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Kent Daniel

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Pierre Collin-Dufresne & Kent D. Daniel & Mehmet Sağlam, 2024. "Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands," NBER Working Papers 33058, National Bureau of Economic Research, Inc.

    Cited by:

    1. Luna, Manuel & Pérez-Mon, Olaya & Becker, João Luiz, 2026. "Forecasting and managing price volatility in salmon production: A hybrid system using conformal prediction and dynamic hedging," International Journal of Production Economics, Elsevier, vol. 291(C).

  2. Kent Daniel & Lorenzo Garlappi & Kairong Xiao, 2018. "Monetary Policy and Reaching for Income," NBER Working Papers 25344, National Bureau of Economic Research, Inc.

    Cited by:

    1. Pablo Aguilar-Perez, 2025. "Monetary Policy and Life Insurance Profitability: Bancassurance’s Edge in a Low-Yield World," Working Papers 2025-22, CEPII research center.
    2. Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Finance and Economics Discussion Series 2022-006, Board of Governors of the Federal Reserve System (U.S.).
    3. Campbell, John Y. & Sigalov, Roman, 2022. "Portfolio choice with sustainable spending: A model of reaching for yield," Journal of Financial Economics, Elsevier, vol. 143(1), pages 188-206.
    4. Christoph Kaufmann & Jaime Leyva & Manuela Storz, 2025. "Insurance corporations’ balance sheets, financial stability and monetary policy," Working Papers w202502, Banco de Portugal, Economics and Research Department.
    5. Caterina Forti Grazzini & Chi Hyun Kim, 2020. "Is Monetary Policy Gender Neutral? Evidence from the Stock Market," Discussion Papers of DIW Berlin 1841, DIW Berlin, German Institute for Economic Research.
    6. Kaehny, Maximilian & Herweg, Fabian, 2022. "Do Zombies Rise When Interest Rates Fall? A Relationship-Banking Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264126, Verein für Socialpolitik / German Economic Association.
    7. Korevaar, Matthijs, 2023. "Reaching for yield and the housing market: Evidence from 18th-century Amsterdam," Journal of Financial Economics, Elsevier, vol. 148(3), pages 273-296.
    8. Giuzio, Margherita & Kapadia, Sujit & Kaufmann, Christoph & Storz, Manuela & Weistroffer, Christian, 2025. "Macroprudential policy, monetary policy and non-bank financial intermediation," Working Paper Series 3130, European Central Bank.
    9. Giuzio, Margherita & Kaufmann, Christoph & Ryan, Ellen & Cappiello, Lorenzo, 2021. "Investment funds, risk-taking, and monetary policy in the euro area," Working Paper Series 2605, European Central Bank.
    10. Warinthip Worasak & Nuwat Nookhwun & Pongpitch Amatyakul, 2022. "Monetary Policy and Risk-Taking: Evidence from Thai Corporate Bond Markets," PIER Discussion Papers 186, Puey Ungphakorn Institute for Economic Research.
    11. Carlos Garriga & Pedro Gete & Athena Tsouderou, 2023. "The economic effects of real estate investors," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(3), pages 655-685, May.
    12. Fricke, Daniel, 2021. "Synthetic leverage and fund risk-taking," Discussion Papers 09/2021, Deutsche Bundesbank.
    13. Hackethal, Andreas & Hanspal, Tobin & Hartzmark, Samuel M. & Bräuer, Konstantin, 2024. "Educating investors about dividends," SAFE Working Paper Series 420, Leibniz Institute for Financial Research SAFE.
    14. Jonathan Goldberg & Elizabeth C. Klee & Edward Simpson Prescott & Paul R. Wood, 2020. "Monetary Policy Strategies and Tools: Financial Stability Considerations," Finance and Economics Discussion Series 2020-074, Board of Governors of the Federal Reserve System (U.S.).
    15. Kumar, Alok & Lei, Zicheng & Zhang, Chendi, 2022. "Dividend sentiment, catering incentives, and return predictability," Journal of Corporate Finance, Elsevier, vol. 72(C).
    16. Ainsworth, Andrew & Lee, Adrian D., 2023. "Sharing the dividend tax credit pie: The influence of individual investors on ex-dividend day returns," Journal of Financial Markets, Elsevier, vol. 62(C).
    17. Hackethal, Andreas & Hanspal, Tobin & Hartzmark, Samuel M. & Bräuer, Konstantin, 2024. "Educating investors about dividends," CFS Working Paper Series 725, Center for Financial Studies (CFS).
    18. Jiang, Hao & Sun, Zheng, 2020. "Reaching for dividends," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 321-338.
    19. Lugo, Stefano, 2025. "Inequality and capital structure," Journal of Banking & Finance, Elsevier, vol. 174(C).
    20. Fabian Herweg & Maximilian Kähny, 2022. "Do Zombies Rise when Interest Rates Fall? A Relationship Banking Model," CESifo Working Paper Series 9628, CESifo.

  3. Kent Daniel & Alexander Klos & Simon Rottke, 2018. "The Dynamics of Disagreement," NBER Working Papers 25346, National Bureau of Economic Research, Inc.

    Cited by:

    1. Dominik M. Piehlmaier, 2022. "Overconfidence and the adoption of robo-advice: why overconfident investors drive the expansion of automated financial advice," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-24, December.

  4. Collin-Dufresne, Pierre & Daniel, Kent & Saglam, Mehmet, 2018. "Liquidity Regimes and Optimal Dynamic Asset Allocation," CEPR Discussion Papers 12737, C.E.P.R. Discussion Papers.

    Cited by:

    1. Yu, Xing & Shen, Xilin & Li, Yanyan & Gong, Xue, 2023. "Selective hedging strategies for crude oil futures based on market state expectations," Global Finance Journal, Elsevier, vol. 57(C).
    2. Hematizadeh, Roksana & Tajaddini, Reza & Hallahan, Terrence, 2022. "Dynamic asset allocation strategy using a state-dependent Markov model: Applications to international equity markets," Journal of International Money and Finance, Elsevier, vol. 128(C).
    3. Alain Bensoussan & Guiyuan Ma & Chi Chung Siu & Sheung Chi Phillip Yam, 2022. "Dynamic mean–variance problem with frictions," Finance and Stochastics, Springer, vol. 26(2), pages 267-300, April.
    4. Carré, Sylvain & Collin-Dufresne, Pierre & Gabriel, Franck, 2022. "Insider trading with penalties," Journal of Economic Theory, Elsevier, vol. 203(C).
    5. Huang, Xiaoxia & Meng, Xue & Sun, Yutong & Matousek, Roman, 2026. "Mean–variance optimization in volatile markets: Uncertainty vs. randomness," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 681(C).
    6. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
    7. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2022. "Portfolio choice with return predictability and small trading frictions," Economic Modelling, Elsevier, vol. 111(C).
    8. Patrick Chan & Ronnie Sircar & Iosif Zimbidis, 2025. "Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility," Papers 2507.17162, arXiv.org.
    9. Yu, Xing & Li, Yanyan & Zhao, Qian, 2024. "Research on optimization strategy of futures hedging dependent on market state," Applied Energy, Elsevier, vol. 373(C).
    10. Jia Yue & Ming-Hui Wang & Nan-Jing Huang, 2022. "Global Optimal Consumption–Portfolio Rules with Myopic Preferences and Loss Aversion," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1427-1455, December.
    11. Bryan Kelly & Semyon Malamud & Lasse Heje Pedersen, 2023. "Principal Portfolios," Journal of Finance, American Finance Association, vol. 78(1), pages 347-387, February.
    12. Xinyang Li, 2025. "Tail risk and Flight-to-Safety," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 386-410, July.
    13. Alessandro Micheli & Johannes Muhle-Karbe & Eyal Neuman, 2021. "Closed-Loop Nash Competition for Liquidity," Papers 2112.02961, arXiv.org, revised Jun 2023.
    14. Johannes Muhle-Karbe & Xiaofei Shi & Chen Yang, 2020. "An Equilibrium Model for the Cross-Section of Liquidity Premia," Papers 2011.13625, arXiv.org.
    15. Lukas Gonon & Johannes Muhle‐Karbe & Xiaofei Shi, 2021. "Asset pricing with general transaction costs: Theory and numerics," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 595-648, April.
    16. Roy Cerqueti & Carmine da Fermo & Marco Nicolosi, 2024. "Probabilities of transitions among endogenous regimes in asset returns and Environmental, Social and Governance scores," Post-Print hal-05114157, HAL.
    17. Yakubu Suleiman Baguda & Hani Moaiteq AlJahdali & Altyeb Altaher Taha, 2025. "Dynamic Portfolio Return Classification Using Price-Aware Logistic Regression," Mathematics, MDPI, vol. 13(11), pages 1-31, June.
    18. Acharya, Viral V. & Pedersen, Lasse Heje, 2019. "Economics with Market Liquidity Risk," Critical Finance Review, now publishers, vol. 8(1-2), pages 111-125, December.
    19. Jian'an Zhang, 2025. "FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management," Papers 2510.02986, arXiv.org.
    20. Anastasis Kratsios & Xiaofei Shi & Qiang Sun & Zhanhao Zhang, 2025. "Generative Market Equilibrium Models with Stable Adversarial Learning via Reinforcement," Papers 2504.04300, arXiv.org.
    21. Alessandro Micheli & Johannes Muhle‐Karbe & Eyal Neuman, 2023. "Closed‐loop Nash competition for liquidity," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1082-1118, October.

  5. Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2017. "The Cross-Section of Risk and Return," NBER Working Papers 24164, National Bureau of Economic Research, Inc.

