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Citations for "Price Momentum and Trading Volume"

by Charles M.C. Lee & Bhaskaran Swaminathan

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  1. Wu, Yuliang & Li, Youwei, 2011. "Long-term return reversals--Value and growth or tax? UK evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 347-368, July.
  2. Baik, Bok & Kang, Jun-Koo & Kim, Jin-Mo, 2010. "Local institutional investors, information asymmetries, and equity returns," Journal of Financial Economics, Elsevier, vol. 97(1), pages 81-106, July.
  3. Chan, Wesley S., 2003. "Stock price reaction to news and no-news: drift and reversal after headlines," Journal of Financial Economics, Elsevier, vol. 70(2), pages 223-260, November.
  4. David Kelsey & Roman Kozhan & Wei Pang, 2010. "Asymmetric Momentum Effects Under Uncertainty," Review of Finance, European Finance Association, vol. 15(3), pages 603-631.
  5. Hueng, C. James & McDonald, James B., 2005. "Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 666-685, December.
  6. Jiang, Danling, 2006. "Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns," Working Paper Series 2006-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  7. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
  8. Naughton, Tony & Truong, Cameron & Veeraraghavan, Madhu, 2008. "Momentum strategies and stock returns: Chinese evidence," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 476-492, September.
  9. 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.
  10. Hui Guo, 2005. "Time-varying risk premia and the cross section of stock returns," Working Papers 2002-013, Federal Reserve Bank of St. Louis.
  11. Bhootra, Ajay, 2011. "Are momentum profits driven by the cross-sectional dispersion in expected stock returns?," Journal of Financial Markets, Elsevier, vol. 14(3), pages 494-513, August.
  12. Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2010. "The impact of investor sentiment on the German stock market," CFR Working Papers 10-03, University of Cologne, Centre for Financial Research (CFR).
  13. 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.
  14. Eli Beracha & Hilla Skiba, 2011. "Momentum in Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 43(3), pages 299-320, October.
  15. Vozlyublennaia, Nadia, 2014. "Investor attention, index performance, and return predictability," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 17-35.
  16. Berkman, Henk & Dimitrov, Valentin & Jain, Prem C. & Koch, Paul D. & Tice, Sheri, 2009. "Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements," Journal of Financial Economics, Elsevier, vol. 92(3), pages 376-399, June.
  17. Chen, Haiqiang & Chong, Terence Tai Leung & Bai, Jushan, 2012. "Theory and Applications of TAR Model with Two Threshold Variables," MPRA Paper 54527, University Library of Munich, Germany.
  18. Krishnan, R. & Mishra, Vinod, 2013. "Intraday liquidity patterns in Indian stock market," Journal of Asian Economics, Elsevier, vol. 28(C), pages 99-114.
  19. 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.
  20. Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008. "Insights into the Market Impact of Different Investment Styles," Working Paper Series 1, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  21. Harrison Hong & Jeremy C. Stein, 2007. "Disagreement and the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 109-128, Spring.
  22. Amil Dasgupta & Andrea Prat & Michela Verardo, 2010. "The Price Impact of Institutional Herding," FMG Discussion Papers dp652, Financial Markets Group.
  23. Du, Ding & Denning, Karen, 2005. "Industry momentum and common factors," Finance Research Letters, Elsevier, vol. 2(3), pages 107-124, September.
  24. Güntay, Levent & Hackbarth, Dirk, 2010. "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2328-2345, October.
  25. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
  26. Xiafei Li & Chris Brooks & Jöelle Miffre, 2007. "Low-Cost Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2007-12, Henley Business School, Reading University.
  27. Chui, Andy C. W. & Titman, Sheridan & Wei, K. C. John, 2003. "Intra-industry momentum: the case of REITs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 363-387, May.
  28. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, vol. 8(2), pages 153-181, May.
  29. Hodgson, Allan & Masih, A. Mansur M. & Masih, Rumi, 2006. "Futures trading volume as a determinant of prices in different momentum phases," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 68-85.
  30. Raphael Flepp & Stephan Nüesch & Egon Franck, 2013. " Liquidity, Market Efficiency and the Influence of Noise Traders: Quasi-Experimental Evidence from the Betting Industry," Working Papers 341, University of Zurich, Department of Business Administration (IBW).
  31. Mirela Malin & Graham Bornholt, 2009. "Predictability of Future Index Returns based on the 52 Week High Strategy," Discussion Papers in Finance finance:200907, Griffith University, Department of Accounting, Finance and Economics.
