://doi.org/10.1016/0304-405X(93)90023-5.
———. 2015a. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010.
Fama, Eugene F, and Kenneth R French. 1996. “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51 (1): 55–84.
———. 2006. “Profitability, Investment and Average Returns.” Journal of Financial Economics 82 (3): 491–518.
———. 2008. “Dissecting Anomalies.” The Journal of Finance 63 (4): 1653–78.
———. 2012. “Size, Value, and Momentum in International Stock Returns.” Journal of Financial Economics 105 (3): 457–72.
———. 2015b. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22.
———. 2020. “Comparing Cross-Section and Time-Series Factor Models.” The Review of Financial Studies 33 (5): 1891–1926.
Fama, Eugene F., and James D. MacBeth. 1973a. Risk, return, and equilibrium: Empirical tests.” Journal of Political Economy 81 (3): 607–36. https://doi.org/10.1086/260061.
Fama, Eugene F, and James D MacBeth. 1973b. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy 81 (3): 607–36.
Farre-Mensa, Joan, and Alexander Ljungqvist. 2016. “Do Measures of Financial Constraints Measure Financial Constraints?” The Review of Financial Studies 29 (2): 271–308.
Fazzari, Steven, R Glenn Hubbard, and Bruce C Petersen. 1987. “Financing Constraints and Corporate Investment.” National Bureau of Economic Research Cambridge, Mass., USA.
Flannery, Mark J, and Aris A Protopapadakis. 2002. “Macroeconomic Factors Do Influence Aggregate Stock Returns.” The Review of Financial Studies 15 (3): 751–82.
Fong, Kingsley YL, Craig W Holden, and Charles A Trzcinka. 2017. “What Are the Best Liquidity Proxies for Global Research?” Review of Finance 21 (4): 1355–1401.
Forbes, Kristin J, and Roberto Rigobon. 2002. “No Contagion, Only Interdependence: Measuring Stock Market Comovements.” The Journal of Finance 57 (5): 2223–61.
Foucault, Thierry. 1999. “Order Flow Composition and Trading Costs in a Dynamic Limit Order Market.” Journal of Financial Markets 2 (2): 99–134.
Francis, Jennifer, Ryan LaFond, Per Olsson, and Katherine Schipper. 2005. “The Market Pricing of Accruals Quality.” Journal of Accounting and Economics 39 (2): 295–327.
Frank, Murray Z, and Vidhan K Goyal. 2003. “Testing the Pecking Order Theory of Capital Structure.” Journal of Financial Economics 67 (2): 217–48.
———. 2009. “Capital Structure Decisions: Which Factors Are Reliably Important?” Financial Management 38 (1): 1–37.
Frankel, Jeffrey A. 1979. “On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials.” The American Economic Review 69 (4): 610–22.
Frazzini, Andrea, and Lasse Heje Pedersen. 2014. Betting against beta.” Journal of Financial Economics 111 (1): 1–25. https://doi.org/10.1016/j.jfineco.2013.10.005.
Gabaix, Xavier, Parameswaran Gopikrishnan, Vasiliki Plerou, and H Eugene Stanley. 2003. “A Theory of Power-Law Distributions in Financial Market Fluctuations.” Nature 423 (6937): 267–70.
Gabaix, Xavier, and Ralph SJ Koijen. 2021. “In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis.” National Bureau of Economic Research.
Garfinkel, Jon A. 2009. “Measuring Investors’ Opinion Divergence.” Journal of Accounting Research 47 (5): 1317–48.
Garfinkel, Jon A, and Jonathan Sokobin. 2006. “Volume, Opinion Divergence, and Returns: A Study of Post–Earnings Announcement Drift.” Journal of Accounting Research 44 (1): 85–112.
Gârleanu, Nicolae, and Lasse Heje Pedersen. 2013. “Dynamic Trading with Predictable Returns and Transaction Costs.” The Journal of Finance 68 (6): 2309–40.
Gentzkow, Matthew, and Jesse M Shapiro. 2014. “Code and Data for the Social Sciences: A Practitioner’s Guide.” Working Paper, University of Chicago.
Gibbons, Michael R, Stephen A Ross, and Jay Shanken. 1989. “A Test of the Efficiency of a Given Portfolio.” Econometrica: Journal of the Econometric Society, 1121–52.
Givoly, Dan, and Dan Palmon. 1982. “Timeliness of Annual Earnings Announcements: Some Empirical Evidence.” Accounting Review, 486–508.
Glosten, Lawrence R, and Paul R Milgrom. 1985. “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders.” Journal of Financial Economics 14 (1): 71–100.
Gompers, Paul, Joy Ishii, and Andrew Metrick. 2003. “Corporate Governance and Equity Prices.” The Quarterly Journal of Economics 118 (1): 107–56.
Goyal, Amit, and Narasimhan Jegadeesh. 2018. “Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?” The Review of Financial Studies 31 (5): 1784–824.
Goyenko, Ruslan Y, Craig W Holden, and Charles A Trzcinka. 2009. “Do Liquidity Measures Measure Liquidity?” Journal of Financial Economics 92 (2): 153–81.
Griffin, John M. 2002. “Are the Fama and French Factors Global or Country Specific?” The Review of Financial Studies 15 (3): 783–803.
Griffin, John M, Patrick J Kelly, and Federico Nardari. 2010. “Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets.” The Review of Financial Studies 23 (8): 3225–77.
Grinblatt, Mark, Sheridan Titman, and Russ Wermers. 1995. “Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior.” American Economic Review 85 (5): 1088–1105.
