Bibliography.bib

@ARTICLE{Bravetal2010,
  author = {Brav, Alon and  J.B. Heaton and Si Li},
  title = {The Limits of the Limits of Arbitrage},
  journal = {Review of Finance},
  year = {2010},
  volume = {14 (1)},
  pages = {157--187}
}


@ARTICLE{LiLu2010,
  author = {Li, Dongmei and Lu Zhang},
  title = {Does Q-theory with Investment Frictions Explain Anomalies in the Cross Section of returns?},
  journal = {Journal of Financial Economics},
  year = {2010},
  volume = {98 (2)},
  pages = {297--314}
}

@ARTICLE{LoughranRitter2000,
  author = {Loughran, Tim and Jay Ritter},
  title = {Uniformly Least Powerful Tests of Market Efficiency},
  journal = {Journal of Financial Economics},
  year = {2000},
  volume = {55 (3)},
  pages = {361--389}
}

@ARTICLE{JegadeeshTitman1993,
  author = {Jegadeesh, Narasimhan and Sheridan Titman},
  title = {Returns to Buying Winnners and Selling Losers: Implications for Stock Market Efficiency},
  journal = {Journal of Finance},
  year = {1993},
  volume = {48 (1)},
  pages = {65--91}
}

@ARTICLE{Bravetal2005,
  author = {Brav, Alon and  John R. Graham and  Campbell R. Harvey and Roni Michaely},
  title = {Payout policy in the 21st century},
  journal = {Journal of Financial Economics},
  year = {2005},
  volume = {77 (3)},
  pages = {483--527}
}

@ARTICLE{Bravetal2000,
  author = {Brav, Alon and  Christopher Geczy and  Paul A. Gompers},
  title = {Is the abnormal return following equity issuances anomalous?},
  journal = {Journal of Financial Economics},
  year = {2000},
  volume = {56 (2)},
  pages = {209--249}
}

@ARTICLE{StephensWeisbach1998,
  title={Actual Share Reacquisitions in Open-Market Repurchase Programs},
  author={Stephens, P. Clifford and Michael Weisbach},
  journal={The Journal of Finance},
  year={1998},
  volume={53 (1)},
  pages={313--333},
  publisher={Wiley Online Library}
}

@ARTICLE{NovyMarx2013,
  author = {Robert Novy-Marx},
  title = {The other side of value: The gross profitability premium},
  journal = {Journal of Financial Economics},
  year = {2013},
  volume = {108 (1)},
  pages = {1--28}
}


@ARTICLE{Eckboetal2000,
  author = {Eckbo, B. Espen and Ronald W. Masulis and $\O$yvind Norli},
  title = {Seasoned public offerings: resolution of the 'new issues puzzle'},
  journal = {Journal of Financial Economics},
  year = {2000},
  volume = {56 (2)},
  pages = {251--291}
}

@ARTICLE{DittmarThakor2007,
  author={Dittmar, Amy and Anjan Thakor},
  title={Why Do Firms Issue Equity?},
  journal={The Journal of Finance},
  year={2007},
  volume={62 (1)},
  pages={1--54},
  publisher={Wiley Online Library}
}

@ARTICLE{GaoRitterZhu2013,
  author={Gao, Xiaohui and Jay R. Ritter and Zhongyan Zhu},
  title={Where Have All the IPOs Gone?},
  journal={The Journal of Finance},
  year={2013},
  volume={48 (6)},
  pages={1663--1892},
  publisher={Wiley Online Library}
}


@ARTICLE{FamaFrench2015,
  author = {Fama, F. Eugene and Kenneth R. French},
  title = {A five-factor asset pricing model},
  journal = {Journal of Financial Economics},
  year = {2015},
  volume = {116 (1)},
  pages = {1--22}
}

@article{WangYu2013,
  title={Dissecting the Profitability Premium},
  author={Wang, Huijun and Yu Yuan},
  journal={Unpublished working paper},
  year={2013}
}

@article{StambaughYuan2016,
  title={Mispricing Factors},
  author={Stambaugh, F. Robert and Yu Yuan},
  journal={Unpublished working paper},
  year={2016}
}

@article{Cilibertietal2015,
  title={Deconstructing the Low-Vol Anomaly},
  author={Ciliberti, S. and Y. Lempérière and  A. Beveratos and  G. Simon and  L. Laloux and  M. Potters and  J. P. Bouchaud},
  journal={Unpublished working paper},
  year={2015}
}

@article{FamaFrench2016,
  title={Dissecting anomalies with a five-factor model},
  author={Fama, F. Eugene and Kenneth R. French},
  journal = {The Review of Financial Studies},
  year = {2016},
  volume={29 (1)},
  pages={69--103}
}


@article{Alietal2003,
  title={Arbitrage risk and the book-to-market anomaly},
  author={Ali, Ashiq and Lee-Seok Hwang and Mark A. Trombley},
  journal = {Journal of Financial Economics},
  year = {2003},
  volume={69 (2)},
  pages={355--373}
}

