Essay 1: On the robustness of covariance risk and pricing AnomaliesBanz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
Banz, Rolf W., and William J. Breen, 1986, Sample-dependent results using accounting and market data: Some evidence, Journal of Finance 41, 779-793.
Basu, Sanjoy, 1983, The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12, 129-156.
Bhandari, Laxmi Chand, 1988, Debt/Equity ratio and expected common stock returns: Empirical evidence, Journal of Finance 43, 507-528.
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Black, Fischer, 1993, Beta and return, Journal of Portfolio Management 20, 8-18.
Chan, Louis K., Yasushi Hamao, and Josef Lakonishok, 1991, Fundamentals and stock returns in Japan, Journal of Finance 46, 1739-1789.
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Daniel, Kent, and Sheridan Titman, 1997, Evidence on the Characteristics of cross sectional variation in stock returns, Journal of Finance 52, 1-33.
Daniel, Kent, Sheridan Titman, and K. C. John Wei, 2001, Explaining the cross-section of stock returns in Japan: Factors or characteristics?, Journal of Finance 56, 743-766.
Davis, James L., Eugene F. Fama, and Kenneth R. French, 2000, Characteristics, covariances, and average returns: 1929 to 1997, Journal of Finance 55, 389-406.
DeBondt, Werner F. M., and Richard H. Thaler, 1985, Does the stock market overreact, Journal of Finance 40, 793-805.
Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
Fama, Eugene F., and Kenneth R. French, 1998, Value versus growth: The international evidence, Journal of Finance 53, 1975-1999.
Fama, Eugene F., and James D. MacBeth, 1973, Risk, return, and equilibrium: empirical tests, Journal of Political Economy 81, 607-636.
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Return to buying winners and selling losers: Implications for sock market efficiency, Journal of Finance 48, 65-91.
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Lintner, J., 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
MacKinlay, A. Craig, 1995, Multifactor models do not explain deviations from the CAPM, Journal of Financial Economics 38, 3-28.
Markowitz, H., 1952, Portfolio selection, Journal of Finance 7, 77-91.
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Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 11, 9-17.
Ross, Stephen A., 1976, The arbitrage theory of capita asset pricing, Journal of Economic Theory 13, 341-360.
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Essay 2: On rational and behavioral aspects of investor Sentiment
Baker, Malcolm and Jeremy C. Stein, 2004, Market liquidity as a sentiment indicator, Journal of Financial Markets 7, 271-299.
Baker, Malcolm and Jeffrey Wurgler, 2004, Investor sentiment and the cross-section of stock returns, forthcoming in Journal of Finance.
Banz, Rolf W. and William J. Breen, 1986, Sample-dependent results using accounting and market data: Some evidence, Journal of Finance 41, 779-793.
Black, Fisher, 1986, Noise, Journal of Finance 41, 529-543.
Brown, Gregory W. and Michael Cliff, 2004, Investor Sentiment and the Near-Term Stock Market, Journal of Empirical Finance 11, 1-27.
Brown, Gregory W. and Michael T. Cliff, 2005, Investor sentiment and asset valuation, Journal of Business 78, 405-440.
Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum Strategies, Journal of Finance 51, 1681-1713.
Chan, L. K. C., J. Karceski, and J. Lakonishok, 1998, The Risk and Return from Factors, Journal of Financial and Quantitative Analysis 33, 159-188.
Chen, Nai-fu, Richard Roll, and Stephen A. Ross, 1986, Economic Forces and the Stock Market, Journal of Business 59, 383-403.
Clarke, Roger G. and Meir Statman, 1998, Bullish or Bearish, Financial Analysts Journal 54, 63-72.
De Bondt, Werner F. M. and Richard Thaler, 1985, Does the Stock Market Overreact?, Journal of Finance 40, 793-805.
DeLong, J. B., Andrei Shleifer, Lawrence H. Summers, and Ribert J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
Elton, Edwin J., Martin J. Gruber, and Jeffrey A. Busse, 1998, Do Investors Care about Sentiment?. Journal of Bussiness 71, 477-500.
Fama, Eugence F. and James D. MacBeth, 1973, Risk, return and equilibrium - Empirical tests, Journal of Political Economy 81, 607-636.
Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
Fama, Eugence F. and Michael R. Gibbons, 1984, A Comparison of Inflation Forecasts, Journal of Monetary Economics 13, 327-348.
Fisher, Kenneth L. and Meir Statman, 2000, Investor sentiment and stock returns, Financial Analysts Journal 56, 16-23.
Lee, Wayne Y., Christine X. Jiang, and Daniel C. Indro, 2002, Stock market volatility, excess returns, and the role of investor sentiment, Journal of Banking and Finance 26, 2277-2299.
Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, 1991, Investor sentiment and the closed-end fund puzzle, Journal of Finance 46, 75-109.
Neal, Robert and Simon M. Wheatley, 1998, Do measures of investor sentiment predict returns?, Journal of Financial and Quantitative Analysis 33, 523-547.
Newey, Whitney K., and Kenneth D. West, 1987, A simple, heteroskedastic and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
Qiu, Lily and Ivo Welch, 2005, Investment sentiment measures, NBER working paper series.
Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
Soft, Michael E. and Meir Statman, 1988, How Useful is the Sentiment Index, Financial Analysts Journal 44, 45-55.