% WP39 UQO bibliography. Journal metadata verified on Crossref 2026-11-02 (artifacts/logs/crossref_batch*.json).

@article{gregoire2022,
  author = {Grégoire, Vincent and Martineau, Charles},
  title = {{How is Earnings News Transmitted to Stock Prices?}},
  journal = {Journal of Accounting Research},
  year = {2022},
  volume = {60},
  number = {1},
  pages = {261--297},
  doi = {10.1111/1475-679x.12394}
}

@article{zhang2023volatility,
  author = {Zhang, Chao and Zhang, Yihuang and Cucuringu, Mihai and Qian, Zhongmin},
  title = {{Volatility Forecasting with Machine Learning and Intraday Commonality}},
  journal = {Journal of Financial Econometrics},
  year = {2024},
  volume = {22},
  number = {2},
  pages = {492--530},
  doi = {10.1093/jjfinec/nbad005}
}

@article{ball1968,
  author = {Ball, Ray and Brown, Philip},
  title = {{An Empirical Evaluation of Accounting Income Numbers}},
  journal = {Journal of Accounting Research},
  year = {1968},
  volume = {6},
  number = {2},
  pages = {159},
  doi = {10.2307/2490232}
}

@article{bernard1989,
  author = {Bernard, Victor L. and Thomas, Jacob K.},
  title = {{Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?}},
  journal = {Journal of Accounting Research},
  year = {1989},
  volume = {27},
  pages = {1},
  doi = {10.2307/2491062}
}

@article{bernard1990,
  author = {Bernard, Victor L. and Thomas, Jacob K.},
  title = {{Evidence that stock prices do not fully reflect the implications of current earnings for future earnings}},
  journal = {Journal of Accounting and Economics},
  year = {1990},
  volume = {13},
  number = {4},
  pages = {305--340},
  doi = {10.1016/0165-4101(90)90008-r}
}

@article{sloan1996,
  author = {Sloan, Richard G.},
  title = {{Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?}},
  journal = {The Accounting Review},
  year = {1996},
  volume = {71},
  number = {3},
  pages = {289--315},
  doi = {10.2308/tar-9608042309}
}

@article{ou1989,
  author = {Ou, Jane A. and Penman, Stephen H.},
  title = {{Financial statement analysis and the prediction of stock returns}},
  journal = {Journal of Accounting and Economics},
  year = {1989},
  volume = {11},
  number = {4},
  pages = {295--329},
  doi = {10.1016/0165-4101(89)90017-7}
}

@article{kyle1985,
  author = {Kyle, Albert S.},
  title = {{Continuous Auctions and Insider Trading}},
  journal = {Econometrica},
  year = {1985},
  volume = {53},
  number = {6},
  pages = {1315},
  doi = {10.2307/1913210}
}

@article{easley1987,
  author = {Easley, David and O'Hara, Maureen},
  title = {{Price, trade size, and information in securities markets}},
  journal = {Journal of Financial Economics},
  year = {1987},
  volume = {19},
  number = {1},
  pages = {69--90},
  doi = {10.1016/0304-405x(87)90029-8}
}

@article{andersen2003,
  author = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},
  title = {{Modeling and Forecasting Realized Volatility}},
  journal = {Econometrica},
  year = {2003},
  volume = {71},
  number = {2},
  pages = {579--625},
  doi = {10.1111/1468-0262.00418}
}

@article{barndorff2004,
  author = {Barndorff-Nielsen, O. E.},
  title = {{Power and Bipower Variation with Stochastic Volatility and Jumps}},
  journal = {Journal of Financial Econometrics},
  year = {2004},
  volume = {2},
  number = {1},
  pages = {1--37},
  doi = {10.1093/jjfinec/nbh001}
}

@article{gu2020,
  author = {Gu, Shihao and Kelly, Bryan and Xiu, Dacheng},
  title = {{Empirical Asset Pricing via Machine Learning}},
  journal = {The Review of Financial Studies},
  year = {2020},
  volume = {33},
  number = {5},
  pages = {2223--2273},
  doi = {10.1093/rfs/hhaa009}
}

