List of Seminal Papers

1. Ali, A., Hwang, L.-S., & Trombley, M. A. (2003). Arbitrage risk and the book-
to-market anomaly. Journal of Financial Economics, 69(2), 355–373.
2. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series
effects. Journal of Financial Markets, 5(1), 31–56.
3. Anderson, C. W., & Garcia‐Feijoo, L. (2006). Empirical evidence on capital
investment, growth options, and security returns. The Journal of Finance,
61(1), 171–194.
4. Balakrishnan, K., Bartov, E., & Faurel, L. (2010). Post loss profit
announcement drift. Journal of Accounting and Economics, 50(1), 20–41.
5. Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as
lotteries and the cross-section of expected returns. Journal of Financial
Economics, 99(2), 427–446.
6. Banz, R. W. (1981). The relationship between return and market value of
common stocks. Journal of Financial Economics, 9(1), 3–18.
7. Barbee, W. C., Mukherji, S., & Raines, G. A. (1996). Do sales–price and
debt–equity explain stock returns better than book–market and firm size.
Financial Analysts Journal, 52(2), 56–60.
8. Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The
common stock investment performance of individual investors. The Journal of
Finance, 55(2), 773–806.
9. Barber, B. M., & Odean, T. (2001). Boys will be boys: Gender,
overconfidence, and common stock investment. The Quarterly Journal of
Economics, 116(1), 261–292.
10. Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and
news on the buying behavior of individual and institutional investors. The
Review of Financial Studies, 21(2), 785–818.
11. Basu, S. (1977). Investment performance of common stocks in relation to their
price earnings ratios: A test of the efficient market hypothesis. The Journal of
Finance, 32(3), 663–682.
12. Benos, A. (1998). Aggressiveness and survival of overconfident traders.
Journal of Financial Markets, 1(3–4), 353–383.
13. Bhandari, L. C. (1988). Debt equity ratio and expected common stock returns:
Empirical evidence. The Journal of Finance, 43(2), 507–528.14. Brennan, M. J., Chordia, T., & Subrahmanyam, A. (1998). Alternative factor
specifications, security characteristics, and the cross-section of expected
stock returns. Journal of Financial Economics, 49(3), 345–373.
15. Brown, D. P., & Rowe, B. (2007). The productivity premium in equity returns.
Available at SSRN 993467.
16. Chan, L. K. C., Lakonishok, J., & Sougiannis, T. (2001). The stock market
valuation of research and development expenditures. The Journal of Finance,
56(6), 2431–2456.
17. Chen, L., & Zhang, L. (2010). A better three-factor model that explains more
anomalies. Journal of Finance, 65(2), 563–595. (Retracted)
18. Chordia, T., Subrahmanyam, A., & Anshuman, V. R. (2001). Trading activity
and expected stock returns. Journal of Financial Economics, 59(1), 3–32.
19. Cohen, L., & Frazzini, A. (2008). Economic links and predictable returns. The
Journal of Finance, 63(4), 1977–2011.
20. Cooper, M. J., Gulen, H., & Schill, M. J. (2008). Asset growth and the cross-
section of stock returns. The Journal of Finance, 63(4), 1609–1651.
21. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology
and security market under and overreactions. The Journal of Finance, 53(6),
1839–1885.
22. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (2001). Overconfidence,
arbitrage, and equilibrium asset pricing. The Journal of Finance, 56(3),
921–965.
23. De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact.
The Journal of Finance, 40(3), 793–805.
24. DellaVigna, S., & Pollet, J. M. (2009). Investor inattention and Friday earnings
announcements. The Journal of Finance, 64(2), 709–749.
25. Fama, E. F., & French, K. R. (2006). The value premium and the CAPM. The
Journal of Finance, 61(5), 2163–2185.
26. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical
tests. Journal of Political Economy, 81(3), 607–636.
27. Foster, G., Olsen, C., & Shevlin, T. (1984). Earnings releases, anomalies, and
the behavior of security returns. The Accounting Review, 574–603.
