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WORKING PAPERS

Arnold, G.,  2007, “Return Reversal in UK Shares”, January.

Arnold, G., 2007, “Financial Statement Analysis and Return Reversal”.

Arnold, G., 2007, “Testing Benjamin Graham’s Net Current Asset Value Strategy in London”, January.

Athanassakos, G., 2009, “The Performance, Pervasiveness and Determinants of Value Premium in Different US Exchanges: 1985-2006”, December.

Athanassakos, G., 2009, “What Drives the Seasonality in Value vs. Growth Stock Returns and the Value Premium? A Possible Explanation”, December.

Bhattacharya, U., N. E. Galpin, 2005, “Is Stock Picking Declining Around the World?”, November.

Blazenko, G., 2009, “Value Versus Growth in Dynamic Equity Investing”, December.

Boyle, P., L. Garlappi, R. Uppal, and T. Wang, 2009, “Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification”, February.

Doukas, J. -  Click here to view working papers

Fama, E. -  Click here to view working papers

Fong, W. M., 2008, “Investigating the Risk Argument for the Value Premium”, December.

French, K., and E. F. Fama, 2007, “Migration”, February.

French, K., and E. F. Fama, 2005, “The Anatomy of Value and Growth Stock Returns”, September.

French, K., and E. F. Fama, 2006, “Dissecting Anomalies”, December.

French, K., and E. F. Fama, 2007, “Average Returns, B/M, and Share Issues”, April.

Hirshleifer, D., and S. H. Teoh, 2005, “Limited Investor Attention and Stock Market Misreactions to Accounting Information”, November.

Hirshleifer, D., S. H. Teoh, and K. Hou, 2005, “Accruals and Aggregate Stock Market Returns”, November.

Hirshleifer, D., S. H. Teoh, and K. Hou, 2006, “Accruals and NOA Anomalies: Risk or Mispricing?”, March.

Hirshleifer, D., S. H. Teoh, and S. S. Lim, 2006, “Driven to Distraction: Extraneous Events and Underreaction to Earnings News”, May.

Ho, K. - Click here to view working papers

Houge, T. - Click here to view working papers

Hsu, J., R. Arnott, J. Liu, and H. Markowitz, 2009, “Can Noise Create the Size and Value Efects?”, January.

Knewtson, H. S., R. W. Sias, and D. A. Whidbee., 2009, “Style Timing with Insiders”, November.

Mamun, A., N. Visaltanachoti, and B. Jacobsen, 2005, “Seasonal, Size and Value Anomalies”, August.

Pantzalis, C. - Click here to view working papers

Phalippou, L. - Click here to view working papers

Richardson, S. - Click here to view working papers

Shleifer, A. - Click here to view working papers

Viceira, L. - Click here to view working papers

Walkshäusl, C., 2009, “Fundamental Indexing Around the World”

Wong, W-K., 2009, “Financial Astrology: Mapping the Presidential Election Cycle in US Stock Markets”, January.

Yan, Z., 2009, “When Two Anomalies Meet: Post-Earnings-Announcement Drift and Value-Glamour Anomaly”, September.

Yang, J., and X. Su, 2006, “Are Value and Growth More Predictable than the Market?”, March.

Zhang, L., L. Chen, and R. Petkova, 2006, “The Expected Value Premium”, presented at AFA, last updated in September 2006 [revision of NBER working paper #12183, Ross School of Business working paper #1049], September.

Zhang, L., and N. Liu, 2006, “Is the Value Spread a Useful Predictor of Returns?”, presented at WFA, last updated in September 2006 [revision of NBER working paper #11326, Ross School of Business working paper #1051], September.

Zhang, L., H. Gulen, and Y. Xing, 2004, “Value versus Growth: Movements in Economic Fundamentals”, presented at AFA, August.

Zhang, L. - Click here for more information on Lu Zhang's research