@article{giacomini2006,
  author = {Giacomini, Raffaella and White, Halbert},
  title = {{Tests of Conditional Predictive Ability}},
  journal = {Econometrica},
  year = {2006},
  volume = {74},
  number = {6},
  pages = {1545--1578},
  doi = {10.1111/j.1468-0262.2006.00718.x}
}

@article{diebold1995,
  author = {Diebold, Francis X. and Mariano, Roberto S.},
  title = {{Comparing Predictive Accuracy}},
  journal = {Journal of Business \& Economic Statistics},
  year = {1995},
  volume = {13},
  number = {3},
  pages = {253--263},
  doi = {10.1080/07350015.1995.10524599}
}

@article{hansen2005,
  author = {Hansen, Peter Reinhard},
  title = {{A Test for Superior Predictive Ability}},
  journal = {Journal of Business \& Economic Statistics},
  year = {2005},
  volume = {23},
  number = {4},
  pages = {365--380},
  doi = {10.1198/073500105000000063}
}

@article{fama2015,
  author = {Fama, Eugene F. and French, Kenneth R.},
  title = {{A five-factor asset pricing model}},
  journal = {Journal of Financial Economics},
  year = {2015},
  volume = {116},
  number = {1},
  pages = {1--22},
  doi = {10.1016/j.jfineco.2014.10.010}
}

@article{bollerslev2020good,
  author = {Bollerslev, Tim and Li, Sophia Zhengzi and Zhao, Bingzhi},
  title = {{Good Volatility, Bad Volatility, and the Cross Section of Stock Returns}},
  journal = {Journal of Financial and Quantitative Analysis},
  year = {2020},
  volume = {55},
  number = {3},
  pages = {751--781},
  doi = {10.1017/s0022109019000097}
}

@article{patton2015,
  author = {Patton, Andrew J. and Sheppard, Kevin},
  title = {{Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility}},
  journal = {Review of Economics and Statistics},
  year = {2015},
  volume = {97},
  number = {3},
  pages = {683--697},
  doi = {10.1162/rest_a_00503}
}

@article{chen2022,
  author = {Chen, XI and Cho, Yang Ha (tony) and Dou, Yiwei and Lev, Baruch},
  title = {{Predicting Future Earnings Changes Using Machine Learning and Detailed Financial Data}},
  journal = {Journal of Accounting Research},
  year = {2022},
  volume = {60},
  number = {2},
  pages = {467--515},
  doi = {10.1111/1475-679x.12429}
}

@article{piotroski2000,
  author = {Piotroski, Joseph D.},
  title = {{Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers}},
  journal = {Journal of Accounting Research},
  year = {2000},
  volume = {38},
  pages = {1},
  doi = {10.2307/2672906}
}

@article{hirshleifer2009,
  author = {Hirshleifer, David and Lim, Sonya Seongyeon and Teoh, Siew Hong},
  title = {{Driven to Distraction: Extraneous Events and Underreaction to Earnings News}},
  journal = {The Journal of Finance},
  year = {2009},
  volume = {64},
  number = {5},
  pages = {2289--2325},
  doi = {10.1111/j.1540-6261.2009.01501.x}
}

@article{dellavigna2009,
  author = {DellaVigna, Stefano and Pollet, JOSHUA M.},
  title = {{Investor Inattention and Friday Earnings Announcements}},
  journal = {The Journal of Finance},
  year = {2009},
  volume = {64},
  number = {2},
  pages = {709--749},
  doi = {10.1111/j.1540-6261.2009.01447.x}
}

@article{loughran2011,
  author = {Loughran, Tim and McDonald, Bill},
  title = {{When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks}},
  journal = {The Journal of Finance},
  year = {2011},
  volume = {66},
  number = {1},
  pages = {35--65},
  doi = {10.1111/j.1540-6261.2010.01625.x}
}

@article{bajgrowicz2016,
  author = {Bajgrowicz, Pierre and Scaillet, Olivier and Treccani, Adrien},
  title = {{Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News}},
  journal = {Management Science},
  year = {2016},
  volume = {62},
  number = {8},
  pages = {2198--2217},
  doi = {10.1287/mnsc.2015.2234}
}

