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1. Full Text Liquidity and stock returns: An alternative test
by Datar, Vinay T and Y. Naik, Narayan and Radcliffe, Robert
Journal of Financial Markets, ISSN 1386-4181, 1998, Volume 1, Issue 2, pp. 203 - 219
This paper provides an alternative test of Amihud and Mendelson's (1986, Journal of Financial Economics, 8, 31-35) model using the turnover rate (number of... 
G12
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2. Full Text Culture and R2
by Eun, Cheol S and Wang, Lingling and Xiao, Steven C
Journal of Financial Economics, ISSN 0304-405X, 02/2015, Volume 115, Issue 2, pp. 283 - 303
Consistent with predictions from the psychology literature, we find that stock prices co-move more (less) in culturally tight (loose) and collectivistic... 
Openness | Tightness | Culture | Individualism | G02 | G12 | G15
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3. Full Text The effect of environmental and social performance on the stock performance of european corporations
by Ziegler, Andreas and Schröder, Michael and Rennings, Klaus
Environmental and Resource Economics, ISSN 0924-6460, 8/2007, Volume 37, Issue 4, pp. 661 - 680
This paper examines the effect of sustainability performance of European corporations on their stock performance, measured as the average monthly stock return... 
Economic Policy | CAPM | Stock performance | G12 | Environmental and social performance | Economics / Management Science | Multifactor model | Q01 | Q56 | Economics/Management Science, general | Sustainability | Environmental Economics | Environmental Management | environmental and social performance | INFORMATION | RETURNS | RISK | ECONOMICS | ENVIRONMENTAL STUDIES | stock performance | sustainability | multifactor model | Sustainability; Environmental and social performance; Stock performance; CAPM; Multifactor model; Q01; Q56; G12 | Stocks | Analysis | Studies | Stock prices | Statistical analysis | Financial performance | Econometrics | Rates of return
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4. Full Text The Determinants of Conditional Autocorrelation in Stock Returns
by McKenzie, Michael D and Faff, Robert W
Journal of Financial Research, ISSN 0270-2592, 06/2003, Volume 26, Issue 2, pp. 259 - 274
We investigate whether return volatility, trading volume, return asymmetry, business cycles, and day‐of‐the‐week are potential determinants of conditional... 
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5. Full Text The short of it: Investor sentiment and anomalies
by Stambaugh, Robert F and Yu, Jianfeng and Yuan, Yu
Journal of Financial Economics, ISSN 0304-405X, 05/2012, Volume 104, Issue 2, pp. 288 - 302
This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting in which the presence of... 
Investor sentiment | Anomalies | G12 | G14 | MARKET | INSTITUTIONAL INVESTORS | RESTRICTIONS | SHORT SALES | CROSS-SECTION | ASSET PRICES | BUSINESS, FINANCE | EXPECTED STOCK RETURNS | EMPIRICAL-EVIDENCE | ECONOMICS | LIQUIDITY RISK | INVESTMENTS
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6. Full Text DURATION, DEFAULT RISK, AND THE TERM STRUCTURE OF INTEREST RATES
by Xie, Yan Alice and Liu, Sheen and Wu, Chunchi
Journal of Financial Research, ISSN 0270-2592, 12/2005, Volume 28, Issue 4, pp. 539 - 554
We examine the interactive effect of default and interest rate risk on duration of defaultable bonds. We show that duration for defaultable bonds can be longer... 
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7. Full Text Betting against beta
by Frazzini, Andrea and Pedersen, Lasse Heje
Journal of Financial Economics, ISSN 0304-405X, 01/2014, Volume 111, Issue 1, pp. 1 - 25
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central... 
Liquidity | Asset prices | Margin requirements | CAPM | Leverage constraints | Beta | G11 | G01 | G12 | G15 | G14 | PERFORMANCE | MULTIVARIATE TESTS | ASSET-PRICING ANOMALIES | CROSS-SECTION | CONSISTENT COVARIANCE-MATRIX | BUSINESS, FINANCE | EXPECTED STOCK RETURNS | CONSTRAINTS | ECONOMICS | HETEROSKEDASTICITY | CAPITAL MARKET EQUILIBRIUM | LIQUIDITY RISK | Treasury securities | Analysis
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8. Full Text UNDERSTANDING SIZE AND THE BOOK‐TO‐MARKET RATIO: AN EMPIRICAL EXPLORATION OF BERK'S CRITIQUE
by Fan, Xinting and Liu, Ming
Journal of Financial Research, ISSN 0270-2592, 12/2005, Volume 28, Issue 4, pp. 503 - 518
Because they are scaled by price, the ability of size (i.e., the market capitalization of a firm) and the book‐to‐market equity ratio to determine expected... 
