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Momentum, reversal, and the trading behaviors of institutions

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  • Gutierrez, Roberto Jr.
  • Prinsky, Christo A.
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    File URL: http://www.sciencedirect.com/science/article/B6VHN-4MG6TDG-1/2/930f0ec56bf718b33313b01f779da983
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 10 (2007)
    Issue (Month): 1 (February)
    Pages: 48-75

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    Handle: RePEc:eee:finmar:v:10:y:2007:i:1:p:48-75

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    Web page: http://www.elsevier.com/locate/finmar

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    References

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    5. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
    6. K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
    7. Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002. "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers 8793, National Bureau of Economic Research, Inc.
    8. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
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    14. Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1993. "Contrarian Investment, Extrapolation, and Risk," University of Chicago - George G. Stigler Center for Study of Economy and State 84, Chicago - Center for Study of Economy and State.
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    23. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
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    37. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
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    41. Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1407-1437.
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    Cited by:
    1. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.

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