@article{Mendenhall2004,
  title={Arbitrage Risk and Post-Earnings-Announcement Drift},
  author={Mendenhall,R. Richard},
  journal = {The Journal of Business},
  year = {2004},
  volume={77 (4)},
  pages={875--894}
}

@article{Pontiff1996,
  title={Costly Arbitrage: Evidence from Closed-End Funds},
  author={Pontiff,Jeffrey},
  journal = {The Quarterly Journal of Economics},
  year = {1996},
  volume={111 (4)},
  pages={1135--1151}
}

@ARTICLE{McLean2016,
  title={Does academic research destroy stock return predictability?},
  author={McLean, R. David  and Jeffrey Pontiff},
  journal={The Journal of Finance},
  year={2016},
  volume={71 (1)},
  pages={5--32},
  publisher={Wiley Online Library}
}


@ARTICLE{LiRodneyGarcia2016,
  title={The Low-Volatility Anomaly: Market Evidence on Systematic Risks versus Mispricing},
  author={Li, Xi and Rodney N. Sullivan and Luis Garcia-Feijoo},
  journal={Financial Analyst Journal},
  year={2016},
  volume={72 (1)},
  pages={36--47}
}


@article{Ibbotson1975,
  title={Price performance of common stock new issues},
  author={Ibbotson, G. Roger },
  journal={Journal of Financial Economics},
  volume={2 (3)},
  pages={235--272},
  year={1975},
  publisher={Elsevier}
}

@article{Linetal2014,
  title={Limited attention, share repurchases, and takeover risk},
  author={Lin, Ji-Chai and Clifford P. Stephens and YiLin Wu},
  journal={Journal of Banking and Finance},
  volume={42},
  pages={283--301},
  year={2014},
  publisher={Elsevier}
}






@ARTICLE{LiRajgopaletal2014,
  title={$R^2$ and Idiosyncratic Risk are not Inter-Changeable},
  author={Li, Bin and Shivaram Rajgopal and Mohan Venkatachalam},
  journal={The Accounting Review},
  year={2014},
  volume={89 (6)},
  pages={2261--2295},
  publisher={Wiley Online Library}
}

@ARTICLE{DeLongetal1990,
  author = {De Long,J. Bradford and Andrei Shleifer and Lawrence H. Summers and Robert J. Waldmann},
  title = {Noise Trader Risk in Financial Markets},
  journal = {The Journal of Political Economy},
  year = {1990},
  volume = {98 (4)},
  pages = {703--738},
  number = {5}
}

@ARTICLE{ShleiferVishny1997,
  author = {Andrei Shleifer and Robert W. Vishny},
  title = {The Limits of Arbitrage},
  journal = {Journal of Finance},
  year = {1997},
  volume = {52 (1)},
  pages = {35--55},
  number = {1}
}

@ARTICLE{Stambaugh2015,
  title={Arbitrage asymmetry and the idiosyncratic volatility puzzle},
  author={Stambaugh, F. Robert  and Jianfeng Yu  and Yu Yuan},
  journal={The Journal of Finance},
  year={2015},
  volume={70 (5)},
  pages={1903--1948},
  publisher={Wiley Online Library}
}

@ARTICLE{Ang2006,
  title={The cross-section of volatility and expected returns},
  author={Ang, Andrew and Robert J. Hodrick and Yuhang Xing  and Xiaoyan Zhang},
  journal={The Journal of Finance},
  volume={61 (1)},
  pages={259--299},
  year={2006},
  publisher={Wiley Online Library}
}

@ARTICLE{Carhart1997,
  title={On persistence in mutual fund performance},
  author={Carhart, Mark},
  journal={The Journal of Finance},
  volume={52 (1)},
  pages={57--82},
  year={1997},
  publisher={Wiley Online Library}
}

@ARTICLE{FamaFrench1993,
  author = {Fama, F. Eugene  and Kenneth R. French},
  title = {Common Risk Factors in the Returns of Stocks and Bonds},
  journal = {Journal of Financial Economics},
  year = {1993},
  volume = {33 (1)},
  pages = {3--56}
}

@ARTICLE{FuHuang2016,
  author = {Fu, Fangjian and Sheng Huang},
  title = {The Persistence of Long-Run Abnormal Returns Following Stock Repurchases and Offerings},
  journal = {Management Science},
  volume = {62 (4)},
  pages = {964--984},
  year = {2016}
}


@ARTICLE{FamaFrench2001,
  author = {Fama, F. Eugene and  Kenneth R. French},
  title = {Disappearing dividends: changing firm characteristics or lower propensity to pay?},
  journal = {Journal of Financial Economics},
  year = {2001},
  volume = {60 (1)},
  pages = {3--43}
}


