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Citations for " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency"

by Jegadeesh, Narasimhan & Titman, Sheridan

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Dasgupta, Amil & Prat, Andrea & Verardo, Michela, 2007. "Institutional Trade Persistence and Long-Term Equity Returns," CEPR Discussion Papers 6374, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute. [Downloadable!]
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  3. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
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  4. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March. [Downloadable!] (restricted)
  5. Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Ericsson, Johan & González, Andrés, 2003. "Is Momentum Due to Data-Snooping?," Working Paper Series in Economics and Finance 536, Stockholm School of Economics. [Downloadable!]
  7. Liew, Jimmy & Vassalou, Maria, 1999. "Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth," CEPR Discussion Papers 2180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  8. Kyri Kyriacou & Bryan Mase, 2004. "Executive Stock Option Exercises and the Predictive Ability of Transaction Value," Public Policy Discussion Papers 04-09, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  9. Lubos Pastor & Robert F. Stambaugh, . "Evaluating and Investing in Equity Mutual Funds," Rodney L. White Center for Financial Research Working Papers 10-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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  10. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis. [Downloadable!]
  11. Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2007. "The Small World of Investing: Board Connections and Mutual Fund Returns," NBER Working Papers 13121, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Hui Guo & Robert Savickas, 2005. "Idiosyncratic volatility, stock market volatility, and expected stock returns," Working Papers 2003-028, Federal Reserve Bank of St. Louis. [Downloadable!]
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  13. Chaoshin Chiao & David Cheng & Welfeng Hung, 2005. "Overreaction after Controlling for Size and Book-to-Market Effects and its Mimicking Portfolio in Japan," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 65-91, January. [Downloadable!] (restricted)
  14. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  15. Terrance Odean, 1998. "Volume, Volatility, Price and Profit When All Traders Are Above Average," Finance 9803001, EconWPA. [Downloadable!]
  16. Patric Hendershott & Robert J. Hendershott & Bryan D. MacGregor, 2005. "Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique," NBER Working Papers 11329, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. Patricia Chelley-steeley & Antonios Siganos, 2004. "Momentum profits and macroeconomic factors," Applied Economics Letters, Taylor and Francis Journals, vol. 11(7), pages 433-436, June. [Downloadable!] (restricted)
  18. Hart, J. van der & Zwart, G.J. de & Dijk, D.J.C. van, 2005. "The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?," Research Paper ERS-2005-012-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  19. Kyri Kyriacou & Bryan Mase, 2004. "Executive Stock Option Exercises and the Predictive Ability of Transaction Value," Economics and Finance Discussion Papers 04-09, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  20. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  21. Luis Muga & Rafael Santamaría, 2009. "Momentum, market states and investor behavior," Empirical Economics, Springer, vol. 37(1), pages 105-130, September. [Downloadable!] (restricted)
  22. Andrea Frazzini & Owen A. Lamont, 2005. "Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns," NBER Working Papers 11526, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. Graciela Kaminsky & Richard K. Lyons & Sergio Schmukler, 2000. "Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets," NBER Working Papers 7855, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  24. Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006. [Downloadable!]
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  25. Stewart Jones & Sandra van der Laan & Geoff Frost & Janice Loftus, 2008. "The Investment Performance of Socially Responsible Investment Funds in Australia," Journal of Business Ethics, Springer, vol. 80(2), pages 181-203, June. [Downloadable!] (restricted)
  26. Yangru Wu, 2004. "Momentum Trading, Mean Reveral and Overration in Chinese Stock Market," Working Papers 232004, Hong Kong Institute for Monetary Research. [Downloadable!]
  27. Matías Braun & Borja Larrain, 2005. "Supply matters for asset prices: evidence from IPOs in emerging markets," Working Papers 06-4, Federal Reserve Bank of Boston. [Downloadable!]