@article{lee2008,
  author = {Lee, Suzanne S. and Mykland, Per A.},
  title = {{Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics}},
  journal = {Review of Financial Studies},
  year = {2008},
  volume = {21},
  number = {6},
  pages = {2535--2563},
  doi = {10.1093/rfs/hhm056}
}

@article{bollerslev2018risk,
  author = {Bollerslev, Tim and Hood, Benjamin and Huss, John and Pedersen, Lasse Heje},
  title = {{Risk Everywhere: Modeling and Managing Volatility}},
  journal = {The Review of Financial Studies},
  year = {2018},
  volume = {31},
  number = {7},
  pages = {2729--2773},
  doi = {10.1093/rfs/hhy041}
}

@article{hendershott2011,
  author = {Hendershott, Terrence and Jones, CHARLES M. and Menkveld, ALBERT J.},
  title = {{Does Algorithmic Trading Improve Liquidity?}},
  journal = {The Journal of Finance},
  year = {2011},
  volume = {66},
  number = {1},
  pages = {1--33},
  doi = {10.1111/j.1540-6261.2010.01624.x}
}

@article{richardson2005,
  author = {Richardson, Scott A. and Sloan, Richard G. and Soliman, Mark T. and Tuna, İrem},
  title = {{Accrual reliability, earnings persistence and stock prices}},
  journal = {Journal of Accounting and Economics},
  year = {2005},
  volume = {39},
  number = {3},
  pages = {437--485},
  doi = {10.1016/j.jacceco.2005.04.005}
}

@article{beneish1999,
  author = {Beneish, Messod D.},
  title = {{The Detection of Earnings Manipulation}},
  journal = {Financial Analysts Journal},
  year = {1999},
  volume = {55},
  number = {5},
  pages = {24--36},
  doi = {10.2469/faj.v55.n5.2296}
}

@article{campbell2008,
  author = {Campbell, JOHN Y. and Hilscher, Jens and Szilagyi, Jan},
  title = {{In Search of Distress Risk}},
  journal = {The Journal of Finance},
  year = {2008},
  volume = {63},
  number = {6},
  pages = {2899--2939},
  doi = {10.1111/j.1540-6261.2008.01416.x}
}

@article{fama1973,
  author = {Fama, Eugene F. and MacBeth, James D.},
  title = {{Risk, Return, and Equilibrium: Empirical Tests}},
  journal = {Journal of Political Economy},
  year = {1973},
  volume = {81},
  number = {3},
  pages = {607--636},
  doi = {10.1086/260061}
}

@article{petersen2009,
  author = {Petersen, Mitchell A.},
  title = {{Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches}},
  journal = {Review of Financial Studies},
  year = {2009},
  volume = {22},
  number = {1},
  pages = {435--480},
  doi = {10.1093/rfs/hhn053}
}

@article{cameron2011,
  author = {Cameron, A. Colin and Gelbach, Jonah B. and Miller, Douglas L.},
  title = {{Robust Inference With Multiway Clustering}},
  journal = {Journal of Business \& Economic Statistics},
  year = {2011},
  volume = {29},
  number = {2},
  pages = {238--249},
  doi = {10.1198/jbes.2010.07136}
}

@article{novymarx2016,
  author = {Novy-Marx, Robert and Velikov, Mihail},
  title = {{A Taxonomy of Anomalies and Their Trading Costs}},
  journal = {Review of Financial Studies},
  year = {2016},
  volume = {29},
  number = {1},
  pages = {104--147},
  doi = {10.1093/rfs/hhv063}
}

@article{bollerslev2016beta,
  author = {Bollerslev, Tim and Li, Sophia Zhengzi and Todorov, Viktor},
  title = {{Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns}},
  journal = {Journal of Financial Economics},
  year = {2016},
  volume = {120},
  number = {3},
  pages = {464--490},
  doi = {10.1016/j.jfineco.2016.02.001}
}

@article{lo1988,
  author = {Lo, Andrew W. and MacKinlay, A. Craig},
  title = {{Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test}},
  journal = {Review of Financial Studies},
  year = {1988},
  volume = {1},
  number = {1},
  pages = {41--66},
  doi = {10.1093/rfs/1.1.41}
}