    Cited by:

    1. Baba-Yara, Fahiz & Boons, Martijn & Tamoni, Andrea, 2024. "Persistent and transitory components of firm characteristics: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 154(C).
    2. Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
    3. Cujean, Julien & Andrei, Daniel & Fournier, Mathieu, 2019. "The Low-Minus-High Portfolio and the Factor Zoo," CEPR Discussion Papers 14153, C.E.P.R. Discussion Papers.
    4. Cong, Lin William & Feng, Guanhao & He, Jingyu & He, Xin, 2025. "Growing the efficient frontier on panel trees," Journal of Financial Economics, Elsevier, vol. 167(C).
    5. Chen, Shan & Li, Tao, 2025. "A unified duration-based explanation of the value, profitability, and investment anomalies," Journal of Empirical Finance, Elsevier, vol. 84(C).
    6. Bertelli, Beatrice & Torricelli, Costanza, 2025. "Sustainable optimal stock portfolios: What relationship between sustainability and performance?," European Journal of Operational Research, Elsevier, vol. 323(1), pages 323-340.
    7. Tian, Jiaxing & Xiang, Hong & Xu, Minghai, 2025. "Insider trading and anomalies," Journal of Empirical Finance, Elsevier, vol. 84(C).
    8. Yuxiao Jiao & Guofu Zhou & Wu Zhu & Yingzi Zhu, 2025. "Interpretable Factors of Firm Characteristics," Papers 2508.02253, arXiv.org.
    9. Langlois, Hugues, 2023. "What matters in a characteristic?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 52-72.
    10. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
    11. Armin Varmaz & Christian Fieberg & Thorsten Poddig, 2024. "Portfolio optimization for sustainable investments," Annals of Operations Research, Springer, vol. 341(2), pages 1151-1176, October.
    12. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
    13. Alexander Dickerson & Christian Julliard & Philippe Mueller, 2026. "The Co-Pricing Factor Zoo," Papers 2604.04430, arXiv.org.
    14. Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
    15. I-Cheng Yeh & Yi-Cheng Liu, 2020. "Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-28, December.
    16. Soebhag, Amar & Van Vliet, Bart & Verwijmeren, Patrick, 2024. "Non-standard errors in asset pricing: Mind your sorts," Journal of Empirical Finance, Elsevier, vol. 78(C).
    17. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2019. "Common Risk Factors in Cryptocurrency," NBER Working Papers 25882, National Bureau of Economic Research, Inc.
    18. Lambert, Marie & Fays, Boris & Hübner, Georges, 2020. "Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods," Journal of Banking & Finance, Elsevier, vol. 114(C).
    19. Breitung, Christian & Müller, Sebastian, 2025. "Global Business Networks," Journal of Financial Economics, Elsevier, vol. 166(C).
    20. Lin William Cong & Guanhao Feng & Jingyu He & Xin He, 2025. "Growing the Efficient Frontier on Panel Trees," Papers 2501.16730, arXiv.org, revised Feb 2025.
    21. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
    22. Randl, Otto & Simion, Giorgia & Zechner, Josef, 2025. "Pricing and constructing international government bond portfolios," Journal of Financial Economics, Elsevier, vol. 173(C).

  6. Kent Daniel & David Hirshleifer & Lin Sun, 2017. "Short- and Long-Horizon Behavioral Factors," NBER Working Papers 24163, National Bureau of Economic Research, Inc.

    Cited by:

    1. Baba-Yara, Fahiz & Boons, Martijn & Tamoni, Andrea, 2024. "Persistent and transitory components of firm characteristics: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 154(C).
    2. Shamim Ahmed & Ziwen Bu & Xiaoxia Ye, 2025. "Illiquidity, R&D Investment, and Stock Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 57(4), pages 981-1022, June.
    3. Gharghori, Philip & Nguyen, Annette, 2025. "Which factors in China? A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    4. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    5. Xu, Zhiwei & Yang, Yinan & Zhang, Teng, 2026. "Investor disagreement and state-dependent mispricing: New evidence on the analyst dispersion anomaly," Journal of Banking & Finance, Elsevier, vol. 182(C).
    6. Shi, Yongdong & Wang, Haomiao & Xia, Yu & Zhen, Hongxian, 2023. "Mispricing and anomalies in China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    7. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    8. Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
    9. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2025. "Factor momentum versus price momentum: Insights from international markets," Journal of Banking & Finance, Elsevier, vol. 170(C).
    10. Lohmeier, Nils & Schneider, Christoph, 2026. "Bidder opportunism, familiarity, and the M&A payment choice," Journal of Banking & Finance, Elsevier, vol. 182(C).
    11. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
    12. Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
    13. Rizwan Ullah & Muhammad Naveed Jan & Muhammad Tahir, 2025. "Unveiling the optimal factor model in Pakistan: a machine learning approach using support vector regression and extreme gradient boosting algorithms," Future Business Journal, Springer, vol. 11(1), pages 1-20, December.
    14. Fink, Josef & Palan, Stefan & Theissen, Erik, 2020. "Earnings autocorrelation and the post-earnings-announcement drift: Experimental evidence," CFR Working Papers 20-10, University of Cologne, Centre for Financial Research (CFR).
    15. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
    16. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
    17. Cheng, Zhuo & Fang, Jing, 2025. "Financial distress and return: A finite mixture approach," Journal of Corporate Finance, Elsevier, vol. 92(C).
    18. Chen, Shan & Li, Tao, 2025. "A unified duration-based explanation of the value, profitability, and investment anomalies," Journal of Empirical Finance, Elsevier, vol. 84(C).
    19. Wang, Jinzhe & Zhu, Yifeng, 2024. "A comparison of factor models in China," Journal of Empirical Finance, Elsevier, vol. 79(C).
    20. Longyu Chen & Haitao Huang & Lei Jiang & Liang Peng & Zhongling Qin, 2025. "Validating cross-sectional dependence assumptions in a factor model," Empirical Economics, Springer, vol. 68(6), pages 2873-2895, June.
    21. Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "Are conditional illiquidity risks priced in China? A cross-sectional test," International Review of Financial Analysis, Elsevier, vol. 81(C).
    22. Ahmed, Shamim & Bu, Ziwen & Symeonidis, Lazaros & Tsvetanov, Daniel, 2023. "Which factor model? A systematic return covariation perspective," Journal of International Money and Finance, Elsevier, vol. 136(C).
    23. Long, Huaigang & Chiah, Mardy & Cakici, Nusret & Zaremba, Adam & Bilgin, Mehmet Huseyin, 2024. "ESG investing in good and bad times: An international study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    24. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    25. Usman Ali & David Hirshleifer, 2018. "Shared Analyst Coverage: Unifying Momentum Spillover Effects," NBER Working Papers 25201, National Bureau of Economic Research, Inc.
    26. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, C.E.P.R. Discussion Papers.
    27. Jonathan Fletcher, 2018. "An Examination of the Benefits of Factor Investing in U.K. Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 154-170, April.
    28. Azevedo, Vitor & Müller, Sebastian, 2024. "Analyst recommendations and mispricing across the globe," Journal of Banking & Finance, Elsevier, vol. 169(C).
    29. Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
    30. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
    31. Budras, Oliver & Dierkes, Maik & Sckade, Florian, 2025. "Localized risk factors: Performance differentials between state-level and US factor models," Economic Modelling, Elsevier, vol. 147(C).
    32. Cheema, Muhammad A. & Fianto, Bayu Arie, 2024. "Investor sentiment and stock market anomalies: Evidence from Islamic countries," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    33. Ge, Yao & Qiao, Zheng & Zheng, Hao, 2023. "Local labor market and the cross section of stock returns," Journal of International Money and Finance, Elsevier, vol. 138(C).
    34. Tian, Jiaxing & Xiang, Hong & Xu, Minghai, 2025. "Insider trading and anomalies," Journal of Empirical Finance, Elsevier, vol. 84(C).
    35. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    36. Shi, Huai-Long & Zhou, Wei-Xing, 2021. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    37. Jonathan Fletcher, 2024. "AN examination of linear factor models in U.K. stock returns in the presence of dynamic trading," Review of Quantitative Finance and Accounting, Springer, vol. 63(3), pages 1121-1147, October.
    38. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    39. Fabozzi, Frank J. & Huang, Dashan & Jiang, Fuwei & Wang, Jiexun, 2024. "What difference do new factor models make in portfolio allocation?," Journal of International Money and Finance, Elsevier, vol. 140(C).
    40. Yin, Libo & Yang, Zhichen, 2022. "The profitability effect: Insight from a dynamic perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
    41. Chen, Shan & Liu, Xujun & Li, Tao, 2023. "Does the investment-profitability correlation affect the factor premiums? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    42. Lin, Hung-Wen & Huang, Jing-Bo & Lin, Kun-Ben & Zhang, Joyce & Chen, Shu-Heng, 2020. "Which is the better fourth factor in China? Reversal or turnover?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    43. Theissen, Erik & Zimmermann, Lukas, 2020. "Do contented customers make shareholders wealthy? Implications of intangibles for security pricing," CFR Working Papers 20-12, University of Cologne, Centre for Financial Research (CFR).
    44. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
    45. Duffy, John & Rabanal, Jean Paul & Rud, Olga, 2021. "Market Reactions to Stock Splits: Experimental Evidence," UiS Working Papers in Economics and Finance 2021/1, University of Stavanger.
    46. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
    47. Thuy Duong Dang & Fabian Hollstein & Marcel Prokopczuk & Zhiguo He, 2023. "Which Factors for Corporate Bond Returns?," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(4), pages 615-652.
    48. Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
    49. Pujian Yang & Liu Yang, 2022. "Asset pricing and nominal price illusion in China," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
    50. Liu, Xufeng & Wan, Die, 2022. "Asymmetric positive feedback trading and stock pricing in China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    51. Beckmeyer, Heiner & Wiedemann, Timo, 2025. "All Days Are Not Created Equal: Understanding Momentum by Learning to Weight Past Returns," Journal of Banking & Finance, Elsevier, vol. 181(C).
    52. Nazaire, Gregory & Pacurar, Maria & Sy, Oumar, 2021. "Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?," Finance Research Letters, Elsevier, vol. 41(C).
    53. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021, January-A.
    54. Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
    55. Ge, Shuyi & Li, Shaoran & Zheng, Hanyu, 2025. "Diamond cuts diamond: News co-mention momentum spillover prevails in China," Journal of Banking & Finance, Elsevier, vol. 171(C).
    56. Köstlmeier, Siegfried, 2024. "Pricing and mispricing of accounting fundamentals: Global evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 71-87.
    57. Yan Lu & Kevin Mullally & Sugata Ray, 2023. "Paying for Performance in Public Pension Plans," Management Science, INFORMS, vol. 69(8), pages 4888-4907, August.
    58. Li, Zhiyong & Wan, Yifan & Wang, Tianyi & Yu, Mei, 2023. "Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    59. Fabian Hollstein & Marcel Prokopczuk, 2023. "Managing the Market Portfolio," Management Science, INFORMS, vol. 69(6), pages 3675-3696, June.
    60. Linying Lv, 2025. "Do Sell-side Analyst Reports Have Investment Value?," Papers 2502.20489, arXiv.org, revised Aug 2025.
    61. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
    62. Messis, Petros & Alexandridis, Antonios K. & Zapranis, Achilleas, 2025. "A qualitative parameter for beta changes," International Review of Economics & Finance, Elsevier, vol. 103(C).
    63. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
    64. Wu, Hongxu & Wang, Qiao & Li, Jianping & Deng, Zhibin, 2025. "Enhancing stock return prediction in the Chinese market: A GAN-based approach," Research in International Business and Finance, Elsevier, vol. 75(C).
    65. Alexander Dickerson & Christian Julliard & Philippe Mueller, 2026. "The Co-Pricing Factor Zoo," Papers 2604.04430, arXiv.org.
    66. Hamza Bennani & Matthias Neuenkirch, 2024. "Too complex to digest? Federal tax bills and their processing in US financial markets," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 31(5), pages 1179-1203, October.
    67. Liu, Dayong & Lu, Zhao & Wang, Guanying & Meng, Qiaoran, 2024. "A two-dimensional innovation activity factor and stock pricing: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 102-114.
    68. Liu, Yuekun & Riley, Timothy B., 2025. "How should we measure the performance of corporate bond mutual funds? Evaluating model quality and impact on inferences," Journal of Banking & Finance, Elsevier, vol. 173(C).
    69. Li, Si & He, Fangyi & Shi, Fangquan, 2023. "Cognitive biases, downside risk shocks, and stock expected returns," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    70. Du, Qianqian & Liang, Dawei & Chen, Zilin & Tu, Jun, 2022. "Concept links and return momentum," Journal of Banking & Finance, Elsevier, vol. 134(C).
    71. Chiang, I-Hsuan Ethan & Kirby, Chris & Nie, Ziye Zoe, 2021. "Short-term reversals, short-term momentum, and news-driven trading activity," Journal of Banking & Finance, Elsevier, vol. 125(C).
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    78. Liu, Dianhao & Zhou, Jun, 2025. "Do ESG rating changes matter? Evidence from Chinese stock market," Global Finance Journal, Elsevier, vol. 67(C).
    79. Raymond Kan & Xiaolu Wang, 2024. "Optimal Portfolio Choice with Unknown Benchmark Efficiency," Management Science, INFORMS, vol. 70(9), pages 6117-6138, September.
    80. Ghazi, Soroush & Schneider, Mark & Dorobiala, Zachary, 2024. "Speculative and non-speculative equity premia," Economics Letters, Elsevier, vol. 236(C).
    81. Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022. "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, vol. 59(PB).
    82. Birru, Justin & Young, Trevor, 2022. "Sentiment and uncertainty," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1148-1169.
    83. Nusret Cakici & Christian Fieberg & Daniel Metko & Adam Zaremba, 2024. "Do Anomalies Really Predict Market Returns? New Data and New Evidence," Review of Finance, European Finance Association, vol. 28(1), pages 1-44.
    84. Peterburgsky, Stanley, 2024. "An industry-level analysis of a pandemic's impact on stock market risk," International Review of Economics & Finance, Elsevier, vol. 95(C).
    85. Chen, Zilin & Chu, Liya & Liang, Dawei & Tu, Jun, 2022. "Far away from home: Investors’ underreaction to geographically dispersed information," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
    86. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
    87. Li, Zhiyong & Rao, Xiao, 2022. "Evaluating asset pricing models: A revised factor model for China," Economic Modelling, Elsevier, vol. 116(C).
    88. Du, Hanyu & Hao, Jing & He, Feng & Xi, Wenze, 2022. "Media sentiment and cross-sectional stock returns in the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 60(C).
    89. Lin, Chaonan & Chen, Hong-Yi & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2021. "Time-dependent lottery preference and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 272-294.
    90. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam & Cakici, Nusret, 2025. "A factor model for the cross-section of country equity risk premia," Journal of Banking & Finance, Elsevier, vol. 171(C).
    91. Fang, Xuyun & Jiang, Zhiqian & Liu, Baixiao & McConnell, John J. & Zhou, Mingshan, 2022. "Ease-of-processing heuristics and asset prices: Evidence from the exchange-traded repo market in China," Journal of Financial Markets, Elsevier, vol. 59(PB).
    92. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.
    93. Bereskin, Fred & Hsu, Po-Hsuan & Latham, William & Wang, Huijun, 2023. "So Sue Me! The cross section of stock returns related to patent infringement allegations," Journal of Banking & Finance, Elsevier, vol. 148(C).
    94. Soebhag, Amar & Van Vliet, Bart & Verwijmeren, Patrick, 2024. "Non-standard errors in asset pricing: Mind your sorts," Journal of Empirical Finance, Elsevier, vol. 78(C).
    95. Jacobs, Heiko & Lauber, Alexander, 2026. "Media reporting and asset pricing models," Journal of Banking & Finance, Elsevier, vol. 182(C).
    96. Cao, Jie & Hsu, Jason C. & Song, Linjia & Xiao, Zhanbing & Zhan, Xintong, 2025. "Smart beta, “smarter” flows," Journal of Empirical Finance, Elsevier, vol. 81(C).
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  7. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.