  28. Rob Bianchi & Michael E. Drew & John Polichronis, 2004. "A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7," School of Economics and Finance Discussion Papers and Working Papers Series 182, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
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  29. Joseph Ooi & Jingliang Wang & James Webb, 2009. "Idiosyncratic Risk and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 38(4), pages 420-442, May. [Downloadable!] (restricted)
  30. Jonathan Lewellen & Jay Shanken, 2000. "Estimation Risk, Market Efficiency, and the Predictability of Returns," NBER Working Papers 7699, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  31. Wang, Daxue, 2008. "Are anomalies still anomalous? An examination of momentum strategies in four financial markets," IESE Research Papers D/775, IESE Business School. [Downloadable!]
  32. Gueorgui I. Kolev & Robin Hogarth, 2008. "Illusory correlation in the remuneration of chief executive officers: It pays to play golf, and well," Economics Working Papers 1132, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  33. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York. [Downloadable!]
  34. Glaser, Markus & Langer, Thomas & Weber, Martin, 2003. "On the Trend Recognition and Forecasting Ability of Professional Traders," CEPR Discussion Papers 3904, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  35. Eurico Ferreira & Amit Sinha & Dale Varble, 2008. "Long-run performance following quality management certification," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 93-109, January. [Downloadable!] (restricted)
  36. Bryan Mase, 2002. "The Impact of Changes in the FTSE 100 Index," Economics and Finance Discussion Papers 02-25, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  37. Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005. "The Only Game in Town: Stock-Price Consequences of Local Bias," NBER Working Papers 11488, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  38. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  39. Kent Daniel & Sheridan Titman & K.C. John Wei, 1999. "Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?," NBER Working Papers 7246, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  40. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York. [Downloadable!]
  41. Han, Bing & Wang, Winghai, 2005. "Institutional Investment Constraints and Stock Prices," Working Paper Series 2004-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  42. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001. "Breadth of Ownership and Stock Returns," NBER Working Papers 8151, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  43. Post, G.T. & Vliet, P. van, 2004. "Downside Risk and Asset Pricing," Research Paper ERS-2004-018-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
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  44. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  45. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  46. Cronqvist, Henrik, 2006. "Advertising and Portfolio Choice," Working Paper Series 2006-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  47. Andrew Ang & Joseph chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  48. Peter Antunovich & David S. Laster, 1999. "Do investors mistake a good company for a good investment?," Staff Reports 60, Federal Reserve Bank of New York. [Downloadable!]
  49. Paweł Strawiński & Robert Ślepaczuk, 2008. "Analysis of HF data on the WSE in the context of EMH," Working Papers 2008-08, Faculty of Economic Sciences, University of Warsaw. [Downloadable!]
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  50. Angelos Kanas & George Kouretas, 2001. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," Working Papers 0101, University of Crete, Department of Economics. [Downloadable!]
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  51. David Hirshleifer & KEWEI HOU & Siew Hong Teoh & YINGLEI ZHANG, 2004. "Do Investors Overvalue Firms With Bloated Balance Sheets?," Finance 0412001, EconWPA. [Downloadable!]
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  52. Jonathan B. Berk & Ian Tonks, 2007. "Return Persistence and Fund Flows in the Worst Performing Mutual Funds," NBER Working Papers 13042, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  53. Robin Greenwood & Stefan Nagel, 2008. "Inexperienced Investors and Bubbles," NBER Working Papers 14111, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  54. Jürgen Huber & Michael Kirchler, 2008. "Corporate Campaign Contributions as a Predictor for Abnormal Stock Returns after Presidential Elections," Working Papers 2008-18, Faculty of Economics and Statistics, University of Innsbruck. [Downloadable!]
  55. Jing Chen, 2005. "Information Theory and Market Behavior," Finance 0503009, EconWPA. [Downloadable!]
  56. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64. [Downloadable!]
  57. Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser, . "Estimating the Returns to Insider Trading," Rodney L. White Center for Financial Research Working Papers 19-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  58. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006. "The Accrual Anomaly: Risk or Mispricing?," Working Paper Series 2006-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
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  59. Arco van Oord & Martin Martens & Herman K. van Dijk, 2009. "Robust Optimization of the Equity Momentum Strategy," Tinbergen Institute Discussion Papers 09-011/4, Tinbergen Institute. [Downloadable!]
