1. 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)
2. Ericsson, Johan & González, Andrés, 2003. "Is Momentum Due to Data-Snooping?," Working Paper Series in Economics and Finance 536, Stockholm School of Economics. [Downloadable!]
3. Monica Billio & Ludovic Calès & Dominique Guégan, 2009. "Portfolio Symmetry and Momentum," Working Papers 2009_05, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
   Other versions:
   • Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Documents de travail du Centre d'Economie de la Sorbonne 09003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne. [Downloadable!]
4. 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)
5. 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!]
6. 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)
   Other versions:
   • Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management. [Downloadable!]
   • Masahiro Watanabe & Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shiraishi, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management. [Downloadable!]
7. Dahlquist, Magnus & Robertsson, Göran, 2001. "Foreigners´ Trading and Price Effects Across Firms," SIFR Research Report Series 1, Institute for Financial Research. [Downloadable!]
8. Urs von Arx & Andreas Ziegler, 2008. "The Effect of CSR on Stock Performance: New Evidence for the USA and Europe," CER-ETH Economics working paper series 08/85, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich. [Downloadable!]
9. 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)
10. 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!]
11. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers 13-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
12. 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!]
13. Glaser, Markus & Weber, Martin, 2002. "Momentum and Turnover: Evidence from the German Stock Market," Sonderforschungsbereich 504 Publications 02-43, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
14. Luis Muga & Rafael Santamaría, 2009. "Momentum, market states and investor behavior," Empirical Economics, Springer, vol. 37(1), pages 105-130, September. [Downloadable!] (restricted)
15. 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)
    Other versions:
    • Kaminsky, Graciela & Lyons, Richard & Schmukler, Sergio, 2000. "Managers, investors, and crises : mutual fund strategies in emerging markets," Policy Research Working Paper Series 2399, The World Bank. [Downloadable!]
    • Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, vol. 64(1), pages 113-134, October. [Downloadable!] (restricted)
16. Craig Holden & Avanidhar Subrahmanyam, 1998. "New Events, Information Acquisition, and Serial Correlation," University of California at Los Angeles, Anderson Graduate School of Management 1115, Anderson Graduate School of Management, UCLA. [Downloadable!]
17. 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!]
    Other versions:
    • Michiel de Pooter & Martin Martens & Dick van Dijk, 2008. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 199-229. [Downloadable!] (restricted)
18. Yangru Wu, 2004. "Momentum Trading, Mean Reveral and Overration in Chinese Stock Market," Working Papers 232004, Hong Kong Institute for Monetary Research. [Downloadable!]
19. Glaser, Markus & Langer, Thomas & Weber, Martin, 2003. "On the trend recognition and forecasting ability of professional traders," Sonderforschungsbereich 504 Publications 03-06, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
20. 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!]
21. 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)
22. 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!]
23. 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)
24. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
25. 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!]
26. Vayanos, Dimitri & Woolley, Paul, 2008. "An Institutional Theory of Momentum and Reversal," CEPR Discussion Papers 7068, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
27. 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!]
    Other versions:
    • Tobias J. Moskowitz & Mark Grinblatt, 1999. "The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence," Yale School of Management Working Papers ysm127, Yale School of Management. [Downloadable!]
    • Mark Grinblatt & Tobias J. Moskowitz, . "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," CRSP working papers 503, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
28. 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!]
29. 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!]
    Other versions:
    • Nijman, T. & Swinkels, L. & Verbeek, M., 2002. "Do countries or industries explain momentum in Europe?," Discussion Paper 9, Tilburg University, Center for Economic Research. [Downloadable!]
    • Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004. "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 461-481, September. [Downloadable!] (restricted)
30. 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!]
31. 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!]
    Other versions:
    • Carl Chiarella & Tony He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002 135, Society for Computational Economics.
32. Mark Grinblatt & Bing Han, 2002. "The Disposition Effect and Momentum," NBER Working Papers 8734, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Mark Grinblatt & Bing Han, 2001. "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management 1019, Anderson Graduate School of Management, UCLA. [Downloadable!]