Grootendorst, Maarten. 2022. “BERTopic: Neural Topic Modeling with a Class-Based TF-IDF Procedure.” arXiv Preprint arXiv:2203.05794.
Grundy, Bruce D, and J Spencer Martin Martin. 2001. “Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing.” The Review of Financial Studies 14 (1): 29–78.
Guay, Wayne, Delphine Samuels, and Daniel Taylor. 2016. “Guiding Through the Fog: Financial Statement Complexity and Voluntary Disclosure.” Journal of Accounting and Economics 62 (2-3): 234–69.
Gürkaynak, Refet S, Brian Sack, and Jonathan H Wright. 2007. “The US Treasury Yield Curve: 1961 to the Present.” Journal of Monetary Economics 54 (8): 2291–2304.
Hadlock, Charles J, and Joshua R Pierce. 2010. “New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index.” The Review of Financial Studies 23 (5): 1909–40.
Hall, Peter. 1992. “On the Removal of Skewness by Transformation.” Journal of the Royal Statistical Society Series B: Statistical Methodology 54 (1): 221–28.
Hameed, Allaudeen, Wenjin Kang, and Shivesh Viswanathan. 2010. “Stock Market Declines and Liquidity.” The Journal of Finance 65 (1): 257–93.
Handa, Puneet, Robert Schwartz, and Ashish Tiwari. 2003. “Quote Setting and Price Formation in an Order Driven Market.” Journal of Financial Markets 6 (4): 461–89.
Hansen, Lars Peter. 1982. “Large Sample Properties of Generalized Method of Moments Estimators.” Econometrica: Journal of the Econometric Society, 1029–54.
Harris, Milton, and Artur Raviv. 1993. “Differences of Opinion Make a Horse Race.” The Review of Financial Studies 6 (3): 473–506.
Harvey, Campbell R., Yan Liu, and Heqing Zhu. 2016a. and the cross-section of expected returns.” Review of Financial Studies 29 (1): 5–68. https://doi.org/10.1093/rfs/hhv059.
Harvey, Campbell R, Yan Liu, and Heqing Zhu. 2016b. “… and the Cross-Section of Expected Returns.” The Review of Financial Studies 29 (1): 5–68.
Harvey, Campbell R, and Akhtar Siddique. 2000. “Conditional Skewness in Asset Pricing Tests.” The Journal of Finance 55 (3): 1263–95.
Hasbrouck, Joel. 1991. “Measuring the Information Content of Stock Trades.” The Journal of Finance 46 (1): 179–207.
———. 2007. Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press.
———. 2009. “Trading Costs and Returns for US Equities: Estimating Effective Costs from Daily Data.” The Journal of Finance 64 (3): 1445–77.
Hasler, Mathias. 2021. “Is the Value Premium Smaller Than We Thought?” Working Paper. https://ssrn.com/abstract=3886984.
Hayashi, Fumio. 1982. “Tobin’s Marginal q and Average q: A Neoclassical Interpretation.” Econometrica: Journal of the Econometric Society, 213–24.
He, Kaiming, Xiangyu Zhang, Shaoqing Ren, and Jian Sun. 2016. “Deep Residual Learning for Image Recognition.” In Proceedings of the IEEE Conference on Computer Vision and Pattern Recognition, 770–78.
Healy, Paul M. 1985. “The Effect of Bonus Schemes on Accounting Decisions.” Journal of Accounting and Economics 7 (1-3): 85–107.
Healy, Paul M, and Krishna G Palepu. 2001. “Information Asymmetry, Corporate Disclosure, and the Capital Markets: A Review of the Empirical Disclosure Literature.” Journal of Accounting and Economics 31 (1-3): 405–40.
Henderson, J Vernon, Adam Storeygard, and David N Weil. 2012. “Measuring Economic Growth from Outer Space.” American Economic Review 102 (2): 994–1028.
Henry, Peter Blair. 2000. “Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices.” The Journal of Finance 55 (2): 529–64.
Hill, Bruce M. 1975. “A Simple General Approach to Inference about the Tail of a Distribution.” The Annals of Statistics, 1163–74.
Hillion, Pierre, and Matti Suominen. 2004. “The Manipulation of Closing Prices.” Journal of Financial Markets 7 (4): 351–75.
Hirshleifer, David, Sonya Seongyeon Lim, and Siew Hong Teoh. 2009. “Driven to Distraction: Extraneous Events and Underreaction to Earnings News.” The Journal of Finance 64 (5): 2289–2325.
Hirshleifer, David, and Siew Hong Teoh. 2003. “Limited Attention, Information Disclosure, and Financial Reporting.” Journal of Accounting and Economics 36 (1-3): 337–86.
Hoberg, Gerard, and Gordon Phillips. 2010. “Product Market Synergies and Competition in Mergers and Acquisitions: A Text-Based Analysis.” The Review of Financial Studies 23 (10): 3773–3811.
———. 2016. “Text-Based Network Industries and Endogenous Product Differentiation.” Journal of Political Economy 124 (5): 1423–65.
Hoberg, Gerard, and Gordon M Phillips. 2018. “Text-Based Industry Momentum.” Journal of Financial and Quantitative Analysis 53 (6): 2355–88.
Hofstede, Geert. 2001. “Culture’s Consequences: Comparing Values, Behaviors, Institutions and Organizations Across Nations.” International Educational and Professional.
Hong, Harrison, and Jeremy C Stein. 1999. “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets.” The Journal of Finance 54 (6): 2143–84.