  60. Mae Baker, 1998. "Fund managers' attitudes to risk and time horizons: the effect of performance benchmarking," European Journal of Finance, Taylor and Francis Journals, vol. 4(3), pages 257-278, September. [Downloadable!] (restricted)
  61. Vayanos, Dimitri & Woolley, Paul, 2008. "An Institutional Theory of Momentum and Reversal," CEPR Discussion Papers 7068, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  62. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute. [Downloadable!]
  63. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
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  64. Bryan Mase, 2002. "The Impact of Changes in the FTSE 100 Index," Public Policy Discussion Papers 02-25, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  65. Nijman, T.E. & Swinkels, L. & Verbeek, M.J.C.M., 2002. "Do Countries or Industries Explain Momentum in Europe?," Research Paper ERS-2002-91-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
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  66. K. Victor Chow, Bih-Shuang Huang, Ou Hu, 2007. "Marginal Conditional Stochastic Dominance Between Value and Growth," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 4(1), pages 1-34, June. [Downloadable!]
  67. Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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  68. Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics. [Downloadable!]
  69. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter. [Downloadable!] (restricted)
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  70. Mark Grinblatt & Bing Han, 2002. "The Disposition Effect and Momentum," NBER Working Papers 8734, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  71. Rob Bauer & Jeroen Derwall & Rogér Otten, 2007. "The Ethical Mutual Fund Performance Debate: New Evidence from Canada," Journal of Business Ethics, Springer, vol. 70(2), pages 111-124, January. [Downloadable!] (restricted)
  72. Kenneth A. Froot & Tarun Ramadorai, 2002. "Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals," NBER Working Papers 9101, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  73. Kyriacos Kyriacou, 2003. "The Impact of Risk on the Decision to Exercise an ESO," Public Policy Discussion Papers 03-18, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  74. Kyriacou, Kyriacos & Luintel, Kul B & Mase, Bryan, 2008. "Private Information in Executives' Option Trades: Evidence from the UK," Cardiff Economics Working Papers E2008/4, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
  75. Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  76. Kenneth A. Froot & Jessica D. Tjornhom, 2002. "Decomposing the Persistence of International Equity Flows," NBER Working Papers 9079, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  77. Ulf von Lilienfeld-Toal & Stefan Ruenzi, 2007. "Why Managers Hold Shares of Their Firms: An Empirical Analysis," SFB 649 Discussion Papers SFB649DP2007-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  78. Hou, Kewei & Peng, Lin & Xiong, Wei, 2006. "R2 and Price Inefficiency," Working Paper Series 2006-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  79. Brozynski, Torsten & Menkhoff, Lukas & Schmidt, Ulrich, 2003. "The Use of Momentum, Contrarian and Buy-&-Hold Strategies: Survey Evidence from Fund Managers," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-290, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
  80. Polk, Christopher & Sapienza, Paola, 2003. "The Real Effects of Investor Sentiment," CEPR Discussion Papers 3826, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  81. Glaser, Markus & Weber, Martin, 2002. "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers 3353, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  82. J. Christina Wang, 2006. "Financial innovations, idiosyncratic risk, and the joint evolution of real and financial volatilities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. [Downloadable!]
  83. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  84. Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995. "Momentum Strategies," NBER Working Papers 5375, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  85. Feridun, Mete, 2006. "Is Sales Growth Associated with Market, Size and Value Factors in Returns? Evidence from Athens Stock Exchange (1998-2003)," MPRA Paper 733, University Library of Munich, Germany. [Downloadable!]
  86. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  87. Wang, Daxue, 2008. "Herd behavior towards the market index: Evidence from 21 financial markets," IESE Research Papers D/776, IESE Business School. [Downloadable!]
  88. Carl Chen & Peter Lung & F. Wang, 2009. "Mispricing and the cross-section of stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 317-349, May. [Downloadable!] (restricted)
  89. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58. [Downloadable!]
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  90. Joseph Chen & Harrison Hong & Ming Huang & Jeffrey D. Kubik, 2004. "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization," American Economic Review, American Economic Association, vol. 94(5), pages 1276-1302, December. [Downloadable!]
