Advanced Search
MyIDEAS: Login

Citations for "Fads, Martingales, and Market Efficiency"

by Bruce N. Lehmann

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 1(01), pages 102-134, January.
  2. Andrew W. Lo & A. Craig MacKinlay, 1989. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc.
  3. Nartea, Gilbert V. & Wu, Ji & Liu, Zhentao, 2013. "Does idiosyncratic volatility matter in emerging markets? Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 27(C), pages 137-160.
  4. Volkman, David A. & Wohar, Mark E., 1996. "Abnormal profits and relative strength in mutual fund returns," Review of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 101-116.
  5. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1172, Cowles Foundation for Research in Economics, Yale University.
  6. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 1-99, Wharton School Rodney L. White Center for Financial Research.
  7. Gencay, Ramazan, 1998. "The predictability of security returns with simple technical trading rules," Journal of Empirical Finance, Elsevier, Elsevier, vol. 5(4), pages 347-359, October.
  8. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, Elsevier, vol. 26(6), pages 1420-1431, November.
  9. Lo, Kevin & Coggins, Richard, 2006. "Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 14(3), pages 291-310, June.
  10. Ilir Roko & Manfred Gilli, . "Using Economic and Financial Information for Stock Selection," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 06-21, Swiss Finance Institute.
  11. 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.
  12. Da, Zhi & Schaumburg, Ernst, 2011. "Relative valuation and analyst target price forecasts," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(1), pages 161-192, February.
  13. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(2), pages 427-446, February.
  14. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 27(1), pages 47-65, August.
  15. Shen, Qian & Szakmary, Andrew C. & Sharma, Subhash C., 2005. "Momentum and contrarian strategies in international stock markets: Further evidence," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 15(3), pages 235-255, July.
  16. Bhootra, Ajay, 2011. "Are momentum profits driven by the cross-sectional dispersion in expected stock returns?," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(3), pages 494-513, August.
  17. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(1), pages 36-68, July.
  18. Lucy F. Ackert & William C. Hunter, 2000. "An empirical examination of the price-dividend relation with dividend management," Working Paper Series, Federal Reserve Bank of Chicago WP-00-22, Federal Reserve Bank of Chicago.
  19. Chiao-Yi Chang, 2013. "Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market," Journal of Economics and Finance, Springer, Springer, vol. 37(2), pages 253-273, April.
  20. Khandani, Amir E. & Lo, Andrew W., 2011. "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(1), pages 1-46, February.
  21. Bowman, Robert G. & Iverson, David, 1998. "Short-run overreaction in the New Zealand stock market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 6(5), pages 475-491, November.
  22. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(2), pages 153-181, May.
  23. Raza, Ahmad & Marshall, Ben R. & Visaltanachoti, Nuttawat, 2014. "Is there momentum or reversal in weekly currency returns?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 45(C), pages 38-60.
  24. Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin, 2007. "Sources of contrarian profits in the Japanese stock market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(3), pages 261-286, June.
  25. Levy, Haim & Wiener, Zvi, 2013. "Prospect theory and utility theory: Temporary versus permanent attitude toward risk," Journal of Economics and Business, Elsevier, Elsevier, vol. 68(C), pages 1-23.
  26. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 08-99, Wharton School Rodney L. White Center for Financial Research.
  27. Dissanaike, Gishan, 1996. "Are stock price reversals really asymmetric? A note," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(1), pages 189-201, January.
  28. Gunaratne, P. S. M. & Yonesawa, Y., 1997. "Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction," Japan and the World Economy, Elsevier, Elsevier, vol. 9(3), pages 363-384, August.
  29. Luis Muga & Rafael Santamaría, 2009. "Momentum, market states and investor behavior," Empirical Economics, Springer, Springer, vol. 37(1), pages 105-130, September.
  30. Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995. "Momentum Strategies," NBER Working Papers 5375, National Bureau of Economic Research, Inc.
  31. Bruce N. Lehmann, 1991. "Asset Pricing and Intrinsic Values: A Review Essay," NBER Working Papers 3873, National Bureau of Economic Research, Inc.
  32. Asem, Ebenezer, 2009. "Pricing unexpected illiquidity," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(4), pages 1485-1494, November.
  33. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2014. "Information ratio analysis of momentum strategies," Papers 1402.3030, arXiv.org, revised Jul 2014.
  34. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer, Springer, vol. 26(1), pages 3-38, March.
  35. Ball, Ray & Kothari, S. P. & Shanken, Jay, 1995. "Problems in measuring portfolio performance An application to contrarian investment strategies," Journal of Financial Economics, Elsevier, Elsevier, vol. 38(1), pages 79-107, May.
  36. van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(1-2), pages 105-132, February.
  37. Mazouz, Khelifa & Joseph, Nathan Lael & Palliere, Clement, 2009. "Stock index reaction to large price changes: Evidence from major Asian stock indexes," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(4), pages 444-459, September.
  38. Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(5), pages 481-502, December.