———. 2003. “Differences of Opinion, Short-Sales Constraints, and Market Crashes.” The Review of Financial Studies 16 (2): 487–525.
Hope, Ole-Kristian. 2003. “Disclosure Practices, Enforcement of Accounting Standards, and Analysts’ Forecast Accuracy: An International Study.” Journal of Accounting Research 41 (2): 235–72.
Hou, Kewei, Chen Xue, and Lu Zhang. 2014. Digesting anomalies: An investment approach.” Review of Financial Studies 28 (3): 650–705. https://doi.org/10.1093/rfs/hhu068.
———. 2015. “Digesting Anomalies: An Investment Approach.” The Review of Financial Studies 28 (3): 650–705.
———. 2020a. Replicating anomalies.” Review of Financial Studies 33 (5): 2019–2133. https://doi.org/10.1093/rfs/hhy131.
———. 2020b. “Replicating Anomalies.” The Review of Financial Studies 33 (5): 2019–2133.
Houge, Todd, Tim Loughran, Gerry Suchanek, and Xuemin Yan. 2001. “Divergence of Opinion, Uncertainty, and the Quality of Initial Public Offerings.” Financial Management, 5–23.
Hribar, Paul, and Daniel W Collins. 2002. “Errors in Estimating Accruals: Implications for Empirical Research.” Journal of Accounting Research 40 (1): 105–34.
Hsu, Jason C. 2004. “Cap-Weighted Portfolios Are Sub-Optimal Portfolios.” Journal of Investment Management 4 (3).
Huang, Allen H, Reuven Lehavy, Amy Y Zang, and Rong Zheng. 2018. “Analyst Information Discovery and Interpretation Roles: A Topic Modeling Approach.” Management Science 64 (6): 2833–55.
Huang, Allen H, Hui Wang, and Yi Yang. 2023. “FinBERT: A Large Language Model for Extracting Information from Financial Text.” Contemporary Accounting Research 40 (2): 806–41.
Huang, Roger D, and Hans R Stoll. 1997. “The Components of the Bid-Ask Spread: A General Approach.” The Review of Financial Studies 10 (4): 995–1034.
Huang, Xiangqian, Clark Liu, and Tao Shu. 2023. “Factors and Anomalies in the Vietnamese Stock Market.” Pacific-Basin Finance Journal 82: 102176.
Huang, Yu, Chenzhuang Du, Zihui Xue, Xuanyao Chen, Hang Zhao, and Longbo Huang. 2021. “What Makes Multi-Modal Learning Better Than Single (Provably).” Advances in Neural Information Processing Systems 34: 10944–56.
Huang, Yupan, Tengchao Lv, Lei Cui, Yutong Lu, and Furu Wei. 2022. “Layoutlmv3: Pre-Training for Document Ai with Unified Text and Image Masking.” In Proceedings of the 30th ACM International Conference on Multimedia, 4083–91.
Huergo, Elena, and Jordi Jaumandreu. 2004. “Firms’ Age, Process Innovation and Productivity Growth.” International Journal of Industrial Organization 22 (4): 541–59.
Hutton, Amy P, Alan J Marcus, and Hassan Tehranian. 2009. “Opaque Financial Reports, R2, and Crash Risk.” Journal of Financial Economics 94 (1): 67–86.
Jacobs, Heiko, and Sebastian Müller. 2020. “Anomalies Across the Globe: Once Public, No Longer Existent?” Journal of Financial Economics 135 (1): 213–30.
Jagannathan, Ravi, and Tongshu Ma. 2003. “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.” The Journal of Finance 58 (4): 1651–83.
Jagannathan, Ravi, and Zhenyu Wang. 1996a. The conditional CAPM and the cross-section of expected returns.” The Journal of Finance 51 (1): 3–53. https://doi.org/10.2307/2329301.
———. 1996b. “The Conditional CAPM and the Cross-Section of Expected Returns.” The Journal of Finance 51 (1): 3–53.
Jean, Neal, Marshall Burke, Michael Xie, W Matthew Alampay Davis, David B Lobell, and Stefano Ermon. 2016. “Combining Satellite Imagery and Machine Learning to Predict Poverty.” Science 353 (6301): 790–94.
Jegadeesh, Narasimhan. 1990. “Evidence of Predictable Behavior of Security Returns.” The Journal of Finance 45 (3): 881–98.
Jegadeesh, Narasimhan, and Sheridan Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48 (1): 65–91.
Jensen, Michael C. 1986. “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers.” The American Economic Review 76 (2): 323–29.
Jensen, Michael C, and William H Meckling. 1976. “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure.” Journal of Financial Economics 3 (4): 305–60.
———. 2019. “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure.” In Corporate Governance, 77–132. Gower.
Jensen, Michael C, and Richard S Ruback. 1983. “The Market for Corporate Control: The Scientific Evidence.” Journal of Financial Economics 11 (1-4): 5–50.
Jensen, Theis Ingerslev, Bryan Kelly, and Lasse Heje Pedersen. 2023. “Is There a Replication Crisis in Finance?” The Journal of Finance 78 (5): 2465–2518.
Jha, Manish, Jialin Qian, Michael Weber, and Baozhong Yang. 2024. “ChatGPT and Corporate Policies.” National Bureau of Economic Research.
Johnson, Simon, Rafael La Porta, Florencio Lopez-de-Silanes, and Andrei Shleifer. 2000. “Tunneling.” American Economic Review 90 (2): 22–27.
