Akademické články ze kterých čerpáme

Abarbanell, Jeffery S, and Brian J Bushee, 1998, Abnormal returns to a fundamental analysis strategy, Accounting Review 19–45.

Acharya, Viral V, and Lasse Heje Pedersen, 2005, Asset pricing with liquidity risk, Journal of financial Economics 77, 375–410.

Alwathainani, Abdulaziz M, 2009, Consistency of firms’ past financial performance measures and future returns, The British Accounting Review 41, 184–196.

Amihud, Yakov, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of financial markets 5, 31–56.

Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of financial Economics 17, 223–249.

Anderson, Evan W, Eric Ghysels, and Jennifer L Juergens, 2005, Do heterogeneous beliefs matter for asset pricing?, The Review of Financial Studies 18, 875–924.

Andrew Karolyi, G., 2016, Home Bias, an Academic Puzzle, Review of Finance 20, 2049–2078.

Andrikopoulos, Panagiotis, James Clunie, and Antonios Siganos, 2013, Short-selling constraints and ‘quantitative’ investment strategies, The European Journal of Finance 19, 19–35.

Ang, Andrew, Joseph Chen, and Yuhang Xing, 2006a, Downside risk, The Review of Financial Studies 19, 1191–1239.

Ang, Andrew, Robert J Hodrick, Yuhang Xing, and Xiaoyan Zhang, 2006b, The cross-section of volatility and expected returns, The Journal of Finance 61, 259–299.

Asness, Clifford S, Tobias J Moskowitz, and Lasse Heje Pedersen, 2013, Value and momentum everywhere, The Journal of Finance 68, 929–985.

Asparouhova, Elena, Hendrik Bessembinder, and Ivalina Kalcheva, 2010, Liquidity biases in asset pricing tests, Journal of Financial Economics 96, 215–237.

Avramov, Doron, Si Cheng, and Lior Metzker, 2019, Machine learning versus economic restrictions: Evidence from stock return predictability, Available at SSRN 3450322 .

Avramov, Doron, Tarun Chordia, Gergana Jostova, and Alexander Philipov, 2013, Anomalies and financial distress, Journal of Financial Economics 108, 139–159.

Bali, Turan G, Nusret Cakici, and Robert F Whitelaw, 2011, Maxing out: Stocks as lotteries and the cross-section of expected returns, Journal of Financial Economics 99, 427–446.

Bali, Turan G, Lin Peng, Yannan Shen, and Yi Tang, 2013, Liquidity shocks and stock market reactions, The Review of Financial Studies 27, 1434–1485.

Ball, Ray, Joseph Gerakos, Juhani T Linnainmaa, and Valeri Nikolaev, 2016, Accruals, cash flows, and operating profitability in the cross section of stock returns, Journal of Financial Economics 121, 28–45.

Banz, Rolf W, 1981, The relationship between return and market value of common stocks, Journal of financial economics 9, 3–18.

Barbee Jr, William C, Sandip Mukherji, and Gary A Raines, 1996, Do sales–price and debt–equity explain stock returns better than book–market and firm size?, Financial Analysts Journal 52, 56–60.

Barber, Brad, Reuven Lehavy, Maureen McNichols, and Brett Trueman, 2001, Can investors profit from the prophets? security analyst recommendations and stock returns, The Journal of Finance 56, 531–563.

Barber, Brad M, Emmanuel T De George, Reuven Lehavy, and Brett Trueman, 2013, The earnings an-nouncement premium around the globe, Journal of Financial Economics 108, 118–138.

Barry, Christopher B, and Stephen J Brown, 1984, Differential information and the small firm effect, Journal of Financial Economics 13, 283–294.

Barth, Mary E, and Amy P Hutton, 2004, Analyst earnings forecast revisions and the pricing of accruals, Review of accounting studies 9, 59–96.

Bartov, Eli, and Myungsun Kim, 2004, Risk, mispricing, and value investing, Review of Quantitative Finance and Accounting 23, 353–376.

Bartram, Söhnke M, and Mark Grinblatt, 2018, Global market inefficiencies.

Basu, Sanjoy, 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, 663–682.