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9. Full Text Financial reporting quality and idiosyncratic return volatility
by Rajgopal, Shiva and Venkatachalam, Mohan
Journal of Accounting and Economics, ISSN 0165-4101, 2011, Volume 51, Issue 1, pp. 1 - 20
document that firms’ stock returns have become more volatile in the U.S. since 1960. We hypothesize and find that deteriorating earnings quality is associated... 
Temporal analysis | Abnormal accruals | Idiosyncratic volatility | M40 | G12 | G14 | Earnings quality | INFORMATION-CONTENT | ACCRUAL ESTIMATION ERRORS | EARNINGS ANNOUNCEMENTS | RISK | TIME | CASH FLOWS | LEVEL STOCK RETURNS | BUSINESS, FINANCE | COST | VALUE-RELEVANCE | INDIVIDUAL STOCKS | ECONOMICS | G12 G14 M40 Idiosyncratic volatility Earnings quality Temporal analysis Abnormal accruals | Cash flow | High technology industry | Investor relations | Financial disclosure | Studies | Financial reporting | Volatility | Rates of return | Earnings | Disclosure | Cash flow statements
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10. Full Text Regulation and Physiological Functions of G12/13-Mediated Signaling Pathways
by Suzuki, Nobuchika and Hajicek, Nicole and Kozasa, Tohru
Neurosignals, ISSN 1424-862X, 02/2009, Volume 17, Issue 1, pp. 55 - 70
Accumulating data indicate that G12 subfamily (Gα12/13)-mediated signaling pathways play pivotal roles in a variety of physiological processes, while aberrant... 
Invited Review | Cell morphology and motility | The immune system | Regulation of effectors by G12 | Cell proliferation and transformation | Gα12/13-RH-RhoGEF- Rho pathway | Regulation of G12/13 | The neuronal system | Crosstalk between G12/13-mediated and other signaling pathways | Regulation of G12/13-mediated signaling pathways | The cardiovascular system | HETEROTRIMERIC G-PROTEINS | DEPENDENT NEURITE RETRACTION | BIOCHEMISTRY & MOLECULAR BIOLOGY | LEUKEMIA-ASSOCIATED RHOGEF | GTPASE-ACTIVATING PROTEIN | NEUROSCIENCES | VASCULAR SMOOTH-MUSCLE | CELL BIOLOGY | G alpha 12/13-RH-RhoGEF-Rho pathway | BIOPHYSICS | EMBRYONAL CARCINOMA-CELLS | PLASMA-MEMBRANE RECRUITMENT | NUCLEOTIDE EXCHANGE FACTOR | LYSOPHOSPHATIDIC ACID RECEPTORS | TRANSFORMING G-PROTEINS | Neoplasms - metabolism | Animals | Immune System - physiology | Cardiovascular Diseases - metabolism | Signal Transduction | Guanine Nucleotide Exchange Factors - metabolism | Humans | rho GTP-Binding Proteins - metabolism | GTP-Binding Protein Regulators - metabolism | GTP-Binding Protein alpha Subunits, G12-G13 - metabolism | Spodoptera | 13-mediated signaling pathways | Gα12 | Regulation of G12 | Crosstalk between G12 | 13-RH-RhoGEF-Rho pathway | 13-mediated and other signaling pathways
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11. Full Text Digesting Anomalies: An Investment Approach
by Kewei Hou and Chen Xue and Lu Zhang
The Review of Financial Studies, ISSN 0893-9454, 3/2015, Volume 28, Issue 3, pp. 650 - 705
An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross... 