Johnson, Timothy C. 2002. “Rational Momentum Effects.” The Journal of Finance 57 (2): 585–608.
Jones, Jennifer J. 1991. “Earnings Management During Import Relief Investigations.” Journal of Accounting Research 29 (2): 193–228.
Jorion, Philippe. 1990. “The Exchange-Rate Exposure of US Multinationals.” Journal of Business, 331–45.
———. 1991. “The Pricing of Exchange Rate Risk in the Stock Market.” Journal of Financial and Quantitative Analysis 26 (3): 363–76.
Kacperczyk, Marcin, Clemens Sialm, and Lu Zheng. 2008. “Unobserved Actions of Mutual Funds.” The Review of Financial Studies 21 (6): 2379–2416.
Kahneman, Daniel, and Amos Tversky. 2013. “Prospect Theory: An Analysis of Decision Under Risk.” In Handbook of the Fundamentals of Financial Decision Making: Part i, 99–127. World Scientific.
Kaminsky, Graciela L, Carmen M Reinhart, and Carlos A Vegh. 2002. “The Unholy Trinity of Financial Contagion.” Journal of Economic Perspectives 17 (4): 51–74.
Kandel, Eugene, and Neil D Pearson. 1995. “Differential Interpretation of Public Signals and Trade in Speculative Markets.” Journal of Political Economy 103 (4): 831–72.
Kaniel, Ron, Shuming Liu, Gideon Saar, and Sheridan Titman. 2012. “Individual Investor Trading and Return Patterns Around Earnings Announcements.” The Journal of Finance 67 (2): 639–80.
Kaplan, Steven N, and Luigi Zingales. 1997. “Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints?” The Quarterly Journal of Economics 112 (1): 169–215.
Karpoff, Jonathan M. 1987. “The Relation Between Price Changes and Trading Volume: A Survey.” Journal of Financial and Quantitative Analysis 22 (1): 109–26.
Kelly, Bryan, and Hao Jiang. 2014. “Tail Risk and Asset Prices.” The Review of Financial Studies 27 (10): 2841–71.
Khan, Mozaffar. 2008. “Are Accruals Mispriced? Evidence from Tests of an Intertemporal Capital Asset Pricing Model.” Journal of Accounting and Economics 45 (1): 55–77.
Khanh, Hoang Thi Mai, and Vinh Khuong Nguyen. 2018. “Audit Quality, Firm Characteristics and Real Earnings Management: The Case of Listed Vietnamese Firms.” International Journal of Economics and Financial Issues 8 (4): 243.
Kim, Geewook, Teakgyu Hong, Moonbin Yim, JeongYeon Nam, Jinyoung Park, Jinyeong Yim, Wonseok Hwang, Sangdoo Yun, Dongyoon Han, and Seunghyun Park. 2022. “Ocr-Free Document Understanding Transformer.” In European Conference on Computer Vision, 498–517. Springer.
Kim, Kenneth A, Haixiao Liu, and J Jimmy Yang. 2013. “Reconsidering Price Limit Effectiveness.” Journal of Financial Research 36 (4): 493–518.
Kim, Kenneth A, and S Ghon Rhee. 1997. “Price Limit Performance: Evidence from the Tokyo Stock Exchange.” The Journal of Finance 52 (2): 885–901.
Kim, Oliver, and Robert E Verrecchia. 1991. “Market Reaction to Anticipated Announcements.” Journal of Financial Economics 30 (2): 273–309.
King, Mervyn A, and Sushil Wadhwani. 1990. “Transmission of Volatility Between Stock Markets.” The Review of Financial Studies 3 (1): 5–33.
Kipf, Thomas N, and Max Welling. 2016. “Semi-Supervised Classification with Graph Convolutional Networks.” arXiv Preprint arXiv:1609.02907.
Klapper, Leora F, and Inessa Love. 2004. “Corporate Governance, Investor Protection, and Performance in Emerging Markets.” Journal of Corporate Finance 10 (5): 703–28.
Kodres, Laura E, and Matthew Pritsker. 2002. “A Rational Expectations Model of Financial Contagion.” The Journal of Finance 57 (2): 769–99.
Koijen, Ralph SJ, and Motohiro Yogo. 2019. “A Demand System Approach to Asset Pricing.” Journal of Political Economy 127 (4): 1475–515.
Kolari, James W, and Seppo Pynnönen. 2010. “Event Study Testing with Cross-Sectional Correlation of Abnormal Returns.” The Review of Financial Studies 23 (11): 3996–4025.
Korajczyk, Robert A, and Ronnie Sadka. 2004. “Are Momentum Profits Robust to Trading Costs?” The Journal of Finance 59 (3): 1039–82.
Kothari, Sagar P, Andrew J Leone, and Charles E Wasley. 2005. “Performance Matched Discretionary Accrual Measures.” Journal of Accounting and Economics 39 (1): 163–97.
Kothari, Sagar P, and Jerold B Warner. 2007. “Econometrics of Event Studies.” In Handbook of Empirical Corporate Finance, 3–36. Elsevier.
Kraft, Arthur, Andrew J Leone, and Charles Wasley. 2006. “An Analysis of the Theories and Explanations Offered for the Mispricing of Accruals and Accrual Components.” Journal of Accounting Research 44 (2): 297–339.
Kraus, Alan, and Robert H Litzenberger. 1976. “Skewness Preference and the Valuation of Risk Assets.” The Journal of Finance 31 (4): 1085–1100.
Krishnamurthy, Arvind, and Annette Vissing-Jorgensen. 2012. “The Aggregate Demand for Treasury Debt.” Journal of Political Economy 120 (2): 233–67.