  32. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  33. Lasfer, M. Ameziane & Melnik, Arie & Thomas, Dylan C., 2003. "Short-term reaction of stock markets in stressful circumstances," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1959-1977, October.
  34. Alwathainani, Abdulaziz M., 2012. "Consistent winners and losers," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 210-220.
  35. Saturnino, Odilon & Saturnino, Valéria & Gois de Oliveira, Marcos Roberto & Lucena, Pierre & Araújo, Luiz Fernando, 2012. "Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica
    [Opposite strategy and liquidity effect: an econometric analysis]
    ," MPRA Paper 48104, University Library of Munich, Germany.
  36. Pavel Bandarchuk & Jens Hilscher, 2013. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, vol. 17(2), pages 809-845.
  37. Cheng, Joseph W. & Wu, Hiu-fung, 2010. "The profitability of momentum trading strategies: Empirical evidence from Hong Kong," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 527-538, October.
  38. Chan, Howard W. & Faff, Robert W., 2003. "An investigation into the role of liquidity in asset pricing: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 555-572, November.
  39. Leonid Kogan & Mary Tian, 2012. "Firm characteristics and empirical factor models: a data-mining experiment," International Finance Discussion Papers 1070, Board of Governors of the Federal Reserve System (U.S.).
  40. Wongchoti, Udomsak & Wu, Fei & Young, Martin, 2009. "Buy and sell dynamics following high market returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 12-20, March.
  41. Xiafei Li & Chris Brooks & Joelle Miffre, 2009. "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2009-04, Henley Business School, Reading University.
  42. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "Stock and bond market interaction: Does momentum spill over?," Journal of Financial Economics, Elsevier, vol. 75(3), pages 651-690, March.
  43. Iihara, Yoshio & Kato, Hideaki Kiyoshi & Tokunaga, Toshifumi, 2004. "The winner-loser effect in Japanese stock returns," Japan and the World Economy, Elsevier, vol. 16(4), pages 471-485, December.
  44. Ko, K. Jeremy & (James) Huang, Zhijian, 2007. "Arrogance can be a virtue: Overconfidence, information acquisition, and market efficiency," Journal of Financial Economics, Elsevier, vol. 84(2), pages 529-560, May.
  45. Mazouz, Khelifa & Joseph, Nathan L. & Joulmer, Joulmer, 2009. "Stock price reaction following large one-day price changes: UK evidence," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1481-1493, August.
  46. Chou, Pin-Huang & Huang, Tsung-Yu & Yang, Hung-Jeh, 2013. "Arbitrage risk and the turnover anomaly," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4172-4182.
  47. Lambert, Jérôme & Bessière, Véronique & N’Goala, Gilles, 2012. "Does expertise influence the impact of overconfidence on judgment, valuation and investment decision?," Journal of Economic Psychology, Elsevier, vol. 33(6), pages 1115-1128.
  48. van der Hart, J. & de Zwart, G.J. & van Dijk, D.J.C., 2005. "The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?," ERIM Report Series Research in Management ERS-2005-012-F&A, 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.
  49. : John A. Doukas & Constantinos Antoniou & Avanidhar Subrahmanyam, 2011. "Sentiment and Momentum," Working Papers wpn11-02, Warwick Business School, Finance Group.
  50. Holmes, Phil & Rougier, Jonathan, 2005. "Trading volume and contract rollover in futures contracts," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 317-338, March.
  51. Chen, Xuanjuan & Kim, Kenneth A. & Yao, Tong & Yu, Tong, 2010. "On the predictability of Chinese stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 403-425, September.
  52. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  53. repec:hal:journl:halshs-00460856 is not listed on IDEAS
  54. Alina Serban, 2009. "Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets," Working Papers 09-14, Department of Economics, West Virginia University.
  55. Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 140-156, January.
  56. Mark Grinblatt & Bing Han, 2002. "The Disposition Effect and Momentum," NBER Working Papers 8734, National Bureau of Economic Research, Inc.
  57. Chai, Daniel & Faff, Robert & Gharghori, Philip, 2010. "New evidence on the relation between stock liquidity and measures of trading activity," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 181-192, June.
  58. Jaehyung Choi, 2012. "Physical approach to price momentum and its application to momentum strategy," Papers 1208.2775, arXiv.org, revised Jul 2014.
  59. Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin, 2007. "Sources of contrarian profits in the Japanese stock market," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 261-286, June.
  60. William N. Goetzmann & Massimo Massa, 2005. "Dispersion of Opinion and Stock Returns," Yale School of Management Working Papers ysm444, Yale School of Management.