    Cited by:

    1. Zhou, Peng & Mo, Lingyu & Tan, Changchun & Wu, Huaqing, 2025. "Carbon regulatory risk exposure in the bond market: A quasi-natural experiment in China," China Economic Review, Elsevier, vol. 92(C).
    2. Davide Benedetti & Enrico Biffis & Fotis Chatzimichalakis & Luciano Lilloy Fedele & Ian Simm, 2021. "Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy," Annals of Operations Research, Springer, vol. 299(1), pages 847-871, April.
    3. Zhang, Zehua & Zhao, Ran, 2022. "Carbon emission and credit default swaps," Finance Research Letters, Elsevier, vol. 50(C).
    4. Lucia Alessi & Elisa, Ossola & Roberto Panzica, 2019. "The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices," Working Papers 418, University of Milano-Bicocca, Department of Economics, revised Apr 2020.
    5. Mark C. Freeman & Gernot Wagner & Richard J. Zeckhauser, 2015. "Climate Sensitivity Uncertainty: When is Good News Bad?," NBER Working Papers 20900, National Bureau of Economic Research, Inc.
    6. Hjort, Ingrid, 2016. "Potential Climate Risks in Financial Markets: A Literature Overview," Memorandum 01/2016, Oslo University, Department of Economics.
    7. Dietz, Simon & Gollier, Christian & Kessler, Louise, 2015. "The climate beta," TSE Working Papers 15-608, Toulouse School of Economics (TSE).
    8. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2021. "What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures," Journal of Financial Stability, Elsevier, vol. 54(C).
    9. Juan Moreno-Cruz & Gernot Wagner & David W. Keith, 2018. "An Economic Anatomy of Optimal Climate Policy," CESifo Working Paper Series 7059, CESifo.
    10. William Brock & Anastasios Xepapadeas, 2015. "Modeling Coupled Climate, Ecosystems, and Economic Systems," DEOS Working Papers 1508, Athens University of Economics and Business.
    11. Basha, Shabeen Afsar & Benkraiem, Ramzi & Ben-Nasr, Hamdi & Masum, Abdullah-Al, 2025. "Does political risk exacerbate climate risk? Firm-level evidence," International Review of Financial Analysis, Elsevier, vol. 104(PA).
    12. Saumitra N Bhaduri & Ekta Selarka & Alankrti Aggrwal, 2026. "Stock Market Reactions to COP26 and Climate Change Exposures of Indian Firms," Working Papers 2026-294, Madras School of Economics,Chennai,India.
    13. Wu, Nan & Zhang, Zuopeng & Lin, Boqiang, 2024. "Responses of financial stress and monetary policy to global warming: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 92(C).
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    16. Garbarino, Nicola & Guin, Benjamin, 2021. "High water, no marks? Biased lending after extreme weather," Journal of Financial Stability, Elsevier, vol. 54(C).
    17. Benchora, Inessa & Galanti, Sébastien, 2024. "Verified carbon emissions and stock returns in the EU Emissions Trading System," Energy Policy, Elsevier, vol. 193(C).
    18. Stoerk, Thomas & Wagner, Gernot & Ward, Robert E. T., 2018. "Recommendations for improving the treatment of risk and uncertainty in economic estimates of climate impacts in the Sixth Intergovernmental Panel on Climate Change Assessment Report," LSE Research Online Documents on Economics 87957, London School of Economics and Political Science, LSE Library.
    19. Christoph Hambel & Holger Kraft & Eduardo Schwartz, 2015. "Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change," NBER Working Papers 21044, National Bureau of Economic Research, Inc.
    20. Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo S., 2019. "Optimal carbon abatement in a stochastic equilibrium model with climate change," SAFE Working Paper Series 92, Leibniz Institute for Financial Research SAFE, revised 2019.
    21. Adam Michael Bauer & Cristian Proistosescu & Gernot Wagner, 2024. "Carbon Dioxide as a Risky Asset," Climatic Change, Springer, vol. 177(5), pages 1-27, May.
    22. Bihong Huang & Maria Teresa Punzi & Yu Wu, 2019. "Do Banks Price Environmental Risk? Evidence from a Quasi Natural Experiment in the People’s Republic of China," ADBI Working Papers 974, Asian Development Bank Institute.
    23. Harrison Hong & Frank Weikai Li & Jiangmin Xu, 2016. "Climate Risks and Market Efficiency," NBER Working Papers 22890, National Bureau of Economic Research, Inc.
    24. Tindall, Greg, 2025. "A real effect of climate-related shareholder proposals: Diversification," The British Accounting Review, Elsevier, vol. 57(5).
    25. Meissner, Thomas & Pfeiffer, Philipp, 2022. "Measuring preferences over the temporal resolution of consumption uncertainty," Journal of Economic Theory, Elsevier, vol. 200(C).
    26. Ravi Jagannathan & Ashwin Ravikumar & Marco Sammon, 2017. "Environmental, Social, and Governance Criteria: Why Investors are Paying Attention," NBER Working Papers 24063, National Bureau of Economic Research, Inc.
    27. Roberton C. Williams III, 2016. "Environmental Taxation," NBER Working Papers 22303, National Bureau of Economic Research, Inc.
    28. Noluthando Mngadi & Hossana Twinomurinzi, 2023. "Quantifying Causality between Climate Change and Credit Risk: A Bibliometric Study and Research Agenda," Sustainability, MDPI, vol. 15(12), pages 1-15, June.
    29. Venturini, Alessio, 2022. "Climate change, risk factors and stock returns: A review of the literature," International Review of Financial Analysis, Elsevier, vol. 79(C).
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    32. Birindelli, Giuliana & Miazza, Aline & Paimanova, Viktoriia & Palea, Vera, 2023. "Just “blah blah blah”? Stock market expectations and reactions to COP26," International Review of Financial Analysis, Elsevier, vol. 88(C).
    33. Adam Michael Bauer & Cristian Proistosescu & Gernot Wagner, 2023. "Carbon Dioxide as a Risky Asset," CESifo Working Paper Series 10278, CESifo.
    34. Frederick Ploeg & Aart Zeeuw, 2019. "Pricing Carbon and Adjusting Capital to Fend Off Climate Catastrophes," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 72(1), pages 29-50, January.
    35. Hong, Harrison & Li, Frank Weikai & Xu, Jiangmin, 2019. "Climate risks and market efficiency," Journal of Econometrics, Elsevier, vol. 208(1), pages 265-281.