  91. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997. "The Risk and Return from Factors," NBER Working Papers 6098, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  92. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
  93. Tuomo Vuolteenaho, 2001. "What Drives Firm-Level Stock Returns?," NBER Working Papers 8240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  94. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  95. Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group. [Downloadable!]
  96. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis. [Downloadable!]
  97. Günter Franke & Martin Weber, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Paper 01-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  98. Fahlenbrach, Rudiger, 2006. "Founder-CEOs, Investment Decisions, and Stock Market Performance," Working Paper Series 2004-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  99. Kyriacos Kyriacou & Bryan Mase, 2003. "The Information Contained In The Exercise Of Executive Stock Options," Economics and Finance Discussion Papers 03-17, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  100. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  101. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2004. "Pricing of Equities in China: Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 174, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  102. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 138, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
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  103. Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2003. "The Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trade of Money Managers," NBER Working Papers 9711, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  104. Miller, Edward M., 1999. "Equilibrium with divergence of opinion," Working Papers 1999-17, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  105. Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman, 2004. "An Anatomy of Futures Returns: Risk Premiums and Trading Strategies," WO Research Memoranda (discontinued) 757, Netherlands Central Bank, Research Department. [Downloadable!]
  106. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  107. Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser, 1999. "The Profits to Insider Trading: A Performance-Evaluation Perspective," NBER Working Papers 6913, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  108. Carlos Alves & Victor Mendes, 2001. "Corporate Governance Policy and Company Performance: The Case of Portugal," FEP Working Papers 112, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
  109. 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. [Downloadable!] (restricted)
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  110. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  111. Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer, vol. 21(3), pages 195-218, June. [Downloadable!] (restricted)
  112. A. S. Hurn & V.Pavlov, 2008. "Momentum in Australian Stock Returns: An Update," NCER Working Paper Series 23, National Centre for Econometric Research, revised 26 Feb 2008. [Downloadable!]
  113. Sheridan Titman & K.C. John Wei & Feixue Xie, 2003. "Capital Investments and Stock Returns," NBER Working Papers 9951, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  114. Michael Brennan & Yihong Xia, 1999. "Assessing Assets Pricing Anomalies," University of California at Los Angeles, Anderson Graduate School of Management 1098, Anderson Graduate School of Management, UCLA. [Downloadable!]
  115. Menkhoff, Lukas & Schmidt, Ulrich, 2005. "The Use of Trading Strategies by Fund Managers: Some First Survey Evidence," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-314, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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  116. John Gallo & Chanwit Phengpis & Peggy Swanson, 2007. "Determinants of Equity Style," Journal of Financial Services Research, Springer, vol. 31(1), pages 33-51, February. [Downloadable!] (restricted)
  117. Jonathan Berk & Richard C. Green & Vasant Naik, 1998. "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers 6627, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  118. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society. [Downloadable!]
  119. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Quantitative Finance Papers physics/0702027, arXiv.org. [Downloadable!]
  120. Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  121. Hillegeist, Stephen A. & Peñalva, Fernando, 2004. "Stock option incentives and firm performance," IESE Research Papers D/535, IESE Business School. [Downloadable!]
  122. David Lee & Alexandre Mas, 2009. "Long-Run Impacts of Unions on Firms: New Evidence from Financial Markets, 1961-1999," NBER Working Papers 14709, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  123. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group. [Downloadable!]
  124. Narasimhan Jegadeesh & Sheridan Titman, 1999. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," NBER Working Papers 7159, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  125. William M. Gentry & Charles M. Jones & Christopher J. Mayer, 2004. "Do Stock Prices Really Reflect Fundamental Values? The Case of REITs," NBER Working Papers 10850, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  126. Bernhard Eckwert & Burkhard Drees, 2005. "Asset Mispricing Due to Cognitive Dissonance," IMF Working Papers 05/9, International Monetary Fund. [Downloadable!]