  61. Israel, Ronen & Moskowitz, Tobias J., 2013. "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, vol. 108(2), pages 275-301.
  62. Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
  63. Wahal, Sunil & Yavuz, M. Deniz, 2013. "Style investing, comovement and return predictability," Journal of Financial Economics, Elsevier, vol. 107(1), pages 136-154.
  64. Du, Ding & Huang, Zhaodan & Liao, Bih-shuang, 2009. "Why is there no momentum in the Taiwan stock market?," Journal of Economics and Business, Elsevier, vol. 61(2), pages 140-152.
  65. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
  66. Jiao, Jie & Qiu, Bin & Yan, An, 2013. "Diversification and heterogeneity of investor beliefs," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3435-3453.
  67. Anna Scherbina, 2013. "Asset Price Bubbles," IMF Working Papers 13/45, International Monetary Fund.
  68. Dong Lou & Christopher Polk, . "Inferring Arbitrage Activity from Return Correlations," FMG Discussion Papers dp721, Financial Markets Group.
  69. Bilinski, Pawel & Liu, Weimin & Strong, Norman, 2012. "Does liquidity risk explain low firm performance following seasoned equity offerings?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2770-2785.
  70. repec:wyi:journl:002152 is not listed on IDEAS
  71. Jaehyung Choi & Young Shin Kim & Ivan Mitov, 2014. "Reward-risk momentum strategies using classical tempered stable distribution," Papers 1403.6093, arXiv.org, revised May 2014.
  72. Mengoli, Stefano, 2004. "On the source of contrarian and momentum strategies in the Italian equity market," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 301-331.
  73. Fong, Wai Mun & Wong, Wing Keung & Lean, Hooi Hooi, 2005. "International momentum strategies: a stochastic dominance approach," Journal of Financial Markets, Elsevier, vol. 8(1), pages 89-109, February.
  74. Balvers, Ronald J. & Wu, Yangru, 2006. "Momentum and mean reversion across national equity markets," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 24-48, January.
  75. Johnson, Travis L. & So, Eric C., 2012. "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, vol. 106(2), pages 262-286.
  76. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  77. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(04), pages 953-986, August.
  78. Allaudeen Hameed & Yuanto Kusnadi, 2002. "Momentum Strategies: Evidence from Pacific Basin Stock Markets," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 25(3), pages 383-397.
  79. Du, Ding, 2008. "The 52-week high and momentum investing in international stock indexes," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 61-77, February.
  80. Chan, Howard W.H. & Brown, Rob & Ho, Yew Kee, 2006. "Initiation of brokers' recommendations, market predictors and stock returns," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 213-231, July.
  81. Guohua Jiang & Donglin Li & Gang Li, 2012. "Capital investment and momentum strategies," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 165-188, August.
  82. Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross-Section of OTC Stocks," Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 2985-3028.
  83. Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2011. "The impact of investor sentiment on the German stock market," CFR Working Papers 10-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
  84. Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 186-210.
  85. 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.
  86. Jaehyung Choi & Sungsoo Choi & Wonseok Kang, 2012. "Momentum universe shrinkage effect in price momentum," Papers 1211.6517, arXiv.org.
  87. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
  88. Ding, David K. & McInish, Thomas H. & Wongchoti, Udomsak, 2008. "Behavioral explanations of trading volume and short-horizon price patterns: An investigation of seven Asia-Pacific markets," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 183-203, June.
  89. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
  90. Safieddine, Assem & Sonti, Ramana, 2007. "Momentum and industry growth," Review of Financial Economics, Elsevier, vol. 16(2), pages 203-215.
  91. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper Series 25_12, The Rimini Centre for Economic Analysis.
  92. Houda Ben Mhenni Haj Youssef & Lassad El Moubarki & Olfa Benouda Sioud, 2010. "Can diversification degree amplify momentum and contrarian anomalies?," Review of Accounting and Finance, Emerald Group Publishing, vol. 9(1), pages 50-64, February.
  93. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
  94. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis," MPRA Paper 42510, University Library of Munich, Germany, revised 18 Sep 2012.
  95. Haiwei Chen & Ansley Chua & Changha Jin, 2013. "Analyst Forecasting Errors in REITs," International Real Estate Review, Asian Real Estate Society, vol. 16(1), pages 48-67.
  96. Adams, Zeno & Glück, Thorsten, 2013. "Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79949, Verein für Socialpolitik / German Economic Association.