Belo, Frederico, and Xiaoji Lin, 2011, The inventory growth spread, The Review of Financial Studies 25, 278–313.

Belo, Frederico, Xiaoji Lin, and Santiago Bazdresch, 2014, Labor hiring, investment, and stock return predictability in the cross section, Journal of Political Economy 122, 129–177.

Bhandari, Laxmi Chand, 1988, Debt/equity ratio and expected common stock returns: Empirical evidence, The journal of finance 43, 507–528.

Blitz, David, Joop Huij, and Martin Martens, 2011, Residual momentum, Journal of Empirical Finance 18, 506–521.

Blume, Marshall E, and Frank Husic, 1973, Price, beta, and exchange listing, The Journal of Finance 28, 283–299.

Bondt, Werner FM, and Richard Thaler, 1985, Does the stock market overreact?, The Journal of finance 40, 793–805.

45Boudoukh, Jacob, Roni Michaely, Matthew Richardson, and Michael R Roberts, 2007, On the importance of measuring payout yield: Implications for empirical asset pricing, The Journal of Finance 62, 877–915.

Bradshaw, Mark T, Scott A Richardson, and Richard G Sloan, 2006, The relation between corporate financing activities, analysts’ forecasts and stock returns, Journal of Accounting and Economics 42, 53–85.

Chan, Louis KC, Josef Lakonishok, and Theodore Sougiannis, 2001, The stock market valuation of research and development expenditures, The Journal of Finance 56, 2431–2456.

Chen, Luyang, Markus Pelger, and Jason Zhu, 2019, Deep learning in asset pricing, Available at SSRN 3350138.

Chen, Tianqi, and Tong He, 2017, xgboost: extreme gradient boosting.

Chordia, Tarun, Avanidhar Subrahmanyam, and V Ravi Anshuman, 2001, Trading activity and expected stock returns, Journal of Financial Economics 59, 3–32.

Chordia, Tarun, Avanidhar Subrahmanyam, and Qing Tong, 2014, Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?, Journal of Accounting and Economics 58, 41–58.

Chui, Andy CW, Sheridan Titman, and KC John Wei, 2010, Individualism and momentum around the world, The Journal of Finance 65, 361–392.

Chung, Kee H, and Hao Zhang, 2014, A simple approximation of intraday spreads using daily data, Journal of Financial Markets 17, 94–120.

Cooper, Michael J, Huseyin Gulen, and Michael J Schill, 2008, Asset growth and the cross-section of stock returns, The Journal of Finance 63, 1609–1651.

Da, Zhi, and Mitch Warachka, 2011, The disparity between long-term and short-term forecasted earnings growth, Journal of Financial Economics 100, 424–442.

Daniel, Kent, and Sheridan Titman, 2006, Market reactions to tangible and intangible information, The Journal of Finance 61, 1605–1643.

Datar, Vinay T, Narayan Y Naik, and Robert Radcliffe, 1998, Liquidity and stock returns: An alternative test, Journal of Financial Markets 1, 203–219.

Dechow, Patricia M, Richard G Sloan, and Mark T Soliman, 2004, Implied equity duration: A new measure of equity risk, Review of Accounting Studies 9, 197–228.

Dechow, Patricia M, Richard G Sloan, and Amy P Sweeney, 1995, Detecting earnings management, Accounting review 193–225.

Dichev, Ilia D, 1998, Is the risk of bankruptcy a systematic risk?, the Journal of Finance 53, 1131–1147.

Diether, Karl B, Christopher J Malloy, and Anna Scherbina, 2002, Differences of opinion and the crosssection of stock returns, The Journal of Finance 57, 2113–2141.

Eberhart, Allan C, William F Maxwell, and Akhtar R Siddique, 2004, An examination of long-termabnormal stock returns and operating performance following r&d increases, The Journal of Finance 59, 623–650.

Eisfeldt, Andrea L, and Dimitris Papanikolaou, 2013, Organization capital and the cross-section of expected returns, The Journal of Finance 68, 1365–1406.

Elgers, Pieter T, May H Lo, and Ray J Pfeiffer Jr, 2001, Delayed security price adjustments to financial analysts’ forecasts of annual earnings, The Accounting Review 76, 613–632.