  8. Kent Daniel & David Hirshleifer, 2016. "Overconfident Investors, Predictable Returns, and Excessive Trading," NBER Working Papers 21945, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    2. Ahrens, Steffen & Bosch-Rosa, Ciril & Roulund, Rasmus, 2019. "Price Dynamics and Trader Overconfidence," Rationality and Competition Discussion Paper Series 161, CRC TRR 190 Rationality and Competition.
    3. Conrado Cuevas & Dan Bernhardt & Mario Sanclemente, 2023. "Followers of the pied piper of pensioners," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(4), pages 1517-1550, November.
    4. Chen, Rongda & Wu, Ling & Jin, Chenglu & Wang, Shengnan, 2021. "Unintended investor sentiment on bank financial products: Evidence from China," Emerging Markets Review, Elsevier, vol. 49(C).
    5. Hao, Xianfeng & Wang, Yudong & Wu, Chongfeng & Wu, Liangyu, 2024. "Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data," Journal of Financial Markets, Elsevier, vol. 70(C).
    6. Iain W. Long & Kent Matthews & Vaseekaran Sivarajasingam, 2023. "Environment, alcohol intoxication and overconfidence: Evidence from a lab‐in‐the‐field experiment," Manchester School, University of Manchester, vol. 91(5), pages 389-413, September.
    7. Dominik M. Piehlmaier, 2022. "Overconfidence and the adoption of robo-advice: why overconfident investors drive the expansion of automated financial advice," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-24, December.
    8. Galanis, Spyros, 2018. "Speculation under unawareness," Games and Economic Behavior, Elsevier, vol. 109(C), pages 598-615.
    9. Giuseppe Bertola & Anna Lo Prete, 2025. "Who Prefers Guessing to Admitting They Don’t Know? Measurement Error in Financial Literacy Surveys," CESifo Working Paper Series 11748, CESifo.
    10. Firth, Chris, 2020. "Protecting investors from themselves: Evidence from a regulatory intervention," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    11. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
    12. Oumayma GHARBI & Yousra TRICHILI & Mouna BOUJELBENE ABBES, 2022. "Impact of the COVID-19 pandemic on the relationship between uncertainty factors, investor’s behavioral biases and the stock market reaction of US Fintech companies," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 101-122, June.
    13. Victor Stango & Jonathan Zinman, 2019. "We are all Behavioral, More or Less: Measuring and Using Consumer-level Behavioral Sufficient Statistics," NBER Working Papers 25540, National Bureau of Economic Research, Inc.
    14. Thi Nha Truc Phan & Philippe Bertrand & Hong Hai Phan & Xuan Vinh Vo, 2023. "The role of investor behavior in emerging stock markets: Evidence from Vietnam," Post-Print hal-04092936, HAL.
    15. Cheung, Stephen L. & Johnstone, Lachlan, 2017. "True Overconfidence, Revealed through Actions: An Experiment," IZA Discussion Papers 10545, IZA Network @ LISER.
    16. Stijn P. M. Broekema & Marc M. Kramer, 2021. "Overconfidence, Financial Advice Seeking and Household Portfolio Under-Diversification," JRFM, MDPI, vol. 14(11), pages 1-15, November.
    17. Philippe Jehiel, 2017. "Investment strategy and selection bias: An equilibrium perspective on overoptimism," Working Papers halshs-01557560, HAL.
    18. Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers Department of Economics 2018/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    19. Cookson, J. Anthony & Lu, Runjing & Mullins, William & Niessner, Marina, 2024. "The social signal," Journal of Financial Economics, Elsevier, vol. 158(C).
    20. Bose Olatomi Ige & Rufus Olufemi Adebayo, 2024. "The influences of psychological factors on investors decision making in the South African derivative market," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 13(1), pages 267-278, January.
    21. Hwang, Soosung & Cho, Youngha & Noh, Sanha, 2022. "The cost of overconfidence in public information," International Review of Financial Analysis, Elsevier, vol. 79(C).
    22. Zahra Murad & Chris Starmer & Martin Sefton, 2015. "How do risk attitudes affect measured confidence?," Discussion Papers 2015-26, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
    23. Cueva, Carlos & Iturbe-Ormaetxe, Iñigo, 2025. "Motivated beliefs about stock returns," Journal of Banking & Finance, Elsevier, vol. 178(C).
    24. Samuel Tabot ENOW, 2023. "A Non-linear Dependency Test for Market Efficiency: Evidence from International Stock Markets," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(1), pages 1-12.
    25. Fellner-Röhling, Gerlinde & Hromek, Kristijan & Kleinknecht, Janina & Ludwig, Sandra, 2023. "How to counteract biased self-assessments? An experimental investigation of reactions to social information," Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 1-25.
    26. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
    27. Takeshi Murooka & Yuichi Yamamoto, 2021. "Misspecified Bayesian Learning by Strategic Players: First-Order Misspecification and Higher-Order Misspecification," OSIPP Discussion Paper 21E008, Osaka School of International Public Policy, Osaka University.
    28. Helen X. H. Bao & Steven Haotong Li, 2016. "Overconfidence And Real Estate Research: A Survey Of The Literature," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(04), pages 1-24, September.
    29. Yi Luo & Steven E. Salterio, 2022. "The Effect of Gender on Investors’ Judgments and Decision-Making," Journal of Business Ethics, Springer, vol. 179(1), pages 237-258, August.
    30. Ansari, Yasmeen & Albarrak, Mansour Saleh & Sherfudeen, Noorjahan & Aman, Arfia, 2023. "Examining the relationship between financial literacy and demographic factors and the overconfidence of Saudi investors," Finance Research Letters, Elsevier, vol. 52(C).
    31. Corbet, Shaen & Katsiampa, Paraskevi & Lau, Chi Keung Marco, 2020. "Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    32. Olczak, Wioleta, 2021. "The foreign corrupt practices act: How investors respond when violation severity and corresponding penalty (mis)match," Advances in accounting, Elsevier, vol. 54(C).
    33. Schmeling, Maik & Medhat, Mamdouh, 2021. "Short-term Momentum," CEPR Discussion Papers 15857, C.E.P.R. Discussion Papers.
    34. Da Ke, 2021. "Who Wears the Pants? Gender Identity Norms and Intrahousehold Financial Decision‐Making," Journal of Finance, American Finance Association, vol. 76(3), pages 1389-1425, June.
    35. Jarrod Burgh & Emerson Melo, 2023. "Wishful Thinking is Risky Thinking," Papers 2307.02422, arXiv.org, revised Feb 2024.
    36. Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "A Rational Finance Explanation of the Stock Predictability Puzzle," Papers 1911.02194, arXiv.org.
    37. Olkhov, Victor, 2023. "The Market-Based Statistics of “Actual” Returns of Investors," MPRA Paper 116896, University Library of Munich, Germany.
    38. Pierpaolo Benigno & Anastasios G. Karantounias, 2017. "Overconfidence, Subjective Perception, and Pricing Behavior," FRB Atlanta Working Paper 2017-14, Federal Reserve Bank of Atlanta.
    39. Han, Xing & Li, Kai & Li, Youwei, 2020. "Investor overconfidence and the security market line: New evidence from China," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
    40. Jitender Kumar & Neha Prince, 2022. "Overconfidence bias in the Indian stock market in diverse market situations: an empirical study," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 13(6), pages 3031-3047, December.
    41. Andreu, Laura & Gimeno, Ruth & Sarto, José Luis & Serrano, Miguel, 2025. "Reversal of divergent decisions: Wise or hasty decisions?," Research in International Business and Finance, Elsevier, vol. 76(C).
    42. Hwang, Soosung & Rubesam, Alexandre & Salmon, Mark, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Journal of International Money and Finance, Elsevier, vol. 111(C).
    43. Zahra Murad & Chris Starmer, 2020. "Confidence Snowballing and Relative Performance Feedback," Working Papers in Economics & Finance 2020-08, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    44. Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022. "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1295-1315.
    45. Burgh, Jarrod & Melo, Emerson, 2025. "Censored beliefs and wishful thinking," Journal of Mathematical Economics, Elsevier, vol. 121(C).
    46. Chen, Rongda & Xu, Guorui & Xu, Feng & Jin, Chenglu & Yu, Jingjing, 2022. "A clientele effect in online lending markets: Evidence from the comovement between investor sentiment and online lending rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    47. Bregu, Klajdi, 2020. "Overconfidence and (Over)Trading: The Effect of Feedback on Trading Behavior," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 88(C).
    48. Bertola, Giuseppe & Lo Prete, Anna, 2024. "Financial Literacy and Resilience when Survey Respondents Prefer Guessing to Admitting Ignorance," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202406, University of Turin.
    49. Derek Lemoine, 2025. "Rationally misplaced confidence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 80(1), pages 1-38, August.
    50. Victor Stango & Joanne Yoong & Jonathan Zinman, 2017. "The Quest for Parsimony in Behavioral Economics: New Methods and Evidence on Three Fronts," NBER Working Papers 23057, National Bureau of Economic Research, Inc.
    51. Xin, Ling, 2024. "Short-term contrarian in the carbon emission market," Energy Economics, Elsevier, vol. 139(C).
    52. Francesco Angelini & Massimiliano Castellani & Lorenzo Zirulia, 2022. "Overconfidence in the art market: a bargaining pricing model with asymmetric disinformation," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 39(3), pages 961-988, October.
    53. Alessandro Bucciol & Simone Quercia & Alessia Sconti, 2020. "Promoting Financial Literacy among the Elderly: Consequences on Confidence," Working Papers 12/2020, University of Verona, Department of Economics.