  127. Michael E. Drew & Madhu Veeraraghavan, 2000. "Multifactor Models are Alive and Well," School of Economics and Finance Discussion Papers and Working Papers Series 083, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  128. Engström, Stefan, 2004. "Investment Strategies, Fund Performance and Portfolio Characteristics," Working Paper Series in Economics and Finance 554, Stockholm School of Economics. [Downloadable!]
  129. Mattias Hamberg & Jiri Novak, 2007. "On the importance of clean accounting measures for the tests of stock market efficiency," Working Papers IES 2007/25, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2007. [Downloadable!]
  130. Pin-Huang Chou & Robert P. Parks, 1993. "A Further Re-Examination of the Contrarian Investment Strategy: Evidence from Multivariate Tests," Finance 9307001, EconWPA, revised 25 Jul 1993. [Downloadable!]
  131. Harrison Hong & Jeremy C. Stein, 2003. "Simple Forecasts and Paradigm Shifts," NBER Working Papers 10013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  132. Doran, James & Jiang, Danling & Peterson, David, 2008. "Gambling Preference and the New Year Effect of Assets with Lottery Features," MPRA Paper 9258, University Library of Munich, Germany, revised 10 Mar 2009. [Downloadable!]
  133. Michael E. Drew & Madhu Veeraraghavan, 2001. "On the Value Premium in Malaysia," School of Economics and Finance Discussion Papers and Working Papers Series 092, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  134. Luca Benzoni & Carola Schenone, 2007. "Conflict of interest and certification in the U.S. IPO market," Working Paper Series WP-07-09, Federal Reserve Bank of Chicago. [Downloadable!]
  135. Peter Antunovich & David Laster & Scott Mitnick, 2000. "Are high-quality firms also high-quality investments?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Jan. [Downloadable!]
  136. Kothari, S.P. & Lewellen, Jonathan & Warner, Jerold, 2003. "Stock Returns, Aggregate Earnings Surprises, And Behavioral Finance," Working papers 4284-03, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  137. B. Luppi, 2005. "Prospect Theory and the Law of Small Numbers in the Evaluation of Asset Prices," Working Papers 539, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
  138. Fabrice Hervé, 2006. "Famille de fonds de pension, performance et persistance de la performance," Working Papers FARGO 1060903, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
  139. Chan, Wesley & Frankel, Richard & Kothari, S.P., 2002. "Testing Behavioral Finance Theories Using Trends and Sequences in Financial Performance," Working papers 4375-02, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  140. Jaap van der Hart & Erica Slagter & Dick van Dijk, 2001. "Stock Selection Strategies in Emerging Markets," Tinbergen Institute Discussion Papers 01-009/4, Tinbergen Institute. [Downloadable!]
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  141. Harrison Hong & Jeremy C. Stein, 1997. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets," NBER Working Papers 6324, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  142. Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," NBER Working Papers 14523, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  143. Evan G. Galev & William N. Goetzmann & K. Geert Rouwenhorst, 1999. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," NBER Working Papers 7032, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  144. Laura X.L. Liu & Jerold B. Warner & Lu Zhang, 2005. "Momentum Profits and Macroeconomic Risk," NBER Working Papers 11480, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  145. Stefano DellaVigna & Joshua M. Pollet, 2005. "Attention, Demographics, and the Stock Market," NBER Working Papers 11211, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  146. Manuel Núñez Nickel & Manuel Cano Rodríguez, 2002. "Comportamiento Heterocedástico Entre Rentabilidad Y Riesgo," Documentos de Trabajo de Economía de la Empresa db021710, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  147. Eduardo Sandoval & Rodrigo Saens, 2004. "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(122), pages 65-89. [Downloadable!]
  148. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer, vol. 20(3), pages 309-337, September. [Downloadable!] (restricted)
  149. Leonardo Becchetti & Giancarlo Marini, 2002. "Can We Beat The Dow ? The Mirage Of Growth Strategies," Departmental Working Papers 156, Tor Vergata University, CEIS. [Downloadable!]
  150. Manuel Cano Rodríguez & Manuel Núñez Nickel, 2002. "Is The Risk-Return Paradox Still Alive?," Business Economics Working Papers wb024818, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  151. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA. [Downloadable!]