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, 353–371.

Fama, Eugene F, and Kenneth R French, 1992, The cross-section of expected stock returns, the Journal of Finance 47, 427–465.

Fama, Eugene F, and Kenneth R French, 2012, Size, value, and momentum in international stock returns, Journal of financial economics 105, 457–472.

Fama, Eugene F., and Kenneth R. French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1 – 22.

Fama, Eugene F, and Kenneth R French, 2017, International tests of a five-factor asset pricing model, Journal of Financial Economics 123, 441–463.

Fama, Eugene F, and James D MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of political economy 81, 607–636.

Fong, Kingsley, Craig Holden, and Ondrej Tobek, 2017, Are volatility over volume liquidity proxies useful for global or us research? .

Francis, Jennifer, Ryan LaFond, Per M Olsson, and Katherine Schipper, 2004, Costs of equity and earnings attributes, The accounting review 79, 967–1010.

Frankel, Richard, and Charles MC Lee, 1998, Accounting valuation, market expectation, and cross-sectional stock returns, Journal of Accounting and economics 25, 283–319.

Frazzini, Andrea, Ronen Israel, and Tobias J Moskowitz, 2012, Trading costs of asset pricing anomalies, Fama-Miller working paper 14–05.

Frazzini, Andrea, and Lasse Heje Pedersen, 2014, Betting against beta, Journal of Financial Economics 111, 1–25.

Friedman, Jerome, Trevor Hastie, and Robert Tibshirani, 2001, The elements of statistical learning, volume 1 (Springer series in statistics New York, NY, USA:).

Friedman, Jerome H, 2001, Greedy function approximation: a gradient boosting machine, Annals of statistics 1189–1232.

George, Thomas J, and Chuan-Yang Hwang, 2004, The 52-week high and momentum investing, The Journal of Finance 59, 2145–2176.

Green, Jeremiah, John RM Hand, and X Frank Zhang, 2017, The characteristics that provide independent information about average us monthly stock returns, The Review of Financial Studies .

Griffin, John M, 2002, Are the fama and french factors global or country specific?, The Review of Financial Studies 15, 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, 3225–3277.

Gu, Shihao, Bryan Kelly, and Dacheng Xiu, 2020, Empirical Asset Pricing via Machine Learning, The Review of Financial Studies 33, 2223–2273.

Gu, Shihao, Bryan T Kelly, and Dacheng Xiu, 2019, Autoencoder asset pricing models, Available at SSRN.

Hafzalla, Nader, Russell Lundholm, and E Matthew Van Winkle, 2011, Percent accruals, The Accounting Review 86, 209–236.

Hahn, Jaehoon, and Hangyong Lee, 2009, Financial constraints, debt capacity, and the cross-section of stock returns, The Journal of Finance 64, 891–921.

Harvey, Campbell R, Yan Liu, and Heqing Zhu, 2016, . . . and the cross-section of expected returns, The Review of Financial Studies 29, 5–68.

Harvey, Campbell R, and Akhtar Siddique, 2000, Conditional skewness in asset pricing tests, The Journal of Finance 55, 1263–1295.

Hasbrouck, Joel, 2009, Trading costs and returns for us equities: Estimating effective costs from daily data, The Journal of Finance 64, 1445–1477.

Haugen, Robert A, and Nardin L Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics 41, 401–439.

Hawkins, Eugene H, Stanley C Chamberlin, and Wayne E Daniel, 1984, Earnings expectations and security prices, Financial Analysts Journal 40, 24–38.

Heston, Steven L, and Ronnie Sadka, 2008, Seasonality in the cross-section of stock returns, Journal of Financial Economics 87, 418–445.

Hirshleifer, David, Kewei Hou, Siew Hong Teoh, and Yinglei Zhang, 2004, Do investors overvalue firms with bloated balance sheets?, Journal of Accounting and Economics 38, 297–331.

Horel, Enguerrand, and Kay Giesecke, 2019, Towards explainable ai: Significance tests for neural networks, arXiv preprint arXiv:1902.06021 .

Hou, Kewei, G Andrew Karolyi, and Bong-Chan Kho, 2011, What factors drive global stock returns?, The Review of Financial Studies 24, 2527–2574.