@article{freyberger2020,
  author = {Freyberger, Joachim and Neuhierl, Andreas and Weber, Michael},
  title = {{Dissecting Characteristics Nonparametrically}},
  journal = {The Review of Financial Studies},
  year = {2020},
  volume = {33},
  number = {5},
  pages = {2326--2377},
  doi = {10.1093/rfs/hhz123}
}

@article{bollerslev2016errors,
  author = {Bollerslev, Tim and Patton, Andrew J. and Quaedvlieg, Rogier},
  title = {{Exploiting the errors: A simple approach for improved volatility forecasting}},
  journal = {Journal of Econometrics},
  year = {2016},
  volume = {192},
  number = {1},
  pages = {1--18},
  doi = {10.1016/j.jeconom.2015.10.007}
}

@article{liu2015,
  author = {Liu, Lily Y. and Patton, Andrew J. and Sheppard, Kevin},
  title = {{Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes}},
  journal = {Journal of Econometrics},
  year = {2015},
  volume = {187},
  number = {1},
  pages = {293--311},
  doi = {10.1016/j.jeconom.2015.02.008}
}

@article{andersen1998,
  author = {Andersen, Torben G. and Bollerslev, Tim},
  title = {{Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts}},
  journal = {International Economic Review},
  year = {1998},
  volume = {39},
  number = {4},
  pages = {885},
  doi = {10.2307/2527343}
}

@article{aboody2010,
  author = {Aboody, David and Lehavy, Reuven and Trueman, Brett},
  title = {{Limited attention and the earnings announcement returns of past stock market winners}},
  journal = {Review of Accounting Studies},
  year = {2010},
  volume = {15},
  number = {2},
  pages = {317--344},
  doi = {10.1007/s11142-009-9104-9}
}

@article{kothari2001,
  author = {Kothari, S.P},
  title = {{Capital markets research in accounting}},
  journal = {Journal of Accounting and Economics},
  year = {2001},
  volume = {31},
  number = {1-3},
  pages = {105--231},
  doi = {10.1016/s0165-4101(01)00030-1}
}

@article{easley2012,
  author = {Easley, David and López de Prado, Marcos M. and O'Hara, Maureen},
  title = {{Flow Toxicity and Liquidity in a High-frequency World}},
  journal = {Review of Financial Studies},
  year = {2012},
  volume = {25},
  number = {5},
  pages = {1457--1493},
  doi = {10.1093/rfs/hhs053}
}

@article{hou2015,
  author = {Hou, Kewei and Xue, Chen and Zhang, Lu},
  title = {{Digesting Anomalies: An Investment Approach}},
  journal = {Review of Financial Studies},
  year = {2015},
  volume = {28},
  number = {3},
  pages = {650--705},
  doi = {10.1093/rfs/hhu068}
}

@article{dechow2010,
  author = {Dechow, Patricia and Ge, Weili and Schrand, Catherine},
  title = {{Understanding earnings quality: A review of the proxies, their determinants and their consequences}},
  journal = {Journal of Accounting and Economics},
  year = {2010},
  volume = {50},
  number = {2-3},
  pages = {344--401},
  doi = {10.1016/j.jacceco.2010.09.001}
}

@article{fama1970,
  author = {Fama, Eugene F.},
  title = {{Efficient Capital Markets: A Review of Theory and Empirical Work}},
  journal = {The Journal of Finance},
  year = {1970},
  volume = {25},
  number = {2},
  pages = {383},
  doi = {10.2307/2325486}
}

@article{bollerslev2011tails,
  author = {Bollerslev, Tim and Todorov, Viktor},
  title = {{Tails, Fears, and Risk Premia}},
  journal = {The Journal of Finance},
  year = {2011},
  volume = {66},
  number = {6},
  pages = {2165--2211},
  doi = {10.1111/j.1540-6261.2011.01695.x}
}

@article{hirshleifer2003,
  author = {Hirshleifer, David and Teoh, Siew Hong},
  title = {{Limited attention, information disclosure, and financial reporting}},
  journal = {Journal of Accounting and Economics},
  year = {2003},
  volume = {36},
  number = {1-3},
  pages = {337--386},
  doi = {10.1016/j.jacceco.2003.10.002}
}