  152. Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December. [Downloadable!] (restricted)
  153. Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group. [Downloadable!]
  154. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers iewwp405, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  155. Dong Lee, 2009. "How Do Employees View Their Underwater Stock Options?: Evidence from the Stock Option Exchange Program," Journal of Financial Services Research, Springer, vol. 35(3), pages 273-296, June. [Downloadable!] (restricted)
  156. Owen Lamont & Christopher Polk & Jesus Saa-Requejo, 1997. "Financial Constraints and Stock Returns," NBER Working Papers 6210, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  157. Mark M. Carhart & Ron Kaniel & David K. Musto & Adam Reed, . "Mutual Fund Returns and Market Microstructure," Rodney L. White Center for Financial Research Working Papers 11-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  158. Tarun Chordia & L Shivakumar & Avanidhar Subrahmanyam, 2000. "Liquidity Dynamics Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management 1068, Anderson Graduate School of Management, UCLA. [Downloadable!]
  159. M. Deetz & T. Poddig & I. Sidorovitch & A. Varmaz, 2009. "An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 285-313, September. [Downloadable!] (restricted)
  160. Mark Grinblatt & Matti Keloharju, 2000. "Tax Loss Trading and Wash Sales," University of California at Los Angeles, Anderson Graduate School of Management 1059, Anderson Graduate School of Management, UCLA. [Downloadable!]
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  161. Minardi, A., 2001. "Preços Passados prevendo Desempenho de Ações Brasileiras," Finance Lab Working Papers flwp_43, Finance Lab, Ibmec São Paulo. [Downloadable!]
  162. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  163. Jon Eggins & Robert J. Hill, 2008. "Momentum and Contrarian Stock-Market Indices," Discussion Papers 2008-07, School of Economics, The University of New South Wales. [Downloadable!]
  164. Terrance Odean., 1996. "Volume, Volatility, Price and Profit When All Trader Are Above Average," Research Program in Finance Working Papers RPF-266, University of California at Berkeley. [Downloadable!]
  165. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department. [Downloadable!]
  166. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics. [Downloadable!]
  167. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany. [Downloadable!]
  168. Nicholas Barberis & Andrei Shleifer, 2000. "Style Investing," NBER Working Papers 8039, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  169. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," NBER Working Papers 6375, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  170. Kim, Kenneth A. & Nofsinger, John R., 2001. "Institutional Herding, Business Groups, and Economic Regimes: Evidence from Japan," CEI Working Paper Series 2001-16, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  171. Carlos Forner & Sonia Sanabria & Joaquín Marhuenda, 2009. "Post-earnings announcement drift: Spanish evidence," Spanish Economic Review, Springer, vol. 11(3), pages 207-241, September. [Downloadable!] (restricted)
  172. Kyriacos Kyriacou & Bryan Mase, 2003. "The Information Contained In The Exercise Of Executive Stock Options," Public Policy Discussion Papers 03-17, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  173. Peter Hecht & Tuomo Vuolteenaho, 2005. "Explaining Returns with Cash-Flow Proxies," NBER Working Papers 11169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  174. Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral Finance," Sonderforschungsbereich 504 Publications 03-14, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  175. Post, G.T. & Levy, H., 2002. "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," Research Paper ERS-2002-50-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  176. Javier DePeña & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers 03/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  177. Manuel Ammann & Michael Steiner, 2008. "Risk Factors for the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(I), pages 1-35, March. [Downloadable!]
  178. Murillo Campello & Long Chen & Lu Zhang, 2005. "Expected Returns, Yield Spreads, and Asset Pricing Tests," NBER Working Papers 11323, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  179. David Rey & Markus Schmid, 2007. "Feasible momentum strategies: Evidence from the Swiss stock market," Financial Markets and Portfolio Management, Springer, vol. 21(3), pages 325-352, September. [Downloadable!] (restricted)
  180. Bing-Huei Lin & Jerry M. C. Wang, 2003. "Systematic skewness in asset pricing: an empirical examination of the Taiwan stock market," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1877-1887, November. [Downloadable!] (restricted)
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