    • Bing NMI1 Han & Mark Grinblatt, 2001. "The Disposition Effect and Momentum," Yale School of Management Working Papers ysm239, Yale School of Management. [Downloadable!]
    • Grinblatt, Mark & Han, Bing, 2003. "The Disposition Effect and Momentum," Working Paper Series 2004-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
33. 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)
    Other versions:
    • Kenneth A. Froot & Tarun Ramadorai, 2002. "Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals," NBER Working Papers 9080, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
34. 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!]
35. 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)
36. 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!]
37. 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)
38. Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
39. Roberto A. De Santis & Melanie Lührmann, 2006. "On the determinants of external imbalances and net international portfolio flows - a global perspective," Working Paper Series 651, European Central Bank. [Downloadable!]
40. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
41. 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!]
    Other versions:
    • Franke, Günter & Weber, Martin, 2003. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers 3832, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
42. 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)
    Other versions:
    • Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January. [Downloadable!] (restricted)
43. Kyriacos Kyriacou & Bryan Mase, 2006. "The Adverse Consequences of Share-Based Pay in Risky Companies," Journal of Management and Governance, Springer, vol. 10(3), pages 307-323, September. [Downloadable!] (restricted)
44. Olli Castrén & Trevor Fitzpatrick & Matthias Sydow, 2006. "What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model," Working Paper Series 677, European Central Bank. [Downloadable!]
45. 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)
46. Bryan Mase, 2006. "Investor awareness and the long-term impact of FTSE 100 index redefinitions," Applied Financial Economics, Taylor and Francis Journals, vol. 16(15), pages 1113-1118, October. [Downloadable!] (restricted)
47. 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!]
48. Kent Daniel & Sheridan Titman, 2000. "Market Efficiency in an Irrational World," NBER Working Papers 7489, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
49. 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)
50. Bernhard Eckwert & Burkhard Drees, 2005. "Asset Mispricing Due to Cognitive Dissonance," IMF Working Papers 05/9, International Monetary Fund. [Downloadable!]
51. Engström, Stefan, 2004. "Investment Strategies, Fund Performance and Portfolio Characteristics," Working Paper Series in Economics and Finance 554, Stockholm School of Economics. [Downloadable!]
52. Dahlquist, Magnus & Robertsson, Göran, 2001. "Foreigners Trading and Price Effects Across Firms," CEPR Discussion Papers 3033, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
53. 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!]
    Other versions:
    • van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 105-132, February. [Downloadable!] (restricted)
54. Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," NBER Working Papers 14523, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
55. Leonardo Becchetti & Giancarlo Marini, 2002. "Can We Beat The Dow ? The Mirage Of Growth Strategies," Departmental Working Papers 156, Tor Vergata University, CEIS. [Downloadable!]
56. 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!]
57. Martina Bers & Jeff Madura, 2000. "Why Does Performance Persistence Vary Among Closed-End Funds?," Journal of Financial Services Research, Springer, vol. 17(2), pages 127-147, August. [Downloadable!] (restricted)
58. 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!]
59. Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral Finance," Sonderforschungsbereich 504 Publications 03-14, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
60. Patricia Chelley-Steeley & Antonios Siganos, 2005. "Momentum Profits in Alternative Stock Market Structures," Money Macro and Finance (MMF) Research Group Conference 2005 63, Money Macro and Finance Research Group. [Downloadable!]
61. Menkhoff, Lukas & Schmeling, Maik, 2006. "A Prospect-Theoretical Interpretation of Momentum Returns," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-335, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Other versions:
    • Menkhoff, Lukas & Schmeling, Maik, 2006. "A prospect-theoretical interpretation of momentum returns," Economics Letters, Elsevier, vol. 93(3), pages 360-366, December. [Downloadable!] (restricted)
62. 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!]
63. 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)

This page was last updated on 2010-1-3.