@article{savor2016,
  author = {Savor, Pavel and Wilson, Mungo},
  title = {{Earnings Announcements and Systematic Risk}},
  journal = {The Journal of Finance},
  year = {2016},
  volume = {71},
  number = {1},
  pages = {83--138},
  doi = {10.1111/jofi.12361}
}

@article{budish2015,
  author = {Budish, Eric and Cramton, Peter and Shim, John},
  title = {{The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *}},
  journal = {The Quarterly Journal of Economics},
  year = {2015},
  volume = {130},
  number = {4},
  pages = {1547--1621},
  doi = {10.1093/qje/qjv027}
}

@article{chen2024deep,
  author = {Chen, Luyang and Pelger, Markus and Zhu, Jason},
  title = {{Deep Learning in Asset Pricing}},
  journal = {Management Science},
  year = {2024},
  volume = {70},
  number = {2},
  pages = {714--750},
  doi = {10.1287/mnsc.2023.4695}
}

@article{kozak2020,
  author = {Kozak, Serhiy and Nagel, Stefan and Santosh, Shrihari},
  title = {{Shrinking the cross-section}},
  journal = {Journal of Financial Economics},
  year = {2020},
  volume = {135},
  number = {2},
  pages = {271--292},
  doi = {10.1016/j.jfineco.2019.06.008}
}

@article{brogaard2019,
  author = {Brogaard, Jonathan and Hendershott, Terrence and Riordan, Ryan},
  title = {{Price Discovery without Trading: Evidence from Limit Orders}},
  journal = {The Journal of Finance},
  year = {2019},
  volume = {74},
  number = {4},
  pages = {1621--1658},
  doi = {10.1111/jofi.12769}
}

@article{ang2006,
  author = {Ang, Andrew and Hodrick, ROBERT J. and Xing, Yuhang and Zhang, Xiaoyan},
  title = {{The Cross-Section of Volatility and Expected Returns}},
  journal = {The Journal of Finance},
  year = {2006},
  volume = {61},
  number = {1},
  pages = {259--299},
  doi = {10.1111/j.1540-6261.2006.00836.x}
}

@article{skinner2002,
  author = {Skinner, Douglas J. and Sloan, Richard G.},
  title = {{Earnings Surprises, Growth Expectations, and Stock Returns or Don't Let an Earnings Torpedo Sink Your Portfolio}},
  journal = {Review of Accounting Studies},
  year = {2002},
  volume = {7},
  number = {2-3},
  pages = {289--312},
  doi = {10.1023/a:1020294523516}
}

@article{levi2015,
  author = {Levi, Shai and Zhang, Xiao-Jun},
  title = {{Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium}},
  journal = {Journal of Financial Economics},
  year = {2015},
  volume = {118},
  number = {2},
  pages = {383--398},
  doi = {10.1016/j.jfineco.2015.08.003}
}

@article{campbell1993,
  author = {Campbell, J. Y. and Grossman, S. J. and Wang, J.},
  title = {{Trading Volume and Serial Correlation in Stock Returns}},
  journal = {The Quarterly Journal of Economics},
  year = {1993},
  volume = {108},
  number = {4},
  pages = {905--939},
  doi = {10.2307/2118454}
}

@article{fang2009,
  author = {Fang, Lily and Peress, Joel},
  title = {{Media Coverage and the Cross-section of Stock Returns}},
  journal = {The Journal of Finance},
  year = {2009},
  volume = {64},
  number = {5},
  pages = {2023--2052},
  doi = {10.1111/j.1540-6261.2009.01493.x}
}

@article{beaver1980,
  author = {Beaver, William and Lambert, Richard and Morse, Dale},
  title = {{The information content of security prices}},
  journal = {Journal of Accounting and Economics},
  year = {1980},
  volume = {2},
  number = {1},
  pages = {3--28},
  doi = {10.1016/0165-4101(80)90013-0}
}