@ARTICLE{IkenberryVermaelen1996,
  author = {Ikenberry, David and Theo Vermaelen},
  title = {The option to repurchase stock},
  journal = {Financial Management},
  year = {1996},
  volume = {25 (4)},
  pages = {9--24}
}


@ARTICLE{IkenberryLakonishokVermaelen1995,
  author = {Ikenberry, David  and Josef Lakonishok and Theo Vermaelen},
  title = {Market underreaction to open market share repurchases},
  journal = {Journal of Financial Economics},
  year = {1995},
  volume = {39 (2-3)},
  pages = {181--208}
}

@ARTICLE{LakonishokVermaelen1990,
  author = {Lakonishok, Josef and Theo Vermaelen},
  title = {Anomalous Price Behavior Around Repurchase Tender Offers},
  journal = {Journal of Finance},
  year = {1990},
  volume = {45 (2)},
  pages = {455--477},
  number = {2}
}

@ARTICLE{LoughranRitter1995,
  author = {Loughran, Tim and Jay Ritter},
  title = {The New Issues Puzzle},
  journal = {Journal of Finance},
  year = {1995},
  volume = {50 (1)},
  pages = {23--51},
  number = {1}
}

@ARTICLE{Vermaelen1981,
  author = {Vermaelen, Theo},
  title = {Common stock repurchases and market signaling: an empirical study},
  journal = {Journal of Financial Economics},
  year = {1981},
  volume = {9 (2)},
  pages = {139--183}
}

@ARTICLE{BhattacharyaJacobsen2016,
  author = {Bhattacharya, U. and S.E. Jacobsen},
  title = {The share repurchase announcement puzzle},
  journal = {Review of Finance},
  year = {2016},
  volume = {20 (2)},
  pages = {725--758}
}

@ARTICLE{ManconiPeyerVermaelen2015,
  author = {Manconi, Alberto and Urs Peyer	and Theo Vermaelen},
  title = {Buybacks Around the World Market Timing, Governance and Regulation},
  journal = {Unpublished working paper. INSEAD, France},
  year = {2015},
  volume = {},
  pages = {},
  number = {}
}

@ARTICLE{GrullonMichaely2004,
  author = {Grullon, Gustavo and Roni Michaely},
  title = {The Information Content of Share Repurchase Program},
  journal = {Journal of Finance},
  year = {2004},
  volume = {59 (2)},
  pages = {651-680},
  number = {2}
}



@ARTICLE{Liuetal2009,
  author = {Liu, Xiaolei Laura and Toni M. Whited and Lu Zhang},
  title = {Investment Based Expected Stock Returns},
  journal = {Journal of Political Economy},
  year = {2009},
  volume = {117 (6)},
  pages = {1105--1139},
  number = {6}
}

@ARTICLE{Lietal2009,
  author = {Li, X. N. Erica and Dmitry Livdan and Lu Zhang},
  title = {Anomalies},
  journal = {The Review of Financial Studies},
  year = {2009},
  volume = {22 (11)},
  pages = {4301--4334},
  number = {11}
}

@ARTICLE{MitchellStafford2000,
  author = {Mitchell, Mark and Eric Stafford},
  title = {Managerial Decisions and Long-Term Stock Price Performance},
  journal = {The Journal of Business},
  year = {2000},
  volume = {73 (3)},
  pages = {287--329},
  number = {3}
}

@ARTICLE{MitchellPulvino2001,
  author = {Mitchell, Mark and Todd Pulvino},
  title = {Characteristics of Risk and Return in Risk Arbitrage},
  journal = {Journal of Finance},
  year = {2001},
  volume = {56 (6)},
  pages = {2135--2175},
  number = {6}
}

@ARTICLE{Houetal2015,
  author = {Hou, Kewei and Chen Xue and Lu Zhang},
  title = {Digesting anomalies: An investment approach },
  journal = {The Review of Financial Studies},
  year = {2015},
  volume = {28 (3)},
  pages = {650--705},
  number = {3}
}

@ARTICLE{PeyerVermaelen2009,
  author = {Peyer, Urs and Theo Vermaelen},
  title = {The Nature and Persistence of Buyback Anomalies},
  journal = {The Review of Financial Studies},
  year = {2009},
  volume = {22 (4)},
  pages = {1693--1745},
  number = {4}
}

@ARTICLE{SpiessAffleckGraves1995,
  author = {Spiess, D. Katherine and John Affleck-Graves},
  title = {Underperformance in long-run stock returns following seasoned equity offerings},
  journal = {Journal of Financial Economics},
  year = {1995},
  volume = {38 (3)},
  pages = {243--267}
}

@ARTICLE{VermaelenXu2014,
  author = {Vermaelen, Theo and Moqi Xu},
  title = {Acquisition finance and market timing},
  journal = {Journal of Corporate Finance},
  year = {2014},
  volume = {25},
  pages = {73--91},
  number = {}
}