Hou, Kewei, and David T Robinson, 2006, Industry concentration and average stock returns, The Journal of Finance 61, 1927–1956.

Hou, Kewei, Chen Xue, and Lu Zhang, 2018, Replicating Anomalies, The Review of Financial Studies .

Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 1995, Market underreaction to open market share repurchases, Journal of financial economics 39, 181–208.

Ilmanen, A, R Israel, T Moskowitz, A Thapar, and F Wang, 2019, Do factor premia vary over time? a century of evidence, Technical report, Working Paper, AQR Capital Management. https://papers. ssrn. com/sol3/papers . . . .

Ince, Ozgur S, and R Burt Porter, 2006, Individual equity return data from thomson datastream: Handle with care!, Journal of Financial Research 29, 463–479.

Jacobs, Heiko, and Sebastian Müller, 2018, ... and nothing else matters? on the dimensionality and predictability of international stock returns.

Jacobs, Heiko, and Sebastian Müller, 2020, Anomalies across the globe: Once public, no longer existent?, Journal of Financial Economics 135, 213–230.

Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, The Journal of finance 45, 881–898.

Jegadeesh, Narasimhan, Joonghyuk Kim, Susan D Krische, and Charles Lee, 2004, Analyzing the analysts: When do recommendations add value?, The journal of finance 59, 1083–1124.

Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of finance 48, 65–91.

Kelly, Bryan, and Hao Jiang, 2014, Tail risk and asset prices, The Review of Financial Studies 27, 2841–2871.

Kelly, Bryan T, Seth Pruitt, and Yinan Su, 2019, Characteristics are covariances: A unified model of risk and return, Journal of Financial Economics 134, 501–524.

Kingma, Diederik P, and Jimmy Ba, 2014, Adam: A method for stochastic optimization, arXiv preprint arXiv:1412.6980 .

Kot, Hung Wan, and Kalok Chan, 2006, Can contrarian strategies improve momentum profits, Journal of Investment Management 4.

Kyle, Albert S, and Anna A Obizhaeva, 2016, Market microstructure invariance: Empirical hypotheses, Econometrica 84, 1345–1404.

La Porta, Rafael, 1996, Expectations and the cross-section of stock returns, The Journal of Finance 51, 1715–1742.

Lakonishok, Josef, Andrei Shleifer, and Robert W Vishny, 1994, Contrarian investment, extrapolation, and risk, The journal of finance 49, 1541–1578.

Lam, FY Eric C, and KC John Wei, 2011, Limits-to-arbitrage, investment frictions, and the asset growth anomaly, Journal of Financial Economics 102, 127–149.

Lee, Charles, and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, the Journal of Finance 55, 2017–2069.

Lee, Kuan-Hui, 2011, The world price of liquidity risk, Journal of Financial Economics 99, 136–161. Lewellen, Jonathan, et al., 2015, The cross-section of expected stock returns, Critical Finance Review 4, 1–44.

Li, Dongmei, 2011, Financial constraints, r&d investment, and stock returns, The Review of Financial Studies 24, 2974–3007.

Lockwood, Larry, and Wikrom Prombutr, 2010, Sustainable growth and stock returns, Journal of Financial Research 33, 519–538.

Loughran, Tim, and Jay W Wellman, 2011, New evidence on the relation between the enterprise multiple and average stock returns, Journal of Financial and Quantitative Analysis 46, 1629–1650.

Lu, Xiaomeng, Robert F Stambaugh, and Yu Yuan, 2017, Anomalies abroad: Beyond data mining, Technical report, National Bureau of Economic Research.

Lyandres, Evgeny, Le Sun, and Lu Zhang, 2007, The new issues puzzle: Testing the investment-based explanation, The Review of Financial Studies 21, 2825–2855.

McLean, R David, and Jeffrey Pontiff, 2016, Does academic research destroy stock return predictability?, The Journal of Finance 71, 5–32.

McLean, R David, Jeffrey Pontiff, and Akiko Watanabe, 2009, Share issuance and cross-sectional returns: International evidence, Journal of Financial Economics 94, 1–17.