@article{kothari1992,
  author = {Kothari, S.P and Sloan, Richard G},
  title = {{Information in prices about future earnings}},
  journal = {Journal of Accounting and Economics},
  year = {1992},
  volume = {15},
  number = {2-3},
  pages = {143--171},
  doi = {10.1016/0165-4101(92)90016-u}
}

@article{collins1994,
  author = {Collins, Daniel W. and Kothari, S.P. and Shanken, Jay and Sloan, Richard G.},
  title = {{Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association}},
  journal = {Journal of Accounting and Economics},
  year = {1994},
  volume = {18},
  number = {3},
  pages = {289--324},
  doi = {10.1016/0165-4101(94)90024-8}
}

@article{foster1977,
  author = {Foster, George},
  title = {{Quarterly Accounting Data: Time-Series Properties and Predicative-Ability Results.}},
  journal = {The Accounting Review},
  year = {1977},
  volume = {52},
  number = {1},
  pages = {1--21},
  doi = {10.2308/tar-4493420}
}

@article{weller2018,
  author = {Weller, Brian M.},
  title = {{Does Algorithmic Trading Reduce Information Acquisition?}},
  journal = {The Review of Financial Studies},
  year = {2018},
  volume = {31},
  number = {6},
  pages = {2184--2226},
  doi = {10.1093/rfs/hhx137}
}

@article{bollerslev2018volume,
  author = {Bollerslev, Tim and Li, Jia and Xue, Yuan},
  title = {{Volume, Volatility, and Public News Announcements}},
  journal = {The Review of Economic Studies},
  year = {2018},
  volume = {85},
  number = {4},
  pages = {2005--2041},
  doi = {10.1093/restud/rdy003}
}

@article{patton2012,
  author = {Patton, Andrew J. and Verardo, Michela},
  title = {{Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability}},
  journal = {Review of Financial Studies},
  year = {2012},
  volume = {25},
  number = {9},
  pages = {2789--2839},
  doi = {10.1093/rfs/hhs073}
}

@article{kaniel2012,
  author = {Kaniel, Ron and Liu, Shuming and Saar, Gideon and Titman, Sheridan},
  title = {{Individual Investor Trading and Return Patterns around Earnings Announcements}},
  journal = {The Journal of Finance},
  year = {2012},
  volume = {67},
  number = {2},
  pages = {639--680},
  doi = {10.1111/j.1540-6261.2012.01727.x}
}

@article{christophe2004,
  author = {Christophe, Stephen E. and Ferri, Michael G. and Angel, James J.},
  title = {{Short-Selling Prior to Earnings Announcements}},
  journal = {The Journal of Finance},
  year = {2004},
  volume = {59},
  number = {4},
  pages = {1845--1876},
  doi = {10.1111/j.1540-6261.2004.00681.x}
}

@article{berkman2009,
  author = {Berkman, Henk and Dimitrov, Valentin and Jain, Prem C. and Koch, Paul D. and Tice, Sheri},
  title = {{Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements}},
  journal = {Journal of Financial Economics},
  year = {2009},
  volume = {92},
  number = {3},
  pages = {376--399},
  doi = {10.1016/j.jfineco.2008.04.009}
}

@article{hendershott2015,
  author = {Hendershott, Terrence and Livdan, Dmitry and Schürhoff, Norman},
  title = {{Are institutions informed about news?}},
  journal = {Journal of Financial Economics},
  year = {2015},
  volume = {117},
  number = {2},
  pages = {249--287},
  doi = {10.1016/j.jfineco.2015.03.007}
}

@article{lee2012,
  author = {Lee, Suzanne S.},
  title = {{Jumps and Information Flow in Financial Markets}},
  journal = {Review of Financial Studies},
  year = {2012},
  volume = {25},
  number = {2},
  pages = {439--479},
  doi = {10.1093/rfs/hhr084}
}

@article{cao2024,
  author = {Cao, Sean and Jiang, Wei and Wang, Junbo and Yang, Baozhong},
  title = {{From Man vs. Machine to Man + Machine: The art and AI of stock analyses}},
  journal = {Journal of Financial Economics},
  year = {2024},
  volume = {160},
  pages = {103910},
  doi = {10.1016/j.jfineco.2024.103910}
}

