Top Cited Articles of The Journal of Finance（06）

Top Cited Articles of The Journal of Finance（06）

金融经济学 4天前

1、Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

The Journal of Finance, 1993, 48(1): 65-91

Narasimhan Jegadeesh,UCLA

Sheridan Titman,HKUST and UCLA

Abstract

This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3- to 12-month holding periods. We find that the profitability of these strategies are not due to their systematic risk or to delayed stock price reactions to common factors. However, part of the abnormal returns generated in the first year after portfolio formation dissipates in the following two years. A similar pattern of returns around the earnings announcements of past winners and losers is also documented.

原文链接：

https://www.jstor.org/stable/2328882

2、The Modern Industrial Revolution, Exit, and The Failure of Internal Control-Systems

The Journal of Finance, 1993, 48(3): 831-880

Michael C. Jensen,Harvard Business School

Abstract

Since 1973 technological, political, regulatory, and economic forces have been changing the worldwide economy in a fashion comparable to the changes experienced during the nineteenth century Industrial Revolution. As in the nineteenth century, we are experiencing declining costs, increasing average (but decreasing marginal) productivity of labor, reduced growth rates of labor income, excess capacity, and the requirement for downsizing and exit. The last two decades indicate corporate internal control systems have failed to deal effectively with these changes, especially slow growth and the requirement for exit. The next several decades pose a major challenge for Western firms and political systems as these forces continue to work their way through the worldwide economy.

原文链接：

https://www.jstor.org/stable/2329018

3、Multifactor Explanations of Asset Pricing Anomalies

The Journal of Finance, 1996, 51(1): 55-84

Eugene F. Fama,University of Chicago

Kenneth R. French,Yale School of Management

Abstract

Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sales growth, long-term past return, and short-term past return. Because these patterns in average returns apparently are not explained by the CAPM, they are called anomalies. We find that, except for the continuation of short-term returns, the anomalies largely disappear in a three-factor model. Our results are consistent with rational ICAPM or APT asset pricing, but we also consider irrational pricing and data problems as possible explanations.

原文链接：

https://www.jstor.org/stable/2329302

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