Publications Database

Welcome to the new Schulich Peer-Reviewed Publication Database!

The database is currently in beta-testing and will be updated with more features as time goes on. In the meantime, stakeholders are free to explore our faculty’s numerous works. The left-hand panel affords the ability to search by the following:

  • Faculty Member’s Name;
  • Area of Expertise;
  • Whether the Publication is Open-Access (free for public download);
  • Journal Name; and
  • Date Range.

At present, the database covers publications from 2012 to 2020, but will extend further back in the future. In addition to listing publications, the database includes two types of impact metrics: Altmetrics and Plum. The database will be updated annually with most recent publications from our faculty.

If you have any questions or input, please don’t hesitate to get in touch.

 

Search Results

Karell, V. and Yeomans, J.S. (2018). "Anomaly Interactions and the Cross-Section of Stock Returns", Fuzzy Economic Review, 23(1), 33-61.

View Paper

Keywords
Abstract This study provides new evidence on anomaly interactions, as well as on the cross-section of returns in all-but-microcap universe of U.S. stocks over the 42-year sample period from 1971 to 2013. The five anomalies being examined are size, value, profitability, investment/asset growth, and momentum. We form 5x5 conditional double-sort portfolios for each pair of anomaly variables, resulting in 20 different 5x5 sorts when using each variable in the first-stage sorting and the remaining four in the second-stage sorting. The interrelation between each pair of anomaly variables is evaluated on the basis of the monotonic relation (MR) test of Patton and Timmermann (2010) for portfolio raw returns, and in addition, by means of the Sharpe ratio comparisons. Moreover, we run Fama-MacBeth (1973) cross-sectional regressions to compare the relative explanatory power of each variable in the presence of the others. The results show that investment/asset growth and momentum dimensions capture the cross-sectional return patterns better than size, value, or profitability. The relative efficacy of momentum is higher in all-but-microcap universe than previously documented for the corresponding unlimited market-cap samples of U.S. stocks.