@article{bali2023,
  author = {Bali, Turan G and Beckmeyer, Heiner and Mörke, Mathis and Weigert, Florian},
  title = {{Option Return Predictability with Machine Learning and Big Data}},
  journal = {The Review of Financial Studies},
  year = {2023},
  volume = {36},
  number = {9},
  pages = {3548--3602},
  doi = {10.1093/rfs/hhad017}
}

@article{easton2024,
  author = {Easton, Peter D. and Kapons, Martin M. and Monahan, Steven J. and Schütt, Harm H. and Weisbrod, Eric H.},
  title = {{Forecasting Earnings Using \emph{k}-Nearest Neighbors}},
  journal = {The Accounting Review},
  year = {2024},
  volume = {99},
  number = {3},
  pages = {115--140},
  doi = {10.2308/tar-2021-0478}
}

@article{so2013,
  author = {So, Eric C.},
  title = {{A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?}},
  journal = {Journal of Financial Economics},
  year = {2013},
  volume = {108},
  number = {3},
  pages = {615--640},
  doi = {10.1016/j.jfineco.2013.02.002}
}

@article{hou2012,
  author = {Hou, Kewei and van Dijk, Mathijs A. and Zhang, Yinglei},
  title = {{The implied cost of capital: A new approach}},
  journal = {Journal of Accounting and Economics},
  year = {2012},
  volume = {53},
  number = {3},
  pages = {504--526},
  doi = {10.1016/j.jacceco.2011.12.001}
}

@article{hansen2006,
  author = {Hansen, Peter R and Lunde, Asger},
  title = {{Realized Variance and Market Microstructure Noise}},
  journal = {Journal of Business \& Economic Statistics},
  year = {2006},
  volume = {24},
  number = {2},
  pages = {127--161},
  doi = {10.1198/073500106000000071}
}

@article{barndorff2008,
  author = {Barndorff-Nielsen, Ole E. and Hansen, Peter Reinhard and Lunde, Asger and Shephard, Neil},
  title = {{Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise}},
  journal = {Econometrica},
  year = {2008},
  volume = {76},
  number = {6},
  pages = {1481--1536},
  doi = {10.3982/ecta6495}
}

@article{vankervel2019,
  author = {van Kervel, Vincent and Menkveld, ALBERT J.},
  title = {{High-Frequency Trading around Large Institutional Orders}},
  journal = {The Journal of Finance},
  year = {2019},
  volume = {74},
  number = {3},
  pages = {1091--1137},
  doi = {10.1111/jofi.12759}
}

@article{avramov2023,
  author = {Avramov, Doron and Cheng, Si and Metzker, Lior},
  title = {{Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability}},
  journal = {Management Science},
  year = {2023},
  volume = {69},
  number = {5},
  pages = {2587--2619},
  doi = {10.1287/mnsc.2022.4449}
}

@article{chordia2020,
  author = {Chordia, Tarun and Goyal, Amit and Saretto, Alessio},
  title = {{Anomalies and False Rejections}},
  journal = {The Review of Financial Studies},
  year = {2020},
  volume = {33},
  number = {5},
  pages = {2134--2179},
  doi = {10.1093/rfs/hhaa018}
}

@article{barber2013,
  author = {Barber, Brad M. and De George, Emmanuel T. and Lehavy, Reuven and Trueman, Brett},
  title = {{The earnings announcement premium around the globe}},
  journal = {Journal of Financial Economics},
  year = {2013},
  volume = {108},
  number = {1},
  pages = {118--138},
  doi = {10.1016/j.jfineco.2012.10.006}
}

@article{politis1994,
  author = {Politis, Dimitris N. and Romano, Joseph P.},
  title = {{The Stationary Bootstrap}},
  journal = {Journal of the American Statistical Association},
  year = {1994},
  volume = {89},
  number = {428},
  pages = {1303--1313},
  doi = {10.1080/01621459.1994.10476870}
}

@article{hansen2011mcs,
  author = {Hansen, Peter R. and Lunde, Asger and Nason, James M.},
  title = {{The Model Confidence Set}},
  journal = {Econometrica},
  year = {2011},
  volume = {79},
  number = {2},
  pages = {453--497},
  doi = {10.3982/ecta5771}
}