Kupiec, Paul H et al. 1995. “Techniques for Verifying the Accuracy of Risk Measurement Models.”
Kyle, Albert S. 1985. “Continuous Auctions and Insider Trading.” Econometrica: Journal of the Econometric Society, 1315–35.
La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert Vishny. 2000a. “Investor Protection and Corporate Governance.” Journal of Financial Economics 58 (1-2): 3–27.
La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert W Vishny. 2000b. “Agency Problems and Dividend Policies Around the World.” The Journal of Finance 55 (1): 1–33.
Lamont, Owen, Christopher Polk, and Jesús Saaá-Requejo. 2001. “Financial Constraints and Stock Returns.” The Review of Financial Studies 14 (2): 529–54.
Landsman, Wayne R, Edward L Maydew, and Jacob R Thornock. 2012. “The Information Content of Annual Earnings Announcements and Mandatory Adoption of IFRS.” Journal of Accounting and Economics 53 (1-2): 34–54.
Lang, Mark, Karl V Lins, and Mark Maffett. 2012. “Transparency, Liquidity, and Valuation: International Evidence on When Transparency Matters Most.” Journal of Accounting Research 50 (3): 729–74.
Lang, Mark, and Russell Lundholm. 1993. “Cross-Sectional Determinants of Analyst Ratings of Corporate Disclosures.” Journal of Accounting Research 31 (2): 246–71.
Lau, Jey Han, and Timothy Baldwin. 2016. “An Empirical Evaluation of Doc2vec with Practical Insights into Document Embedding Generation.” arXiv Preprint arXiv:1607.05368.
Le, Quoc, and Tomas Mikolov. 2014. “Distributed Representations of Sentences and Documents.” In International Conference on Machine Learning, 1188–96. PMLR.
Ledoit, Olivier, and Michael Wolf. 2004. “A Well-Conditioned Estimator for Large-Dimensional Covariance Matrices.” Journal of Multivariate Analysis 88 (2): 365–411.
Lehavy, Reuven, and Richard G Sloan. 2008. “Investor Recognition and Stock Returns.” Review of Accounting Studies 13 (2): 327–61.
Leibowitz, Martin L. 2002. “The Levered p/e Ratio.” Financial Analysts Journal 58 (6): 68–77.
Lesmond, David A. 2005. “Liquidity of Emerging Markets.” Journal of Financial Economics 77 (2): 411–52.
Lesmond, David A, Joseph P Ogden, and Charles A Trzcinka. 1999. “A New Estimate of Transaction Costs.” The Review of Financial Studies 12 (5): 1113–41.
Lesmond, David A, Michael J Schill, and Chunsheng Zhou. 2004. “The Illusory Nature of Momentum Profits.” Journal of Financial Economics 71 (2): 349–80.
Leuz, Christian, Dhananjay Nanda, and Peter D Wysocki. 2003. “Earnings Management and Investor Protection: An International Comparison.” Journal of Financial Economics 69 (3): 505–27.
Lewellen, Jonathan, Stefan Nagel, and Jay Shanken. 2010. “A Skeptical Appraisal of Asset Pricing Tests.” Journal of Financial Economics 96 (2): 175–94.
Li, Feng. 2008. “Annual Report Readability, Current Earnings, and Earnings Persistence.” Journal of Accounting and Economics 45 (2-3): 221–47.
Li, Feng et al. 2010. “Textual Analysis of Corporate Disclosures: A Survey of the Literature.” Journal of Accounting Literature 29 (1): 143–65.
Li, Junnan, Dongxu Li, Silvio Savarese, and Steven Hoi. 2023. “Blip-2: Bootstrapping Language-Image Pre-Training with Frozen Image Encoders and Large Language Models.” In International Conference on Machine Learning, 19730–42. PMLR.
Liang, Paul Pu, Amir Zadeh, and Louis-Philippe Morency. 2024. “Foundations & Trends in Multimodal Machine Learning: Principles, Challenges, and Open Questions.” ACM Computing Surveys 56 (10): 1–42.
Lindenberg, Eric B, and Stephen A Ross. 1981. “Tobin’s q Ratio and Industrial Organization.” Journal of Business, 1–32.
Lintner, John. 1956. “Distribution of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes.” The American Economic Review 46 (2): 97–113.
———. 1965. Security prices, risk, and maximal gains from diversification.” The Journal of Finance 20 (4): 587–615. https://doi.org/10.1111/j.1540-6261.1965.tb02930.x.
Little, Roderick JA, and Donald B Rubin. 2019. Statistical Analysis with Missing Data. John Wiley & Sons.
Liu, Laura Xiaolei, Toni M Whited, and Lu Zhang. 2009. “Investment-Based Expected Stock Returns.” Journal of Political Economy 117 (6): 1105–39.
Livnat, Joshua, and Richard R Mendenhall. 2006. “Comparing the Post–Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts.” Journal of Accounting Research 44 (1): 177–205.
Lo, Andrew W, and A Craig MacKinlay. 1990. “An Econometric Analysis of Nonsynchronous Trading.” Journal of Econometrics 45 (1-2): 181–211.
Longin, Francois, and Bruno Solnik. 2001. “Extreme Correlation of International Equity Markets.” The Journal of Finance 56 (2): 649–76.
Loughran, Tim, and Bill McDonald. 2011. “When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks.” The Journal of Finance 66 (1): 35–65.
———. 2014. “Measuring Readability in Financial Disclosures.” The Journal of Finance 69 (4): 1643–71.