28. Goetzmann, W. N., & Kumar, A. (2008). Equity portfolio diversification.
Review of Finance, 12(3), 433–463.
29. Grinblatt, M., & Keloharju, M. (2001). How distance, language, and culture
influence stockholdings and trades. The Journal of Finance, 56(3),
1053–1073.30. Hirshleifer, D., Lim, S. S., & Teoh, S. H. (2009). Driven to distraction:
Extraneous events and underreaction to earnings news. The Journal of
Finance, 64(5), 2289–2325.
31. Hirshleifer, D., Hou, K., Teoh, S. H., & Zhang, Y. (2004). Do investors
overvalue firms with bloated balance sheets. Journal of Accounting and
Economics, 38, 297–331.
32. Ivkovic, Z., Sialm, C., & Weisbenner, S. (2009). Portfolio concentration and
the performance of individual investors. Journal of Financial and Quantitative
Analysis, 43(3), 613–656.
33. Jegadeesh, N. (1990). Evidence of predictable behavior of security returns.
The Journal of Finance, 45(3), 881–898.
34. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling
losers: Implications for stock market efficiency. The Journal of Finance, 48(1),
65–91.
35. Kahneman, D. (1973). Attention and effort. Englewood Cliffs, NJ: Prentice-
Hall. (Book / Kitap)
36. Kahneman, D., & Lovallo, D. (1993). Timid choices and bold forecasts: A
cognitive perspective on risk taking. Management Science, 39(1), 17–31.
37. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision
under risk. Econometrica, 47(2), 263–291.
38. Kumar, A. (2009). Who gambles in the stock market. The Journal of Finance,
64(4), 1889–1933.
39. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment,
extrapolation, and risk. The Journal of Finance, 49(5), 1541–1578.
40. Lockwood, L., & Prombutr, W. (2010). Sustainable growth and stock returns.
Journal of Financial Research, 33(4), 519–538.
41. Loughran, T., & Wellman, J. W. (2011). New evidence on the relation between
the enterprise multiple and average stock returns. Journal of Financial and
Quantitative Analysis, 46(6), 1629–1650.
42. Mitton, T., & Vorkink, K. (2007). Equilibrium underdiversification and the
preference for skewness. The Review of Financial Studies, 20(4), 1255–1288.
43. Novy-Marx, R. (2013). The other side of value: The gross profitability
premium. Journal of Financial Economics, 108(1), 1–28.
44. Odean, T. (1998). Are investors reluctant to realize their losses. The Journal
of Finance, 53(5), 1775–1798.
45. Odean, T. (1999). Do investors trade too much. American Economic Review,
89(5), 1279–1298.46. Odean, T. (2002). Volume, volatility, price, and profit when all traders are
above average. The Journal of Finance, 53(6), 1887–1934.
47. Palazzo, B. (2012). Cash holdings, risk, and expected returns. Journal of
Financial Economics, 104(1), 162–185.
48. Pontiff, J., & Woodgate, A. (2008). Share issuance and cross-sectional
returns. The Journal of Finance, 63(2), 921–945.
49. Seyhun, H. N. (1998). Investment intelligence from insider trading. MIT Press.
(Book / Kitap)
50. Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and
cash flows about future earnings. The Accounting Review, 289–315.
51. Soliman, M. T. (2008). The use of DuPont analysis by market participants.
The Accounting Review, 83(3), 823–853.
52. Stattman, D. (1980). Book values and stock returns. The Chicago MBA: A
Journal of Selected Papers, 4(1), 25–45. (Book / Kitap)
53. Teoh, S. H., Welch, I., & Wong, T. J. (1998a). Earnings management and the
long-run market performance of initial public offerings. The Journal of
Finance, 53(6), 1935–1974.
54. Teoh, S. H., Welch, I., & Wong, T. J. (1998b). Earnings management and the
underperformance of seasoned equity offerings. Journal of Financial
Economics, 50(1), 63–99.
55. Thomas, J. K., & Zhang, H. (2002). Inventory changes and future returns.
Review of Accounting Studies, 7(2), 163–187.