@article{benjamini1995,
  author = {Benjamini, Yoav and Hochberg, Yosef},
  title = {{Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing}},
  journal = {Journal of the Royal Statistical Society Series B: Statistical Methodology},
  year = {1995},
  volume = {57},
  number = {1},
  pages = {289--300},
  doi = {10.1111/j.2517-6161.1995.tb02031.x}
}

@article{amihud2002,
  author = {Amihud, Yakov},
  title = {{Illiquidity and stock returns: cross-section and time-series effects}},
  journal = {Journal of Financial Markets},
  year = {2002},
  volume = {5},
  number = {1},
  pages = {31--56},
  doi = {10.1016/s1386-4181(01)00024-6}
}

@article{fama1993,
  author = {Fama, Eugene F. and French, Kenneth R.},
  title = {{Common risk factors in the returns on stocks and bonds}},
  journal = {Journal of Financial Economics},
  year = {1993},
  volume = {33},
  number = {1},
  pages = {3--56},
  doi = {10.1016/0304-405x(93)90023-5}
}

@article{grossman1980,
  author = {Grossman, Sanford J. and Stiglitz, Joseph E.},
  title = {{On the Impossibility of Informationally Efficient Markets}},
  journal = {American Economic Review},
  year = {1980},
  volume = {70},
  number = {3},
  pages = {393--408}
}
@article{holm1979,
  author = {Holm, Sture},
  title = {{A Simple Sequentially Rejective Multiple Test Procedure}},
  journal = {Scandinavian Journal of Statistics},
  year = {1979},
  volume = {6},
  number = {2},
  pages = {65--70}
}
@article{kunsch1989,
  author = {K{\"u}nsch, Hans R.},
  title = {{The Jackknife and the Bootstrap for General Stationary Observations}},
  journal = {Annals of Statistics},
  year = {1989},
  volume = {17},
  number = {3},
  pages = {1217--1241},
  doi = {10.1214/aos/1176347265}
}
@inproceedings{ke2017lightgbm,
  author = {Ke, Guolin and Meng, Qi and Finley, Thomas and Wang, Taifeng and Chen, Wei and Ma, Weidong and Ye, Qiwei and Liu, Tie-Yan},
  title = {{LightGBM: A Highly Efficient Gradient Boosting Decision Tree}},
  booktitle = {Advances in Neural Information Processing Systems 30},
  year = {2017},
  pages = {3146--3154}
}
@book{lopezdeprado2018,
  author = {L{\'o}pez de Prado, Marcos},
  title = {{Advances in Financial Machine Learning}},
  publisher = {Wiley},
  address = {Hoboken, NJ},
  year = {2018}
}
@techreport{frazzini2018costs,
  author = {Frazzini, Andrea and Israel, Ronen and Moskowitz, Tobias J.},
  title = {{Trading Costs}},
  institution = {SSRN Working Paper 3229719},
  year = {2018},
  doi = {10.2139/ssrn.3229719}
}
@incollection{barndorff2010semivariance,
  author = {Barndorff-Nielsen, Ole E. and Kinnebrock, Silja and Shephard, Neil},
  title = {{Measuring Downside Risk: Realised Semivariance}},
  booktitle = {Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle},
  editor = {Bollerslev, Tim and Russell, Jeffrey and Watson, Mark},
  publisher = {Oxford University Press},
  year = {2010},
  pages = {117--136},
  doi = {10.1093/acprof:oso/9780199549498.003.0007}
}
@article{boucher2026wp15,
  author = {Boucher, Simon-Pierre},
  title = {{Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992--2026}},
  journal = {UQO Working Paper No. 15},
  year = {2026}
}

@article{harvey2016,
  author = {Harvey, Campbell R. and Liu, Yan and Zhu, Heqing},
  title = {{\ldots and the Cross-Section of Expected Returns}},
  journal = {The Review of Financial Studies},
  year = {2016},
  volume = {29},
  number = {1},
  pages = {5--68},
  doi = {10.1093/rfs/hhv059}
}