    54. Xie, Yuxin & Tang, Ruohua & Pantelous, Athanasios A. & Lu, Xiaomeng, 2024. "Narrow framing and under-diversification: Empirical evidence from Chinese households," China Economic Review, Elsevier, vol. 83(C).
    55. Ramzi Boussaidi, 2022. "Implications of the overconfidence bias in presence of private information: Evidence from MENA stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3660-3678, July.
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    57. Bing Han & David Hirshleifer & Johan Walden, 2019. "Visibility Bias in the Transmission of Consumption Beliefs and Undersaving," NBER Working Papers 25566, National Bureau of Economic Research, Inc.
    58. Luisa Mendonça & Alan De Genaro, 2020. "Detection and analysis of occurrences of spoofing in the Brazilian capital market," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 28(3), pages 369-408, March.
    59. Sonsino, Doron & Roth, Yefim, 2025. "The decrease in confidence with forecast extremity," International Journal of Forecasting, Elsevier, vol. 41(3), pages 877-893.
    60. Yan Han & Xin Cui & Gloria Y. Tian & Peipei Wang, 2023. "Bayesian Investor Belief Updating Speed and Market Underreaction to Earnings Announcements," Australian Accounting Review, CPA Australia, vol. 33(1), pages 66-85, March.
    61. Lawrence, Edward R. & Nguyen, Thanh D. & Wick, Benedikt, 2024. "Gender difference in overconfidence and household financial literacy," Journal of Banking & Finance, Elsevier, vol. 166(C).
    62. Soosung Hwang & Youngha Cho & Jinho Shin, 2020. "The impact of UK household overconfidence in public information on house prices," Journal of Property Research, Taylor & Francis Journals, vol. 37(4), pages 360-389, October.
    63. Takeshi Murooka & Yuichi Yamamoto, 2021. "Multi-Player Bayesian Learning with Misspecified Models," OSIPP Discussion Paper 21E001, Osaka School of International Public Policy, Osaka University.
    64. Zhao, Shuangling & Wang, Yunmin & Cao, Guohua, 2025. "Overconfident investors, Predictable Returns, and optimal consumption-portfolio rules," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    65. Richards, Daniel W. & Willows, Gizelle D., 2018. "Who trades profusely? The characteristics of individual investors who trade frequently," Global Finance Journal, Elsevier, vol. 35(C), pages 1-11.
    66. Danso, Albert & Lartey, Theophilus & Amankwah-Amoah, Joseph & Adomako, Samuel & Lu, Qinye & Uddin, Moshfique, 2019. "Market sentiment and firm investment decision-making," International Review of Financial Analysis, Elsevier, vol. 66(C).
    67. Xuebing Yang & Huilan Zhang, 2023. "Evolution of short-term contrarian profits," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 41(1), pages 1-27, July.
    68. Caleb Rawson, 2022. "Manager perception and proprietary investment disclosure," Review of Accounting Studies, Springer, vol. 27(4), pages 1493-1525, December.
    69. Demir Bektić & Tobias Regele, 2018. "Exploiting uncertainty with market timing in corporate bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 79-92, March.
    70. Kaspereit, Thomas, 2024. "Mandatory disclosure of open-ended real estate fund shares that are registered for redemption?," International Review of Law and Economics, Elsevier, vol. 80(C).
    71. Yanchun Jin & Ryo Okui, 2020. "Testing for overconfidence statistically: A moment inequality approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 879-892, November.
    72. Federico Bassetti & Roberto Casarin & Marco Del Negro, 2022. "A Bayesian Approach to Inference on Probabilistic Surveys," Staff Reports 1025, Federal Reserve Bank of New York.
    73. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
    74. Kataria, Mitesh, 2017. "How long do you think it will take? Field Evidence on Gender Differences in Time Optimism," Working Papers in Economics 694, University of Gothenburg, Department of Economics.
    75. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
    76. Hossain, Tanjim & Okui, Ryo, 2024. "Belief formation under signal correlation," Games and Economic Behavior, Elsevier, vol. 146(C), pages 160-183.
    77. Chegere, Martin J. & Falco, Paolo & Nieddu, Marco G. & Pandolfi, Lorenzo & Stein, Mattea, 2025. "The Magic of the Game: Experimental Evidence on Sports Betting Behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 240(C).
    78. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.
    79. Bernasconi, Michele & Neunhoeffer, Frieder, 2023. "The income inequality trap: When redistributive preferences do not correct greater inequality," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 107(C).
    80. Weissensteiner, Alex, 2019. "Correlated noise: Why passive investment might improve market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 158-172.
    81. Victor Stango & Joanne Yoong & Jonathan Zinman, 2017. "Quicksand or Bedrock for Behavioral Economics? Assessing Foundational Empirical Questions," NBER Working Papers 23625, National Bureau of Economic Research, Inc.
    82. Carlos Cueva Herrero & Iñigo Iturbe-Ormaetxe Kortajarene & Giovanni Ponti & Josefa Tomás Lucas, 2017. "Boys will (still) be boys: Gender differences in trading activity are not due to differences in confidence," Working Papers. Serie AD 2017-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    83. Ming-Yu Liu & Chiuling Lu, 2020. "The Continuing Overreaction in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 61(1), pages 129-149, June.
    84. Balasubramnian, Bhanu & Sargent, Carol Springer, 2020. "Impact of inflated perceptions of financial literacy on financial decision making," Journal of Economic Psychology, Elsevier, vol. 80(C).
    85. Rahman, Oriana & Semenov, Andrei, 2025. "Subjective probabilities under behavioral heuristics," International Review of Economics & Finance, Elsevier, vol. 98(C).
    86. Fang, Yi & Zhou, Xin & Wen, Yi-Feng & Ou, Qi-Lang, 2024. "Volume and stock returns in the Chinese market," International Review of Financial Analysis, Elsevier, vol. 94(C).
    87. Zhao, Dongshuai & Wang, Zhongli & Schweizer-Gamborino, Florian & Sornette, Didier, 2025. "Polytope Fraud Theory," International Review of Financial Analysis, Elsevier, vol. 97(C).
    88. Zhang, Xiaotao & Liang, Junpeng & He, Feng, 2019. "Private information advantage or overconfidence? Performance of intraday arbitrage speculators in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    89. Jarrod Burgh & Emerson Melo, 2024. "Censored Beliefs and Wishful Thinking," Papers 2402.01892, arXiv.org, revised Jan 2025.
    90. Bordalo, Pedro & Gennaioli, Nicola & La Porta, Rafael & Shleifer, Andrei, 2025. "Finance without exotic risk," Journal of Financial Economics, Elsevier, vol. 173(C).
    91. Richards, Daniel W. & Willows, Gizelle D., 2019. "Monday mornings: Individual investor trading on days of the week and times within a day," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 105-115.
    92. Damiano Bruno Silipo & Giovanni Verga & Sviatlana Hlebik, 2017. "Confidence And Overconfidence In Banking," Working Papers 201703, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
    93. Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021. "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 929-958, October.
    94. Irene Cherono & Tobias Olweny & Tabitha Nasieku, 2019. "Investor Behavior Biases and Stock Market Reaction in Kenya," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(1), pages 1-6.
    95. Muchammad Arie Wibowo & Nur Khusniyah Indrawati & Siti Aisjah, 2023. "The impact of overconfidence and herding bias on stock investment decisions mediated by risk perception," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 12(5), pages 174-184, July.
    96. Rebecca Abraham & Hani El-Chaarani, 2022. "A Mathematical Formulation of the Valuation of Ether and Ether Derivatives as a Function of Investor Sentiment and Price Jumps," JRFM, MDPI, vol. 15(12), pages 1-20, December.
    97. Bennett, Donyetta & Mekelburg, Erik & Strauss, Jack & Williams, T.H., 2024. "Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?," Global Finance Journal, Elsevier, vol. 60(C).
    98. Bianchi, Francesco & Ludvigson, Sydney & Ma, Sai, 2020. "Belief Distortions and Macroeconomic Fluctuations," CEPR Discussion Papers 15003, C.E.P.R. Discussion Papers.
    99. Tatiana Fedyk & Zvi Singer & Theodore Sougiannis, 2020. "The Accrual Anomaly: Accrual Originations, Accrual Reversals, and Resolution of Uncertainty," Contemporary Accounting Research, John Wiley & Sons, vol. 37(2), pages 885-916, June.
    100. Taro Tsuchiya, 2021. "Profitability of cryptocurrency Pump and Dump schemes," Digital Finance, Springer, vol. 3(2), pages 149-167, June.
    101. Jacobs, Heiko, 2020. "Hype or help? Journalists’ perceptions of mispriced stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 550-565.
    102. Paul Fischer & Chongho Kim & Frank Zhou, 2022. "Disagreement about fundamentals: measurement and consequences," Review of Accounting Studies, Springer, vol. 27(4), pages 1423-1456, December.
    103. Tsung‐Yu Chen & Guan‐Ying Huang & Zhen‐Xing Wu, 2022. "Overreaction‐based momentum in the real estate investment trust market," International Review of Finance, International Review of Finance Ltd., vol. 22(3), pages 453-471, September.
    104. Binghui Wu & Tingting Duan, 2019. "Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network," Complexity, Hindawi, vol. 2019, pages 1-12, June.
    105. Khasawneh, Maher & McMillan, David G. & Kambouroudis, Dimos, 2024. "Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    106. Mubashir Zaman & Dr. Surayya Jamal & Humma Abid & Farhan Ahmad, 2025. "Investor Sentiments and Bitcoin Volatility: Empirical Evidence from Cryptocurrency Market," International Journal of Politics & Social Sciences Review (IJPSSR), International Journal of Politics & Social Sciences Review (IJPSSR), vol. 4(I), pages 97-103.
    107. Aydoğan Alti & Sheridan Titman, 2019. "A Dynamic Model of Characteristic-Based Return Predictability," NBER Working Papers 25777, National Bureau of Economic Research, Inc.