  97. Ali, Ashiq & Hwang, Lee-Seok & Trombley, Mark A., 2003. "Arbitrage risk and the book-to-market anomaly," Journal of Financial Economics, Elsevier, vol. 69(2), pages 355-373, August.
  98. Wang, Changyun & Yu, Min, 2004. "Trading activity and price reversals in futures markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1337-1361, June.
  99. Libby, Robert & Bloomfield, Robert & Nelson, Mark W., 2002. "Experimental research in financial accounting," Accounting, Organizations and Society, Elsevier, vol. 27(8), pages 775-810, November.
  100. D'Avolio, Gene, 2002. "The market for borrowing stock," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 271-306.
  101. Johnson, Lorne D. & Sakoulis, Georgios, 2008. "Maximizing equity market sector predictability in a Bayesian time-varying parameter model," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3083-3106, February.
  102. Laura Xiaolei Liu & Lu Zhang, 2011. "A Model of Momentum," NBER Working Papers 16747, National Bureau of Economic Research, Inc.
  103. Ron Bird & Lorenzo Casavecchia, 2008. "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series 2, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  104. Chen, Hong-Yi & Chen, Sheng-Syan & Hsin, Chin-Wen & Lee, Cheng-Few, 2014. "Does revenue momentum drive or ride earnings or price momentum?," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 166-185.
  105. Sagi, Jacob S. & Seasholes, Mark S., 2007. "Firm-specific attributes and the cross-section of momentum," Journal of Financial Economics, Elsevier, vol. 84(2), pages 389-434, May.
  106. Gupta, Kartick & Locke, Stuart & Scrimgeour, Frank, 2010. "International comparison of returns from conventional, industrial and 52-week high momentum strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 423-435, October.
  107. Gutierrez, Roberto Jr. & Prinsky, Christo A., 2007. "Momentum, reversal, and the trading behaviors of institutions," Journal of Financial Markets, Elsevier, vol. 10(1), pages 48-75, February.
  108. Wermers, Russ, 2006. "Performance evaluation with portfolio holdings information," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 207-230, August.
  109. Yao, Yi & Yang, Rong & Liu, Zhiyuan & Hasan, Iftekhar, 2012. "Government intervention and institutional trading strategy: Evidence from a transition country," BOFIT Discussion Papers 9/2012, Bank of Finland, Institute for Economies in Transition.
  110. Li, Ming-Yuan Leon, 2009. "Value or volume strategy?," Finance Research Letters, Elsevier, vol. 6(4), pages 210-218, December.
  111. Shin S. Ikeda & Yan Zhang, 2012. "Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from China," GRIPS Discussion Papers 12-12, National Graduate Institute for Policy Studies.
  112. Eisdorfer, Assaf, 2008. "Delisted firms and momentum profits," Journal of Financial Markets, Elsevier, vol. 11(2), pages 160-179, May.
  113. Kassimatis, Konstantinos & Spyrou, Spyros & Galariotis, Emilios, 2008. "Short-term patterns in government bond returns following market shocks: International evidence," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 903-924, December.
  114. Barinov, Alexander & Park, Shawn Saeyeul & Yildizhan, Celim, 2014. "Firm Complexity and Post-Earnings-Announcement Drift," MPRA Paper 53887, University Library of Munich, Germany.
  115. Hao FANG & Yang-Cheng Lu & Hwey-Yun Yau & Yen-Hsien Lee, 2013. "Stock Characteristics Herded By Foreign Investors With Higher Abnormal Returns In The Taiwan Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 232-245, December.
  116. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 312-329.
  117. Lee, Charles M. C., 2001. "Market efficiency and accounting research: a discussion of 'capital market research in accounting' by S.P. Kothari," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 233-253, September.
  118. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
  119. 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.
  120. Siwar, Ellouz, 2011. "The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock Market," Economics Papers from University Paris Dauphine 123456789/11681, Paris Dauphine University.
  121. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.
  122. Jaehyung Choi, 2014. "Maximum drawdown, recovery, and momentum," Papers 1403.8125, arXiv.org, revised May 2014.
  123. Chiao, Chaoshin & Chen, Shin-Hui & Hu, Jia-Ming, 2010. "Informational differences among institutional investors in an increasingly institutionalized market," Japan and the World Economy, Elsevier, vol. 22(2), pages 118-129, March.
  124. Parhizgari, A.M. & Nguyen, D., 2008. "ADRs under momentum and contrarian strategies," Global Finance Journal, Elsevier, vol. 19(2), pages 102-122.
  125. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.