Lustig, Hanno, and Adrien Verdelhan. 2007. “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk.” American Economic Review 97 (1): 89–117.
Lyon, John D, Brad M Barber, and Chih-Ling Tsai. 1999. “Improved Methods for Tests of Long-Run Abnormal Stock Returns.” The Journal of Finance 54 (1): 165–201.
MacKinlay, A Craig. 1997. “Event Studies in Economics and Finance.” Journal of Economic Literature 35 (1): 13–39.
Maillard, Sébastien, Thierry Roncalli, and Jérôme Teı̈letche. 2010. “The Properties of Equally Weighted Risk Contribution Portfolios.” Journal of Portfolio Management 36 (4): 60.
Mandelbrot, Benoit et al. 1963. “The Variation of Certain Speculative Prices.” Journal of Business 36 (4): 394.
Markowitz, Harry. 1952. Portfolio selection.” The Journal of Finance 7 (1): 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x.
McLean, R David, and Jeffrey Pontiff. 2016. “Does Academic Research Destroy Stock Return Predictability?” The Journal of Finance 71 (1): 5–32.
McNeil, Alexander J, and Rüdiger Frey. 2000. “Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach.” Journal of Empirical Finance 7 (3-4): 271–300.
McNeil, Alexander J, Rüdiger Frey, and Paul Embrechts. 2015. Quantitative Risk Management: Concepts, Techniques and Tools-Revised Edition. Princeton university press.
Meese, Richard A, and Kenneth Rogoff. 1983. “Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?” Journal of International Economics 14 (1-2): 3–24.
Menkhoff, Lukas, Lucio Sarno, Maik Schmeling, and Andreas Schrimpf. 2012. “Carry Trades and Global Foreign Exchange Volatility.” The Journal of Finance 67 (2): 681–718.
Menkveld, Albert J., Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neusüss, Michael Razen, and Utz Weitzel. n.d. Nonstandard errors.” The Journal of Finance 79 (3): 2339–90. https://doi.org/https://doi.org/10.1111/jofi.13337.
Menzly, Lior, and Oguzhan Ozbas. 2010. “Market Segmentation and Cross-Predictability of Returns.” The Journal of Finance 65 (4): 1555–80.
Milgrom, Paul, and Nancy Stokey. 1982. “Information, Trade and Common Knowledge.” Journal of Economic Theory 26 (1): 17–27.
Miller, Edward M. 1977. “Risk, Uncertainty, and Divergence of Opinion.” The Journal of Finance 32 (4): 1151–68.
Miller, Merton H, and Kevin Rock. 1985. “Dividend Policy Under Asymmetric Information.” The Journal of Finance 40 (4): 1031–51.
Mishkin, Frederic S. 1983. “Are Market Forecasts Rational?” In A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models, 59–75. University of Chicago Press.
———. 2007. A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models. University of Chicago Press.
Mitchell, Mark L, and Jeffry M Netter. 1993. “The Role of Financial Economics in Securities Fraud Cases: Applications at the Securities and Exchange Commission.” Bus. Law. 49: 545.
Mitchell, Mark L, and Erik Stafford. 2000. “Managerial Decisions and Long-Term Stock Price Performance.” The Journal of Business 73 (3): 287–329.
Morck, Randall, Andrei Shleifer, and Robert W Vishny. 1988. “Management Ownership and Market Valuation: An Empirical Analysis.” Journal of Financial Economics 20: 293–315.
Mossin, Jan. 1966. Equilibrium in a capital asset market.” Econometrica 34 (4): 768–83. https://doi.org/10.2307/1910098.
Myers, Stewart C. 1984. “The Capital Structure Puzzle.” Journal of Finance 39 (3): 575–92.
Nelson, Charles R, and Andrew F Siegel. 1987. “Parsimonious Modeling of Yield Curves.” Journal of Business, 473–89.
Newey, Whitney K., and Kenneth D. West. 1987a. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance Matrix.” Econometrica 55 (3): 703–8. http://www.jstor.org/stable/1913610.
Newey, Whitney K, and Kenneth D West. 1987b. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation.” Econometrica 55 (3): 703–8.
Nguyen, Dat Quoc, and Anh-Tuan Nguyen. 2020. “PhoBERT: Pre-Trained Language Models for Vietnamese.” In Findings of the Association for Computational Linguistics: EMNLP 2020, 1037–42.
Nguyen, Du D, and Minh C Pham. 2018. “Search-Based Sentiment and Stock Market Reactions: An Empirical Evidence in Vietnam.” The Journal of Asian Finance, Economics and Business 5 (4): 45–56.
Novy-Marx, Robert. 2013. “The Other Side of Value: The Gross Profitability Premium.” Journal of Financial Economics 108 (1): 1–28.
Obaid, Khaled, and Kuntara Pukthuanthong. 2022. “A Picture Is Worth a Thousand Words: Measuring Investor Sentiment by Combining Machine Learning and Photos from News.” Journal of Financial Economics 144 (1): 273–97.
Obstfeld, Maurice, Jay C Shambaugh, and Alan M Taylor. 2005. “The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility.” Review of Economics and Statistics 87 (3): 423–38.
Oord, Aaron van den, Yazhe Li, and Oriol Vinyals. 2018. “Representation Learning with Contrastive Predictive Coding.” arXiv Preprint arXiv:1807.03748.
Parlour, Christine A. 1998. “Price Dynamics in Limit Order Markets.” The Review of Financial Studies 11 (4): 789–816.