  9. Hirshleifer, David & Daniel, Kent, 2015. "Overconfident investors, predictable returns, and excessive trading," MPRA Paper 69002, University Library of Munich, Germany.

    Cited by:

    1. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    2. Ahrens, Steffen & Bosch-Rosa, Ciril & Roulund, Rasmus, 2019. "Price Dynamics and Trader Overconfidence," Rationality and Competition Discussion Paper Series 161, CRC TRR 190 Rationality and Competition.
    3. Chen, Rongda & Wu, Ling & Jin, Chenglu & Wang, Shengnan, 2021. "Unintended investor sentiment on bank financial products: Evidence from China," Emerging Markets Review, Elsevier, vol. 49(C).
    4. Hao, Xianfeng & Wang, Yudong & Wu, Chongfeng & Wu, Liangyu, 2024. "Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data," Journal of Financial Markets, Elsevier, vol. 70(C).
    5. Dominik M. Piehlmaier, 2022. "Overconfidence and the adoption of robo-advice: why overconfident investors drive the expansion of automated financial advice," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-24, December.
    6. Giuseppe Bertola & Anna Lo Prete, 2025. "Who Prefers Guessing to Admitting They Don’t Know? Measurement Error in Financial Literacy Surveys," CESifo Working Paper Series 11748, CESifo.
    7. Firth, Chris, 2020. "Protecting investors from themselves: Evidence from a regulatory intervention," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    8. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
    9. Oumayma GHARBI & Yousra TRICHILI & Mouna BOUJELBENE ABBES, 2022. "Impact of the COVID-19 pandemic on the relationship between uncertainty factors, investor’s behavioral biases and the stock market reaction of US Fintech companies," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 101-122, June.
    10. Victor Stango & Jonathan Zinman, 2019. "We are all Behavioral, More or Less: Measuring and Using Consumer-level Behavioral Sufficient Statistics," NBER Working Papers 25540, National Bureau of Economic Research, Inc.
    11. Cheung, Stephen L. & Johnstone, Lachlan, 2017. "True Overconfidence, Revealed through Actions: An Experiment," IZA Discussion Papers 10545, IZA Network @ LISER.
    12. Stijn P. M. Broekema & Marc M. Kramer, 2021. "Overconfidence, Financial Advice Seeking and Household Portfolio Under-Diversification," JRFM, MDPI, vol. 14(11), pages 1-15, November.
    13. Philippe Jehiel, 2017. "Investment strategy and selection bias: An equilibrium perspective on overoptimism," Working Papers halshs-01557560, HAL.
    14. Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers Department of Economics 2018/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    15. Bose Olatomi Ige & Rufus Olufemi Adebayo, 2024. "The influences of psychological factors on investors decision making in the South African derivative market," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 13(1), pages 267-278, January.
    16. Hwang, Soosung & Cho, Youngha & Noh, Sanha, 2022. "The cost of overconfidence in public information," International Review of Financial Analysis, Elsevier, vol. 79(C).
    17. Cueva, Carlos & Iturbe-Ormaetxe, Iñigo, 2025. "Motivated beliefs about stock returns," Journal of Banking & Finance, Elsevier, vol. 178(C).
    18. Fellner-Röhling, Gerlinde & Hromek, Kristijan & Kleinknecht, Janina & Ludwig, Sandra, 2023. "How to counteract biased self-assessments? An experimental investigation of reactions to social information," Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 1-25.
    19. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
    20. Helen X. H. Bao & Steven Haotong Li, 2016. "Overconfidence And Real Estate Research: A Survey Of The Literature," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(04), pages 1-24, September.
    21. Yi Luo & Steven E. Salterio, 2022. "The Effect of Gender on Investors’ Judgments and Decision-Making," Journal of Business Ethics, Springer, vol. 179(1), pages 237-258, August.
    22. Ansari, Yasmeen & Albarrak, Mansour Saleh & Sherfudeen, Noorjahan & Aman, Arfia, 2023. "Examining the relationship between financial literacy and demographic factors and the overconfidence of Saudi investors," Finance Research Letters, Elsevier, vol. 52(C).
    23. Corbet, Shaen & Katsiampa, Paraskevi & Lau, Chi Keung Marco, 2020. "Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    24. Olczak, Wioleta, 2021. "The foreign corrupt practices act: How investors respond when violation severity and corresponding penalty (mis)match," Advances in accounting, Elsevier, vol. 54(C).
    25. Schmeling, Maik & Medhat, Mamdouh, 2021. "Short-term Momentum," CEPR Discussion Papers 15857, C.E.P.R. Discussion Papers.
    26. Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "A Rational Finance Explanation of the Stock Predictability Puzzle," Papers 1911.02194, arXiv.org.
    27. Pierpaolo Benigno & Anastasios G. Karantounias, 2017. "Overconfidence, Subjective Perception, and Pricing Behavior," FRB Atlanta Working Paper 2017-14, Federal Reserve Bank of Atlanta.
    28. Han, Xing & Li, Kai & Li, Youwei, 2020. "Investor overconfidence and the security market line: New evidence from China," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
    29. Jitender Kumar & Neha Prince, 2022. "Overconfidence bias in the Indian stock market in diverse market situations: an empirical study," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 13(6), pages 3031-3047, December.
    30. Andreu, Laura & Gimeno, Ruth & Sarto, José Luis & Serrano, Miguel, 2025. "Reversal of divergent decisions: Wise or hasty decisions?," Research in International Business and Finance, Elsevier, vol. 76(C).
    31. Hwang, Soosung & Rubesam, Alexandre & Salmon, Mark, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Journal of International Money and Finance, Elsevier, vol. 111(C).
    32. Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022. "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1295-1315.
    33. Burgh, Jarrod & Melo, Emerson, 2025. "Censored beliefs and wishful thinking," Journal of Mathematical Economics, Elsevier, vol. 121(C).
    34. Chen, Rongda & Xu, Guorui & Xu, Feng & Jin, Chenglu & Yu, Jingjing, 2022. "A clientele effect in online lending markets: Evidence from the comovement between investor sentiment and online lending rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    35. Bregu, Klajdi, 2020. "Overconfidence and (Over)Trading: The Effect of Feedback on Trading Behavior," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 88(C).
    36. Derek Lemoine, 2025. "Rationally misplaced confidence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 80(1), pages 1-38, August.
    37. Victor Stango & Joanne Yoong & Jonathan Zinman, 2017. "The Quest for Parsimony in Behavioral Economics: New Methods and Evidence on Three Fronts," NBER Working Papers 23057, National Bureau of Economic Research, Inc.
    38. Xin, Ling, 2024. "Short-term contrarian in the carbon emission market," Energy Economics, Elsevier, vol. 139(C).
    39. Francesco Angelini & Massimiliano Castellani & Lorenzo Zirulia, 2022. "Overconfidence in the art market: a bargaining pricing model with asymmetric disinformation," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 39(3), pages 961-988, October.
    40. Alessandro Bucciol & Simone Quercia & Alessia Sconti, 2020. "Promoting Financial Literacy among the Elderly: Consequences on Confidence," Working Papers 12/2020, University of Verona, Department of Economics.
    41. Ramzi Boussaidi, 2022. "Implications of the overconfidence bias in presence of private information: Evidence from MENA stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3660-3678, July.
    42. Luisa Mendonça & Alan De Genaro, 2020. "Detection and analysis of occurrences of spoofing in the Brazilian capital market," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 28(3), pages 369-408, March.
    43. Sonsino, Doron & Roth, Yefim, 2025. "The decrease in confidence with forecast extremity," International Journal of Forecasting, Elsevier, vol. 41(3), pages 877-893.
    44. Zahra Murad & Martin Sefton & Chris Starmer, 2016. "How do risk attitudes affect measured confidence?," Journal of Risk and Uncertainty, Springer, vol. 52(1), pages 21-46, February.
    45. Soosung Hwang & Youngha Cho & Jinho Shin, 2020. "The impact of UK household overconfidence in public information on house prices," Journal of Property Research, Taylor & Francis Journals, vol. 37(4), pages 360-389, October.
    46. Zhao, Shuangling & Wang, Yunmin & Cao, Guohua, 2025. "Overconfident investors, Predictable Returns, and optimal consumption-portfolio rules," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    47. Danso, Albert & Lartey, Theophilus & Amankwah-Amoah, Joseph & Adomako, Samuel & Lu, Qinye & Uddin, Moshfique, 2019. "Market sentiment and firm investment decision-making," International Review of Financial Analysis, Elsevier, vol. 66(C).
    48. Caleb Rawson, 2022. "Manager perception and proprietary investment disclosure," Review of Accounting Studies, Springer, vol. 27(4), pages 1493-1525, December.
    49. Demir Bektić & Tobias Regele, 2018. "Exploiting uncertainty with market timing in corporate bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 79-92, March.
    50. Kaspereit, Thomas, 2024. "Mandatory disclosure of open-ended real estate fund shares that are registered for redemption?," International Review of Law and Economics, Elsevier, vol. 80(C).
    51. Yanchun Jin & Ryo Okui, 2020. "Testing for overconfidence statistically: A moment inequality approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(7), pages 879-892, November.
    52. Murad, Zahra & Starmer, Chris, 2021. "Confidence snowballing and relative performance feedback," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 550-572.
    53. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
    54. Kataria, Mitesh, 2017. "How long do you think it will take? Field Evidence on Gender Differences in Time Optimism," Working Papers in Economics 694, University of Gothenburg, Department of Economics.
    55. Chegere, Martin J. & Falco, Paolo & Nieddu, Marco G. & Pandolfi, Lorenzo & Stein, Mattea, 2025. "The Magic of the Game: Experimental Evidence on Sports Betting Behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 240(C).
    56. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.
    57. Weissensteiner, Alex, 2019. "Correlated noise: Why passive investment might improve market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 158-172.
    58. Victor Stango & Joanne Yoong & Jonathan Zinman, 2017. "Quicksand or Bedrock for Behavioral Economics? Assessing Foundational Empirical Questions," NBER Working Papers 23625, National Bureau of Economic Research, Inc.
    59. Carlos Cueva Herrero & Iñigo Iturbe-Ormaetxe Kortajarene & Giovanni Ponti & Josefa Tomás Lucas, 2017. "Boys will (still) be boys: Gender differences in trading activity are not due to differences in confidence," Working Papers. Serie AD 2017-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    60. Ming-Yu Liu & Chiuling Lu, 2020. "The Continuing Overreaction in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 61(1), pages 129-149, June.
    61. Balasubramnian, Bhanu & Sargent, Carol Springer, 2020. "Impact of inflated perceptions of financial literacy on financial decision making," Journal of Economic Psychology, Elsevier, vol. 80(C).
    62. Rahman, Oriana & Semenov, Andrei, 2025. "Subjective probabilities under behavioral heuristics," International Review of Economics & Finance, Elsevier, vol. 98(C).
    63. Zhao, Dongshuai & Wang, Zhongli & Schweizer-Gamborino, Florian & Sornette, Didier, 2025. "Polytope Fraud Theory," International Review of Financial Analysis, Elsevier, vol. 97(C).
    64. Zhang, Xiaotao & Liang, Junpeng & He, Feng, 2019. "Private information advantage or overconfidence? Performance of intraday arbitrage speculators in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    65. Bordalo, Pedro & Gennaioli, Nicola & La Porta, Rafael & Shleifer, Andrei, 2025. "Finance without exotic risk," Journal of Financial Economics, Elsevier, vol. 173(C).
    66. Damiano Bruno Silipo & Giovanni Verga & Sviatlana Hlebik, 2017. "Confidence And Overconfidence In Banking," Working Papers 201703, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
    67. Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021. "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 929-958, October.
    68. Muchammad Arie Wibowo & Nur Khusniyah Indrawati & Siti Aisjah, 2023. "The impact of overconfidence and herding bias on stock investment decisions mediated by risk perception," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 12(5), pages 174-184, July.
    69. Rebecca Abraham & Hani El-Chaarani, 2022. "A Mathematical Formulation of the Valuation of Ether and Ether Derivatives as a Function of Investor Sentiment and Price Jumps," JRFM, MDPI, vol. 15(12), pages 1-20, December.
    70. Bianchi, Francesco & Ludvigson, Sydney & Ma, Sai, 2020. "Belief Distortions and Macroeconomic Fluctuations," CEPR Discussion Papers 15003, C.E.P.R. Discussion Papers.
    71. Tatiana Fedyk & Zvi Singer & Theodore Sougiannis, 2020. "The Accrual Anomaly: Accrual Originations, Accrual Reversals, and Resolution of Uncertainty," Contemporary Accounting Research, John Wiley & Sons, vol. 37(2), pages 885-916, June.
    72. Taro Tsuchiya, 2021. "Profitability of cryptocurrency Pump and Dump schemes," Digital Finance, Springer, vol. 3(2), pages 149-167, June.
    73. Jacobs, Heiko, 2020. "Hype or help? Journalists’ perceptions of mispriced stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 550-565.
    74. Paul Fischer & Chongho Kim & Frank Zhou, 2022. "Disagreement about fundamentals: measurement and consequences," Review of Accounting Studies, Springer, vol. 27(4), pages 1423-1456, December.
    75. Tsung‐Yu Chen & Guan‐Ying Huang & Zhen‐Xing Wu, 2022. "Overreaction‐based momentum in the real estate investment trust market," International Review of Finance, International Review of Finance Ltd., vol. 22(3), pages 453-471, September.
    76. Aydoğan Alti & Sheridan Titman, 2019. "A Dynamic Model of Characteristic-Based Return Predictability," NBER Working Papers 25777, National Bureau of Economic Research, Inc.