  39. Demir, Isabelle & Muthuswamy, Jay & Walter, Terry, 2004. "Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 12(2), pages 143-158, April.
  40. Ronald J. Balvers & Yangru Wu, 2005. "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers, Hong Kong Institute for Monetary Research 022005, Hong Kong Institute for Monetary Research.
  41. Chen, Carl R. & Su, Yuli & Huang, Ying, 2008. "Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 789-798, September.
  42. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc.
  43. 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.
  44. Parisi, Franco & Acevedo, Carlos, 2001. "Volume and autocovariance in short-horizon stock returns: Evidence from 1992 to 1998 in Chile," International Review of Financial Analysis, Elsevier, Elsevier, vol. 10(3), pages 275-285.
  45. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 48(1), pages 17-36, October.
  46. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 65(4), pages 1369-1407, 08.
  47. Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012. "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer, Springer, vol. 36(2), pages 400-423, April.
  48. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, Elsevier, vol. 88(2), pages 406-423, May.
  49. Parisi, Franco & Vasquez, Alejandra, 2000. "Simple technical trading rules of stock returns: evidence from 1987 to 1998 in Chile," Emerging Markets Review, Elsevier, Elsevier, vol. 1(2), pages 152-164, September.
  50. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2012. "Systematic risk and the cross section of hedge fund returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(1), pages 114-131.
  51. 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, Elsevier, vol. 19(1), pages 140-156, January.
  52. Qiwei Chen & Ying Jiang & Yuan Li, 2012. "The state of the market and the contrarian strategy: evidence from China's stock market," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(1), pages 89-108, September.
  53. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(4), pages 1371-1388, November.
  54. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(3), pages 635-659.
  55. Johnson, Travis L. & So, Eric C., 2012. "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(2), pages 262-286.
  56. Cassano, Mark A., 1999. "Learning and mean reversion in asset returns," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 39(4), pages 529-545.
  57. Yao, Jing & Li, Duan, 2013. "Prospect theory and trading patterns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 2793-2805.
  58. Doyle, John R. & Chen, Catherine Huirong, 2009. "The wandering weekday effect in major stock markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(8), pages 1388-1399, August.
  59. Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno, 2013. "Short-term residual reversal," Journal of Financial Markets, Elsevier, Elsevier, vol. 16(3), pages 477-504.
  60. Hameed, Allaudeen & Ting, Serena, 2000. "Trading volume and short-horizon contrarian profits: Evidence from the Malaysian market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 8(1), pages 67-84, March.
  61. Alsubaie, Abdullah & Najand, Mohammad, 2009. "Abnormal trading volume and autoregressive behavior in weekly stock returns in the Saudi stock market," Emerging Markets Review, Elsevier, Elsevier, vol. 10(3), pages 207-225, September.
  62. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1305, Koc University-TUSIAD Economic Research Forum.
  63. Kryzanowski, Lawrence & Switzer, Lorne & Jiang, Li, 1995. "Stock market crash behavior of screen-sorted portfolios," International Review of Economics & Finance, Elsevier, Elsevier, vol. 4(3), pages 227-244.
  64. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 5132-5146.
  65. Lynch, Andrew & Nikolic, Biljana & Yan, Xuemin (Sterling) & Yu, Han, 2014. "Aggregate short selling, commonality, and stock market returns," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 199-229.
  66. Bhootra, Ajay & Hur, Jungshik, 2012. "On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(5), pages 1266-1275.
  67. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(3), pages 518-532, June.
  68. Angelos Kanas & George Kouretas, 2001. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," Working Papers, University of Crete, Department of Economics 0101, University of Crete, Department of Economics.
  69. de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012. "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(2), pages 371-382.
  70. Friesen, Geoffrey C. & Weller, Paul A. & Dunham, Lee M., 2009. "Price trends and patterns in technical analysis: A theoretical and empirical examination," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(6), pages 1089-1100, June.
  71. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents, Nobel Prize Committee 2013-1, Nobel Prize Committee.
  72. Liu, Chao-Shin & Ziebart, David A., 1999. "Anomalous security price behavior following management earnings forecasts," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(4), pages 405-429, October.
  73. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.
  74. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  75. Bremer, Marc & Hiraki, Takato, 1999. "Volume and individual security returns on the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 7(3-4), pages 351-370, August.
  76. Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(5), pages 563-588, December.
  77. Kang, Joseph & Liu, Ming-Hua & Ni, Sophie Xiaoyan, 2002. "Contrarian and momentum strategies in the China stock market: 1993-2000," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 10(3), pages 243-265, June.
  78. Baytas, Ahmet & Cakici, Nusret, 1999. "Do markets overreact: International evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 23(7), pages 1121-1144, July.
  79. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 72(3), pages 485-518, June.
  80. Sercu, Piet & Vandebroek, Martina, 2005. "What UIP tests on extreme samples reveal about the missing variable," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(8), pages 1237-1260, December.