Pástor, L’uboš, and Robert F Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy 111 (3): 642–85.
Patell, James M. 1976. “Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test.” Journal of Accounting Research, 246–76.
Patell, James M, and Mark A Wolfson. 1982. “Good News, Bad News, and the Intraday Timing of Corporate Disclosures.” Accounting Review, 509–27.
Peng, Roger D. 2011. “Reproducible Research in Computational Science.” Science 334 (6060): 1226–27.
Phan, Thi Nha Truc, Philippe Bertrand, Hong Hai Phan, and Xuan Vinh Vo. 2023. “The Role of Investor Behavior in Emerging Stock Markets: Evidence from Vietnam.” The Quarterly Review of Economics and Finance 87: 367–76.
Phung, Duc Nam, and Anil V Mishra. 2016. “Ownership Structure and Firm Performance: Evidence from Vietnamese Listed Firms.” Australian Economic Papers 55 (1): 63–98.
Plyakha, Yuliya, Raman Uppal, and Grigory Vilkov. 2021. “Equal or Value Weighting? Implications for Asset-Pricing Tests.” In Financial Risk Management and Modeling, 295–347. Springer.
Pontiff, Jeffrey, and Artemiza Woodgate. 2008. “Share Issuance and Cross-Sectional Returns.” The Journal of Finance 63 (2): 921–45.
Pukthuanthong, Kuntara, and Richard Roll. 2009. “Global Market Integration: An Alternative Measure and Its Application.” Journal of Financial Economics 94 (2): 214–32.
Radford, Alec, Jong Wook Kim, Chris Hallacy, Aditya Ramesh, Gabriel Goh, Sandhini Agarwal, Girish Sastry, et al. 2021. “Learning Transferable Visual Models from Natural Language Supervision.” In International Conference on Machine Learning, 8748–63. PmLR.
Rajan, Raghuram G, and Luigi Zingales. 1998. “Financial Dependence and Growth.” American Economic Review, 559–86.
Reimers, Nils, and Iryna Gurevych. 2019. “Sentence-Bert: Sentence Embeddings Using Siamese Bert-Networks.” arXiv Preprint arXiv:1908.10084.
Rock, Kevin. 1986. “Why New Issues Are Underpriced.” Journal of Financial Economics 15 (1-2): 187–212.
Roll, Richard. 1984. “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market.” The Journal of Finance 39 (4): 1127–39.
Romano, Joseph P, and Michael Wolf. 2005. “Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing.” Journal of the American Statistical Association 100 (469): 94–108.
Rossi, Barbara. 2013. “Exchange Rate Predictability.” Journal of Economic Literature 51 (4): 1063–1119.
Rossi, Emanuele, Ben Chamberlain, Fabrizio Frasca, Davide Eynard, Federico Monti, and Michael Bronstein. 2020. “Temporal Graph Networks for Deep Learning on Dynamic Graphs.” arXiv Preprint arXiv:2006.10637.
Roşu, Ioanid. 2009. “A Dynamic Model of the Limit Order Book.” The Review of Financial Studies 22 (11): 4601–41.
Rouwenhorst, K Geert. 1998. “International Momentum Strategies.” The Journal of Finance 53 (1): 267–84.
Roychowdhury, Sugata. 2006. “Earnings Management Through Real Activities Manipulation.” Journal of Accounting and Economics 42 (3): 335–70.
Rubin, Donald B. 1976. “Inference and Missing Data.” Biometrika 63 (3): 581–92.
Rust, John. 1987. “Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher.” Econometrica: Journal of the Econometric Society, 999–1033.
Salkever, David S. 1976. “The Use of Dummy Variables to Compute Predictions, Prediction Errors, and Confidence Intervals.” Journal of Econometrics 4 (4): 393–97.
Sandve, Geir Kjetil, Anton Nekrutenko, James Taylor, and Eivind Hovig. 2013. “Ten Simple Rules for Reproducible Computational Research.” PLoS Computational Biology 9 (10): e1003285.
Scheinkman, Jose A, and Wei Xiong. 2003. “Overconfidence and Speculative Bubbles.” Journal of Political Economy 111 (6): 1183–1220.
Scheuch, Christoph, Stefan Voigt, and Patrick Weiss. 2023. Tidy Finance with r. CRC Press.
Scheuch, Christoph, Stefan Voigt, Patrick Weiss, and Christoph Frey. 2024. Tidy Finance with Python. Chapman; Hall/CRC.
Scholes, Myron, and Joseph Williams. 1977. “Estimating Betas from Nonsynchronous Data.” Journal of Financial Economics 5 (3): 309–27.
Schwert, G William. 1981. “Using Financial Data to Measure Effects of Regulation.” The Journal of Law and Economics 24 (1): 121–58.
Sengupta, Partha. 1998. “Corporate Disclosure Quality and the Cost of Debt.” Accounting Review, 459–74.
Shalen, Catherine T. 1993. “Volume, Volatility, and the Dispersion of Beliefs.” The Review of Financial Studies 6 (2): 405–34.
Shanken, Jay. 1992. “On the Estimation of Beta-Pricing Models.” The Review of Financial Studies 5 (1): 1–33.
Sharpe, William F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk .” The Journal of Finance 19 (3): 425–42. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x.
Shumway, Tyler. 1997. “The Delisting Bias in CRSP Data.” The Journal of Finance 52 (1): 327–40.
Shyam-Sunder, Lakshmi, and Stewart C Myers. 1999. “Testing Static Tradeoff Against Pecking Order Models of Capital Structure.” Journal of Financial Economics 51 (2): 219–44.