  10. Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014. "The Carry Trade: Risks and Drawdowns," NBER Working Papers 20433, National Bureau of Economic Research, Inc.

    Cited by:

    1. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    2. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    3. Ian Hudson, 2016. "The Currency Carry Trade: Selection Skill or Behavioral Bias," International Business Research, Canadian Center of Science and Education, vol. 9(9), pages 176-185, September.
    4. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    5. Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
    6. Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    7. Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
    8. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Carry and Trend Following Returns in the Foreign Exchange Market," Discussion Papers 15/07, Department of Economics, University of York.
    9. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
    10. Stocker, Marshall L., 2016. "The price of freedom: Idiosyncratic currency devaluations," Research in International Business and Finance, Elsevier, vol. 38(C), pages 312-325.
    11. Michael Melvin & Duncan Shand, 2016. "When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds," CESifo Working Paper Series 6210, CESifo.
    12. Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
    13. Vitaly Orlov, 2018. "Solvency Risk Premia and the Carry Trades," Working Papers on Finance 1802, University of St. Gallen, School of Finance.
    14. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    15. Choi, Jin Ho & Suh, Sangwon, 2022. "Conditionally-hedged currency carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    16. Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
    17. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
    18. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
    19. Geert Bekaert & George Panayotov, 2019. "Good Carry, Bad Carry," NBER Working Papers 25420, National Bureau of Economic Research, Inc.
    20. Michael D. Goldberg & Olesia Kozlova & Deniz Ozabaci, 2020. "Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational," Econometrics, MDPI, vol. 8(4), pages 1-26, December.
    21. Michael Melvin & Frank Westermann, 2020. "Chinese Exchange Rate Policy: Lessons for Global Investors," CESifo Working Paper Series 8493, CESifo.
    22. Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2021. "To hedge or not to hedge: Carry trade dynamics in the emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    23. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
    24. Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
    25. Lehkonen, Heikki & Heimonen, Kari & Pukthuanthong, Kuntara, 2025. "Media tone is a priced risk factor in currency markets," Journal of Banking & Finance, Elsevier, vol. 180(C).
    26. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020. "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers 27199, National Bureau of Economic Research, Inc.
    27. Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
    28. Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
    29. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
    30. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
    31. Christopher Balding & Andros Gregoriou & Domenico Tarzia & Xiao Zhang, 2024. "Carry Trade Dynamics Under Capital Controls: The Case of China," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1065-1085, December.
    32. Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
    33. Palwishah, Rana & Kashif, Muhammad & Rehman, Mobeen Ur & Al-Faryan, Mamdouh Abdulaziz Saleh, 2024. "Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 91(C).
    34. Kimberly A. Berg & Nelson Mark, 2017. "Global Macro Risks in Currency Excess Returns," NBER Working Papers 23764, National Bureau of Economic Research, Inc.
    35. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
    36. Jiadong Tong & Zijun Wang & Jian Yang, 2016. "Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(7), pages 695-718, July.
    37. Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024. "Importance of transaction costs for asset allocation in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 159(C).
    38. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    39. Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
    40. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2017. "Foreign exchange predictability and the carry trade: A decomposition approach," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 199-211.
    41. Fan, Zhenzhen & Paseka, Alexander & Qi, Zhen & Zhang, Qi, 2022. "Currency carry trade: The decline in performance after the 2008 Global Financial Crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    42. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2025. "Foreign Exchange Order Flow as a Risk Factor," Post-Print hal-05445828, HAL.
    43. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    44. Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
    45. Kharrat, Sabrine & Hammami, Yacine & Fatnassi, Ibrahim, 2020. "On the cross-sectional relation between exchange rates and future fundamentals," Economic Modelling, Elsevier, vol. 89(C), pages 484-501.
    46. Jamali, Ibrahim & Yamani, Ehab, 2019. "Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 241-263.

  11. Kent Daniel & Tobias J. Moskowitz, 2014. "Momentum Crashes," NBER Working Papers 20439, National Bureau of Economic Research, Inc.

    Cited by:

    1. Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019_12, Business School - Economics, University of Glasgow.
    2. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017. "The Memory of Stock Return Volatility: Asset Pricing Implications," Hannover Economic Papers (HEP) dp-613, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
    4. Teplova, Tamara & Mikova, Evgeniya & Nazarov, Nikolai, 2017. "Stop losses momentum strategy: From profit maximization to risk control under White’s Bootstrap Reality Check," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 240-258.
    5. Lin, Chaonan & Ko, Kuan-Cheng & Feng, Zhi-Xiang & Yang, Nien-Tzu, 2016. "Market dynamics and momentum in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 59-75.
    6. Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," NBER Working Papers 22520, National Bureau of Economic Research, Inc.
    8. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
    9. Fan, Minyou & Li, Youwei & Liu, Jiadong, 2017. "Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches," MPRA Paper 83510, University Library of Munich, Germany.
    10. Cheema, Muhammad A. & Nartea, Gilbert V & Man, Yimei, 2017. "Cross-Sectional and Time-Series Momentum Returns and Market States," MPRA Paper 78989, University Library of Munich, Germany.
    11. Markus Leippold & Roger Rueegg, 2018. "The mixed vs the integrated approach to style investing: Much ado about nothing?," European Financial Management, European Financial Management Association, vol. 24(5), pages 829-855, November.
    12. Hanxiong Zhang & Andrew Urquhart, 2020. "Do momentum and reversal strategies work in commodity futures? A comprehensive study," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 12(4), pages 375-409, April.
    13. Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
    14. Chen, Shu-Hsiu, 2017. "Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 1-20.
    15. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    16. Avramov, Doron & Hore, Satadru, 2017. "Cross-sectional factor dynamics and momentum returns," Journal of Financial Markets, Elsevier, vol. 32(C), pages 69-96.
    17. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
    18. Butt, Hilal Anwar & Virk, Nader Shahzad, 2017. "Momentum profits and time varying illiquidity effect," Finance Research Letters, Elsevier, vol. 20(C), pages 253-259.
    19. Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
    20. Andrei S. Gonçalves & Chen Xue & Lu Zhang, 2017. "Does the Investment Model Explain Value and Momentum Simultaneously?," NBER Working Papers 23910, National Bureau of Economic Research, Inc.
    21. Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
    22. Cheema, Muhammad A. & Nartea, Gilbert V., 2017. "Momentum, idiosyncratic volatility and market dynamics: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 46(PA), pages 109-123.

  12. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.

    Cited by:

    1. Yang, Xuebing & Zhang, Huilan, 2019. "Extreme absolute strength of stocks and performance of momentum strategies," Journal of Financial Markets, Elsevier, vol. 44(C), pages 71-90.
    2. Varvara V. Nazarova & Sergei I. Leshchev, 2023. "Study of the Momentum Effect in the Price Dynamics of Highly Liquid Shares on the Russian Securities Market," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 58-73, February.
    3. Biais, Bruno & Rochet, Jean-Charles & Woolley, Paul, 2013. "The dynamics of innovation and risk," IDEI Working Papers 807, Institut d'Économie Industrielle (IDEI), Toulouse.
    4. Baltzer, Markus & Jank, Stephan & Smajlbegovic, Esad, 2019. "Who trades on momentum?," Journal of Financial Markets, Elsevier, vol. 42(C), pages 56-74.
    5. Teplova, Tamara & Mikova, Evgeniya & Nazarov, Nikolai, 2017. "Stop losses momentum strategy: From profit maximization to risk control under White’s Bootstrap Reality Check," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 240-258.
    6. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2014. "European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?," Discussion Papers 14/02, Department of Economics, University of York.
    7. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
    8. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012. "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers 12/28, Department of Economics, University of York.
    9. Supriya Maheshwari & Raj S. Dhankar, 2017. "The Effect of Global Crises on Momentum Profitability: Evidence from the Indian Stock Market," Vision, , vol. 21(1), pages 1-12, March.
    10. Martens, Martin & van Oord, Arco, 2014. "Hedging the time-varying risk exposures of momentum returns," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 78-89.
    11. Bradrania, Reza & Wu, Winston, 2023. "Foreign institutions, local investors and momentum trading," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 40-64.
    12. Bohl, Martin T. & Czaja, Marc-Gregor & Kaufmann, Philipp, 2016. "Momentum profits, market cycles, and rebounds: Evidence from Germany," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 139-159.
    13. Gao, Yang & Leung, Henry & Satchell, Stephen, 2022. "Partial moment momentum," Journal of Banking & Finance, Elsevier, vol. 135(C).
    14. Docherty, Paul & Hurst, Gareth, 2018. "Return dispersion and conditional momentum returns: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 263-278.
    15. Edgardo Cayón, 2014. "The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2014, January-A.
    16. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    17. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
    18. Jangkoo Kang & Kyung Yoon Kwon, 2019. "How about selling commodity futures losers?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1489-1514, December.
    19. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2014. "When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies," Discussion Papers 14/09, Department of Economics, University of York.
    20. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014. "Momentum Trading, Return Chasing and Predictable Crashes," Working Paper Series WP-2014-27, Federal Reserve Bank of Chicago.
    21. Lou, Dong & Polk, Christopher, 2013. "Comomentum: inferring arbitrage activity from return correlations," LSE Research Online Documents on Economics 119033, London School of Economics and Political Science, LSE Library.
    22. Carlo Da Dalt & David Feldman & Gerald Garvey & Peter Joakim Westerholm, 2019. "Contrarians or momentum chasers? Individual investors’ behavior when trading exchange‐traded funds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 553-578, May.
    23. Mao, Mike Qinghao & Wei, K.C. John, 2014. "Price and earnings momentum: An explanation using return decomposition," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 332-351.
    24. Lou, Dong & Polk, Christopher & Skouras, Spyros, 2015. "A tug of war: overnight versus intraday expected returns," LSE Research Online Documents on Economics 119010, London School of Economics and Political Science, LSE Library.

  13. Daniel, Kent & Hirshleifer, David & Subrahmanyam, Avanidhar, 2005. "Investor Psychology and Tests of Factor Pricing Models," Working Paper Series 2005-26, Ohio State University, Charles A. Dice Center for Research in Financial Economics.