Moskowitz, Tobias J, and Mark Grinblatt, 1999, Do industries explain momentum?, The Journal of Finance 54, 1249–1290.

Novy-Marx, Robert, 2010, Operating leverage, Review of Finance 15, 103–134.

Novy-Marx, Robert, 2012, Is momentum really momentum?, Journal of Financial Economics 103, 429–453.

Novy-Marx, Robert, 2013, The other side of value: The gross profitability premium, Journal of Financial Economics 108, 1–28.

Novy-Marx, Robert, and Mihail Velikov, 2015, A taxonomy of anomalies and their trading costs, The Review of Financial Studies 29, 104–147.

Ortiz-Molina, Hernán, and Gordon M Phillips, 2014, Real asset illiquidity and the cost of capital, Journal of Financial and Quantitative Analysis 49, 1–32.

Palazzo, Berardino, 2012, Cash holdings, risk, and expected returns, Journal of Financial Economics 104, 162–185.

Penman, Stephen H, Scott A Richardson, and Irem Tuna, 2007, The book-to-price effect in stock returns: accounting for leverage, Journal of Accounting Research 45, 427–467.

Piotroski, Joseph D, 2000, Value investing: The use of historical financial statement information to separate winners from losers, Journal of Accounting Research 1–41.

Pontiff, Jeffrey, and Artemiza Woodgate, 2008, Share issuance and cross-sectional returns, The Journal of Finance 63, 921–945.

Richardson, Scott A, Richard G Sloan, Mark T Soliman, and Irem Tuna, 2006, The implications of accounting distortions and growth for accruals and profitability, The Accounting Review 81, 713–743.

Roll, Richard, 1984, A simple implicit measure of the effective bid-ask spread in an efficient market, The Journal of finance 39, 1127–1139.

Rouwenhorst, K Geert, 1998, International momentum strategies, The journal of finance 53, 267–284.

Rouwenhorst, K Geert, 1999, Local return factors and turnover in emerging stock markets, The journal of finance 54, 1439–1464.

Schwert, G William, 2003, Anomalies and market efficiency, Handbook of the Economics of Finance 1, 939–974.

Sirignano, Justin, Apaar Sadhwani, and Kay Giesecke, 2016, Deep learning for mortgage risk, arXiv preprint arXiv:1607.02470 .

Sloan, Richard G, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings?, Accounting review 289–315.

Soliman, Mark T, 2008, The use of dupont analysis by market participants, The Accounting Review 83, 823–853.

Spiess, D Katherine, and John Affleck-Graves, 1995, Underperformance in long-run stock returns following seasoned equity offerings, Journal of Financial Economics 38, 243–267.

Stambaugh, Robert F, Jianfeng Yu, and Yu Yuan, 2012, The short of it: Investor sentiment and anomalies, Journal of Financial Economics 104, 288–302.

Thomas, Jacob K, and Huai Zhang, 2002, Inventory changes and future returns, Review of Accounting Studies 7, 163–187.

Tibshirani, Robert, 1996, Regression shrinkage and selection via the lasso, Journal of the Royal Statistical Society. Series B (Methodological) 267–288.

Titman, Sheridan, KC John Wei, and Feixue Xie, 2004, Capital investments and stock returns, Journal of financial and Quantitative Analysis 39, 677–700.

Titman, Sheridan, KC John Wei, and Feixue Xie, 2013, Market development and the asset growth effect: International evidence, Journal of Financial and Quantitative Analysis 48, 1405–1432.

Tobek, Ondrej, and Martin Hronec, 2018, Does source of fundamental data matter?.

Tuzel, Selale, 2010, Corporate real estate holdings and the cross-section of stock returns, The Review of Financial Studies 23, 2268–2302.

Watanabe, Akiko, Yan Xu, Tong Yao, and Tong Yu, 2013, The asset growth effect: Insights from international equity markets, Journal of Financial Economics 108, 529–563.

Whited, Toni M, and Guojun Wu, 2006, Financial constraints risk, The Review of Financial Studies 19, 531–559.

Zhang, X, 2006, Information uncertainty and stock returns, The Journal of Finance 61, 105–137.