Sias, Richard W. 2004. “Institutional Herding.” The Review of Financial Studies 17 (1): 165–206.
Sirri, Erik R, and Peter Tufano. 1998. “Costly Search and Mutual Fund Flows.” The Journal of Finance 53 (5): 1589–1622.
Sloan, Richard G. 1996. “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?” Accounting Review, 289–315.
Soebhag, Amar, Bart Van Vliet, and Patrick Verwijmeren. 2022. “Mind Your Sorts.” Working Paper. https://di.org/10.2139/ssrn.4136672.
Storey, John D. 2003. “The Positive False Discovery Rate: A Bayesian Interpretation and the q-Value.” The Annals of Statistics 31 (6): 2013–35.
Subrahmanyam, Avanidhar. 1994. “Circuit Breakers and Market Volatility: A Theoretical Perspective.” The Journal of Finance 49 (1): 237–54.
Svensson, Lars EO. 1994. “Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994.” National bureau of economic research Cambridge, Mass., USA.
Taleb, Nassim Nicholas. 2010. The Black Swan:: The Impact of the Highly Improbable: With a New Section:" on Robustness and Fragility". Vol. 2. Random house trade paperbacks.
Tan, Mingxing, and Quoc Le. 2019. “Efficientnet: Rethinking Model Scaling for Convolutional Neural Networks.” In International Conference on Machine Learning, 6105–14. PMLR.
Tetlock, Paul C. 2007. “Giving Content to Investor Sentiment: The Role of Media in the Stock Market.” The Journal of Finance 62 (3): 1139–68.
Tetlock, Paul C, Maytal Saar-Tsechansky, and Sofus Macskassy. 2008. “More Than Words: Quantifying Language to Measure Firms’ Fundamentals.” The Journal of Finance 63 (3): 1437–67.
Titman, Sheridan, KC John Wei, and Feixue Xie. 2004. “Capital Investments and Stock Returns.” Journal of Financial and Quantitative Analysis 39 (4): 677–700.
Tobin, James. 1969. “A General Equilibrium Approach to Monetary Theory.” Journal of Money, Credit and Banking 1 (1): 15–29.
Varian, Hal R. 1985. “Divergence of Opinion in Complete Markets: A Note.” The Journal of Finance 40 (1): 309–17.
Veličković, Petar, Guillem Cucurull, Arantxa Casanova, Adriana Romero, Pietro Lio, and Yoshua Bengio. 2017. “Graph Attention Networks.” arXiv Preprint arXiv:1710.10903.
Verrecchia, Robert E. 1983. “Discretionary Disclosure.” Journal of Accounting and Economics 5: 179–94.
———. 2001. “Essays on Disclosure.” Journal of Accounting and Economics 32 (1-3): 97–180.
Vilhuber, Lars. 2020. “Reproducibility and Replicability in Economics.” Harvard Data Science Review 2 (4): 1–39.
Vo, Duc Hong, and Bao Doan. 2023. “Minimum Tick Size, Market Quality and Costs of Trade Execution in Vietnam.” Plos One 18 (5): e0285821.
Vo, Xuan Vinh. 2015. “Foreign Ownership and Stock Return Volatility–Evidence from Vietnam.” Journal of Multinational Financial Management 30: 101–9.
———. 2017. “Do Foreign Investors Improve Stock Price Informativeness in Emerging Equity Markets? Evidence from Vietnam.” Research in International Business and Finance 42: 986–91.
Vo, Xuan Vinh, and Dang Bao Anh Phan. 2017. “Further Evidence on the Herd Behavior in Vietnam Stock Market.” Journal of Behavioral and Experimental Finance 13: 33–41.
Vu, Thanh, Dat Quoc Nguyen, Mark Dras, Mark Johnson, et al. 2018. “VnCoreNLP: A Vietnamese Natural Language Processing Toolkit.” In Proceedings of the 2018 Conference of the North American Chapter of the Association for Computational Linguistics: Demonstrations, 56–60.
Walter, Dominik, Rüdiger Weber, and Patrick Weiss. 2022. Non-standard errors in portfolio sorts.” Working Paper. https://ssrn.com/abstract=4164117.
Warner, Jerold B, Ross L Watts, and Karen H Wruck. 1988. “Stock Prices and Top Management Changes.” Journal of Financial Economics 20: 461–92.
Wermers, Russ. 2000. “Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses.” The Journal of Finance 55 (4): 1655–95.
White, Halbert. 2000. “A Reality Check for Data Snooping.” Econometrica 68 (5): 1097–1126.
Whited, Toni M, and Guojun Wu. 2006. “Financial Constraints Risk.” The Review of Financial Studies 19 (2): 531–59.
Yan, Xuemin Sterling. 2008. “Liquidity, Investment Style, and the Relation Between Fund Size and Fund Performance.” Journal of Financial and Quantitative Analysis 43 (3): 741–67.
Yang, Dennis, and Qiang Zhang. 2000. “Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices.” The Journal of Business 73 (3): 477–92.
Young, Michael N, Mike W Peng, David Ahlstrom, Garry D Bruton, and Yi Jiang. 2008. “Corporate Governance in Emerging Economies: A Review of the Principal–Principal Perspective.” Journal of Management Studies 45 (1): 196–220.
Zang, Amy Y. 2012. “Evidence on the Trade-Off Between Real Activities Manipulation and Accrual-Based Earnings Management.” The Accounting Review 87 (2): 675–703.