  81. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Can commodity futures be profitably traded with quantitative market timing strategies?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(9), pages 1810-1819, September.
  82. Parhizgari, A.M. & Nguyen, D., 2008. "ADRs under momentum and contrarian strategies," Global Finance Journal, Elsevier, vol. 19(2), pages 102-122.
  83. Grinblatt, Mark & Keloharju, Matti & Linnainmaa, Juhani T., 2012. "IQ, trading behavior, and performance," Journal of Financial Economics, Elsevier, Elsevier, vol. 104(2), pages 339-362.
  84. Heston, Steven L. & Sadka, Ronnie, 2008. "Seasonality in the cross-section of stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(2), pages 418-445, February.
  85. Kessler, Stephan & Scherer, Bernd, 2009. "Varying risk premia in international bond markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(8), pages 1361-1375, August.
  86. 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, Wharton School Rodney L. White Center for Financial Research 13-98, Wharton School Rodney L. White Center for Financial Research.
  87. Huffman, Stephen P. & Moll, Cliff R., 2013. "An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns," Review of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 8-19.
  88. Cheng, Joseph W. & Wu, Hiu-fung, 2010. "The profitability of momentum trading strategies: Empirical evidence from Hong Kong," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(4), pages 527-538, October.
  89. Lim, Kian-Ping & Kim, Jae H., 2011. "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, Elsevier, vol. 28(5), pages 2228-2238, September.
  90. Huang, Biqing & Wald, John & Martell, Rodolfo, 2013. "Financial market liberalization and the pricing of idiosyncratic risk," Emerging Markets Review, Elsevier, Elsevier, vol. 17(C), pages 44-59.
  91. Mazouz, Khelifa & Joseph, Nathan L. & Joulmer, Joulmer, 2009. "Stock price reaction following large one-day price changes: UK evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(8), pages 1481-1493, August.
  92. Yangru Wu, 2004. "Momentum Trading, Mean Reveral and Overration in Chinese Stock Market," Working Papers, Hong Kong Institute for Monetary Research 232004, Hong Kong Institute for Monetary Research.
  93. Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, Elsevier, vol. 64(1), pages 113-134, October.
  94. Shen, Chung-Hua & Wang, Lee-Rong, 1998. "Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 6(3-4), pages 251-273, August.
  95. Andrew W. Lo & Mark T. Mueller, 2010. "WARNING: Physics Envy May Be Hazardous To Your Wealth!," Papers 1003.2688, arXiv.org, revised Mar 2010.
  96. Rhee, S. Ghon & Wang, Chi-Jeng, 1997. "The bid-ask bounce effect and the spread size effect: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 5(2), pages 231-258, June.
  97. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(4), pages 598-619, September.
  98. Shively, Philip A., 2003. "The nonlinear dynamics of stock prices," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(3), pages 505-517.
  99. Bhootra, Ajay & Hur, Jungshik, 2013. "The timing of 52-week high price and momentum," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(10), pages 3773-3782.
  100. Peterson, David R. & Smedema, Adam R., 2011. "The return impact of realized and expected idiosyncratic volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2547-2558, October.
  101. Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, Elsevier, vol. 15(C), pages 186-210.
  102. Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(10), pages 2757-2769.
  103. Blitz, David & Huij, Joop & Martens, Martin, 2011. "Residual momentum," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 506-521, June.
  104. Wang, Changyun & Yu, Min, 2004. "Trading activity and price reversals in futures markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(6), pages 1337-1361, June.
  105. Nam, Kiseok & Washer, Kenneth M. & Chu, Quentin C., 2005. "Asymmetric return dynamics and technical trading strategies," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(2), pages 391-418, February.
  106. Balvers, Ronald J. & Wu, Yangru, 2006. "Momentum and mean reversion across national equity markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 13(1), pages 24-48, January.
  107. Kaniel, Ron & Liu, Shuming & Saar, Gideon & Titman, Sheridan, 2011. "Individual Investor Trading and Return Patterns around Earnings Announcements," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8259, C.E.P.R. Discussion Papers.
  108. Akber, Ushna & Muhammad, Nabeel, 2013. "Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index," MPRA Paper 49128, University Library of Munich, Germany.
  109. 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, Elsevier, vol. 17(2), pages 312-329.
  110. Kudryavtsev, Andrey, 2013. "Stock price reversals following end-of-the-day price moves," Economics Letters, Elsevier, Elsevier, vol. 118(1), pages 203-205.
  111. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 27(C), pages 1-16.
  112. Pan, Li & Tang, Ya & Xu, Jianguo, 2013. "Weekly momentum by return interval ranking," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 21(1), pages 1191-1208.
  113. Nartea, Gilbert V. & Wu, Ji, 2013. "Is there a volatility effect in the Hong Kong stock market?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 25(C), pages 119-135.
  114. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(4), pages 807-824, April.
  115. KUDRYAVTSEV Andrey, 2012. "Early To Rise: When Opening Stock Returns Are Higher Than Daily Returns?," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 58-73, December.