G12 | G14 | PRICES | ANALYSTS FORECASTS | MARKET VALUE | EARNINGS | CORPORATE-INVESTMENT | RISK | ACCRUALS | FULLY REFLECT | CROSS-SECTION | STOCK RETURNS | BUSINESS, FINANCE | ECONOMICS
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12. Full Text The illiquidity premium: International evidence
by Amihud, Yakov and Hameed, Allaudeen and Kang, Wenjin and Zhang, Huiping
Journal of Financial Economics, ISSN 0304-405X, 08/2015, Volume 117, Issue 2, pp. 350 - 368
We examine the illiquidity premium in stock markets across 45 countries and present two findings. First, the average illiquidity return premium across... 
G12 | Illiquidity premium | G15 | International markets | F37 | Commonality in illiquidity premium | TESTS | PRICES | BIASES | CROSS-SECTION | BUSINESS, FINANCE | COSTS | INTEGRATION | EXPECTED STOCK RETURNS | EMERGING MARKETS | ECONOMICS | EFFICIENCY | LIQUIDITY RISK
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13. Full Text Realization utility
by Barberis, Nicholas and Xiong, Wei
Journal of Financial Economics, ISSN 0304-405X, 05/2012, Volume 104, Issue 2, pp. 251 - 271
A number of authors have suggested that investors derive utility from gains and losses on assets that they own. We present a model of this “realization... 
Trading | Disposition effect | Behavioral finance | Individual investors | D03 | G11 | G12 | HOUSING-MARKET | RETURNS | VOLUME | WEALTH | DISPOSITION | INVESTORS TRADE | OVERCONFIDENCE | BUSINESS, FINANCE | STOCK-MARKET | ECONOMICS | LOSS AVERSION | PROSPECT-THEORY | Analysis | Electric utilities
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14. Full Text Some stylized facts of the cryptocurrency market
by Zhang, Wei and Wang, Pengfei and Li, Xiao and Shen, Dehua
Applied Economics, ISSN 0003-6846, 11/2018, Volume 50, Issue 55, pp. 5950 - 5965
We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical... 
heavy tails | cryptocurrency market | long-range dependence | autocorrelations | Stylized facts | G12 | volatility clustering | G14 | RANDOMNESS | INEFFICIENCY | RETURNS | BITCOIN | HEDGE | ECONOMICS | VOLATILITY | EFFICIENCY | Digital currencies | Economic models | Volatility
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15. Full Text The economics of BitCoin price formation
by Ciaian, Pavel and Rajcaniova, Miroslava and Kancs, d'Artis
Applied Economics, ISSN 0003-6846, 04/2016, Volume 48, Issue 19, pp. 1799 - 1815
This is the first article that studies BitCoin price formation by considering both the traditional determinants of currency price, e.g., market forces of... 
E31 | E42 | BitCoin | financial indicators | supply and demand | G12 | financial investment | exchange rate | MONEY | COINTEGRATION | UNIT-ROOT | ECONOMICS | LEVEL | Usage | Forecasts and trends | Crypto-currencies | Macroeconomics | Analysis
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16. Full Text Google search volume and its influence on liquidity and returns of German stocks
by Bank, Matthias and Larch, Martin and Peter, Georg
Financial Markets and Portfolio Management, ISSN 1555-4961, 9/2011, Volume 25, Issue 3, pp. 239 - 264
We show that search volume on Google not only serves as an intuitive proxy for overall firm recognition, but also captures the attention of stock market... 
Finance/Investment/Banking | G12 | Stock liquidity | Stock returns | Business/Management Science, general | G14 | Trading activity | Google insights | Management/Business for Professionals | Economics / Management Science | Google insights; Stock liquidity; Trading activity; Stock returns; G12; G14 | Stock markets | Securities trading | Banking industry | Studies | Search engines | Liquidity | Investors | Rates of return
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17. Full Text Investor attention, psychological anchors, and stock return predictability
by Li, Jun and Yu, Jianfeng
Journal of Financial Economics, ISSN 0304-405X, 05/2012, Volume 104, Issue 2, pp. 401 - 419
Motivated by psychological evidence on limited investor attention and anchoring, we propose two proxies for the degree to which traders under- and overreact to... 
Underreaction | Anchor | Attention | Overreaction | 52-week high | G12 | G14 | HABIT | MARKET | EARNINGS | MODEL | BUSINESS, FINANCE | ECONOMICS | CONSUMPTION | PROSPECT-THEORY | Monte Carlo method | Analysis
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