    Cited by:

    1. Hirshleifer, David & Jiang, Danling, 2007. "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper 20636, University Library of Munich, Germany, revised 10 Feb 2010.
    2. Li, Xiao-Ming, 2017. "New evidence on economic policy uncertainty and equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 46(PA), pages 41-56.
    3. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
    4. Billett, Matthew T. & Jiang, Zhan & Rego, Lopo L., 2014. "Glamour brands and glamour stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 744-759.
    5. Gregory Nazaire & Maria Pacurar & Oumar Sy, 2020. "Betas versus characteristics: A practical perspective," European Financial Management, European Financial Management Association, vol. 26(5), pages 1385-1413, November.
    6. Jiang, Danling, 2008. "Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns," MPRA Paper 8325, University Library of Munich, Germany.
    7. Navío-Marco, Julio & Serrano Calle, Silvia & Solórzano-García, Marta, 2017. "Analysis of glamorous acquisitions in the telecommunications sector: Overvaluation or success?," 28th European Regional ITS Conference, Passau 2017 169487, International Telecommunications Society (ITS).
    8. Pham, Quyen & Pham, Huy & Pham, Tra & Tiwari, Aviral Kumar, 2025. "Revisiting the role of investor sentiment in the stock market," International Review of Economics & Finance, Elsevier, vol. 100(C).
    9. 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.
    10. Meena, Purushottam & Kumar, Gopal, 2022. "Online food delivery companies' performance and consumers expectations during Covid-19: An investigation using machine learning approach," Journal of Retailing and Consumer Services, Elsevier, vol. 68(C).
    11. Jiang, Danling, 2013. "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3974-3992.
    12. Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
    13. Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.
    14. Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong, 2007. "The Accrual Anomaly: Risk or Mispricing?," MPRA Paper 5173, University Library of Munich, Germany.
    15. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013. "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5285-5299.
    16. Jung, Chan Shik & Lee, Dong Wook & Park, Kyung Suh, 2009. "Can investor heterogeneity be used to explain the cross-section of average stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 648-670, June.
    17. Franke, Günter & Weber, Thomas, 2006. "Wieweit tragen rationale Modelle in der Finanzmarktforschung?," CoFE Discussion Papers 06/09, University of Konstanz, Center of Finance and Econometrics (CoFE).
    18. Szymon Lis, 2024. "Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence," Papers 2411.13180, arXiv.org.

  14. Kent Daniel & Sheridan Titman, 2003. "Market Reactions to Tangible and Intangible Information," NBER Working Papers 9743, National Bureau of Economic Research, Inc.

    Cited by:

    1. Cheema, Muhammad A. & Scrimgeour, Frank, 2019. "Oil prices and stock market anomalies," Energy Economics, Elsevier, vol. 83(C), pages 578-587.
    2. Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.
    3. Hirshleifer, David & Jiang, Danling, 2007. "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper 20636, University Library of Munich, Germany, revised 10 Feb 2010.
    4. Wang, Li & Ye, Yuxiao & Huo, Baofeng, 2025. "Spillover of bad publicity: Effect of negative ESG coverage in supply chains on firm performance," International Journal of Production Economics, Elsevier, vol. 285(C).
    5. Mortal, Sandra C. & Schill, Michael J., 2018. "The role of firm investment in momentum and reversal," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 255-278.
    6. Nusret Cakici & Sris Chatterjee & Ren-Raw Chen, 2019. "Default Risk and Cross Section of Returns," JRFM, MDPI, vol. 12(2), pages 1-15, June.
    7. Eun, Cheol & Lee, Kyuseok & Wei, Fengrong, 2023. "Dual role of the country factors in international asset pricing: The local factors and proxies for the global factors," International Review of Financial Analysis, Elsevier, vol. 89(C).
    8. Christine Brown & Carlson Fung, 2009. "Keiretsu Affiliation And Stock‐Market‐Driven Acquisitions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(4), pages 479-503, December.
    9. Jin Ginger Wu & Lu Zhang, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," NBER Working Papers 15950, National Bureau of Economic Research, Inc.
    10. Anwer S. Ahmed & Irfan Safdar, 2017. "Evidence on the Presence of Representativeness Bias in Investor Interpretation of Consistency in Sales Growth," Management Science, INFORMS, vol. 63(1), pages 97-113, January.
    11. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
    12. 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.).
    13. Douglas W. Blackburn & Nusret Cakici, 2019. "Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns," JRFM, MDPI, vol. 12(2), pages 1-29, May.
    14. Klaus Grobys & James W. Kolari & Jere Rutanen, 2022. "Factor momentum, option-implied volatility scaling, and investor sentiment," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 138-155, March.
    15. Michael J. Cooper & Huseyin Gulen & Michael J. Schill, 2008. "Asset Growth and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 63(4), pages 1609-1651, August.
    16. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    17. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
    18. Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
    19. 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.
    20. Sullivan, Michael & Zhang, Andrew (Jianzhong), 2011. "Are investment and financing anomalies two sides of the same coin?," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 616-633, September.
    21. Martijn Cremers & Ankur Pareek, 2009. "Institutional Investors’ Investment Durations and Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance and R&D Increases," Yale School of Management Working Papers amz2662, Yale School of Management, revised 04 Sep 2009.
    22. Alexander Barinov & Shawn Saeyeul Park & Çelim Yıldızhan, 2024. "Firm complexity and post-earnings announcement drift," Review of Accounting Studies, Springer, vol. 29(1), pages 527-579, March.
    23. Alan Meng Li & Dharmendra Naidu & Farshid Navissi & Kumari Ranjeeni, 2018. "Net stock issuance anomaly and cash flow explanation: A research note," Australian Journal of Management, Australian School of Business, vol. 43(2), pages 286-304, May.
    24. Tut, DANIEL, 2024. "Bitcoin, speculative sentiments and crypto-assets valuation," MPRA Paper 120866, University Library of Munich, Germany.
    25. He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015. "Multi-factor volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 132-149.
    26. Baek, Seungho & Bilson, John F.O., 2015. "Size and value risk in financial firms," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 295-326.
    27. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2025. "Breaking down value: a novel method," Empirical Economics, Springer, vol. 69(3), pages 1467-1525, September.
    28. Deepa Mani & Anitesh Barua & Andrew B. Whinston, 2013. "Outsourcing Contracts and Equity Prices," Information Systems Research, INFORMS, vol. 24(4), pages 1028-1049, December.
    29. Tang, Ning & Gao, Mengyao & Zhou, Yixun & Zhou, Fangzhao & Zhu, Jichen, 2024. "Firm-level productivity and stock return: New evidence from China," International Review of Economics & Finance, Elsevier, vol. 96(PA).
    30. Nettayanun, Sampan, 2023. "Asset pricing in bull and bear markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    31. Avanidhar Subrahmanyam, 2010. "The Cross†Section of Expected Stock Returns: What Have We Learnt from the Past Twenty†Five Years of Research?," European Financial Management, European Financial Management Association, vol. 16(1), pages 27-42, January.
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    316. Subrahmanyam, Avanidhar, 2009. "Optimal financial education," Review of Financial Economics, Elsevier, vol. 18(1), pages 1-9, January.
    317. Ambrus Kecskés & Roni Michaely & Kent L. Womack, 2017. "Do Earnings Estimates Add Value to Sell-Side Analysts’ Investment Recommendations?," Management Science, INFORMS, vol. 63(6), pages 1855-1871, June.
    318. Guo, Li & Li, Frank Weikai & John Wei, K.C., 2020. "Security analysts and capital market anomalies," Journal of Financial Economics, Elsevier, vol. 137(1), pages 204-230.
    319. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    320. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
    321. Joey W. Yang & Lewis May & John Gould, 2023. "Exchange‐traded fund ownership and underlying stock mispricing," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1417-1445, April.
    322. Chen, Li-Yu & Lai, Jung-Ho & Chang, Shao-Chi, 2017. "The long-term performance of new product introductions," Finance Research Letters, Elsevier, vol. 20(C), pages 162-169.
    323. Bartram, Söhnke M. & Grinblatt, Mark, 2018. "Agnostic fundamental analysis works," Journal of Financial Economics, Elsevier, vol. 128(1), pages 125-147.
    324. Barinov, Alexander, 2012. "Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle," Journal of Corporate Finance, Elsevier, vol. 18(4), pages 763-781.
    325. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
    326. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
    327. Hsu, Po-Hsuan & Huang, Dayong, 2010. "Technology prospects and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 39-53, January.
    328. Skočir, Matevž & Lončarski, Igor, 2018. "Multi-factor asset pricing models: Factor construction choices and the revisit of pricing factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 65-80.
    329. Cakici, Nusret & Zaremba, Adam & Bianchi, Robert J. & Pham, Nga, 2021. "False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    330. Sangwon Suh, 2018. "Portfolio Selection using New Factors based on Firm Characteristics," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 43(1), pages 77-99, March.
    331. Shen, Carl Hsin-han & Zhang, Hao, 2013. "CEO risk incentives and firm performance following R&D increases," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1176-1194.
    332. Wu, Juan (Julie) & Zhang, Jianzhong (Andrew), 2019. "Short selling and market anomalies," Journal of Financial Markets, Elsevier, vol. 46(C).

  15. Kent D. Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 2000. "Covariance Risk, Mispricing, and the Cross Section of Security Returns," NBER Working Papers 7615, National Bureau of Economic Research, Inc.

    Cited by:

    1. Hugh Kelley & Tom Evans, 2010. "Measuring the Impact of Behavioral Traders in the Market for Closed-end Country Funds from 2002 to 2009," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 16, Edward Elgar Publishing.
    2. Guerdjikova, Ani, 2006. "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers 06-13, Cornell University, Center for Analytic Economics.
    3. Nicholas Barberis & Ming Huang, 2001. "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers 8190, National Bureau of Economic Research, Inc.
    4. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc.

  16. Kent Daniel & Sheridan Titman, 2000. "Market Efficiency in an Irrational World," NBER Working Papers 7489, National Bureau of Economic Research, Inc.

    Cited by:

    1. Rodolfo Apreda, 2000. "Differential Rates of Return and Residual Information Sets (A Discrete Approach)," CEMA Working Papers: Serie Documentos de Trabajo. 177, Universidad del CEMA.
    2. Anu Antony & Ansted Iype Joseph, 2017. "Influence of Behavioural Factors Affecting Investment Decision—An AHP Analysis," Metamorphosis: A Journal of Management Research, , vol. 16(2), pages 107-114, December.
    3. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
    4. Danelia Giorgi, 2017. "A Description of Psychological Biases on the Currency Market," Ekonomika (Economics), Sciendo, vol. 96(2), pages 56-65, February.
    5. Schulmeister, Stephan, 2006. "The interaction between technical currency trading and exchange rate fluctuations," Finance Research Letters, Elsevier, vol. 3(3), pages 212-233, September.
    6. Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou, 2015. "Profitability of contrarian strategies in the Chinese stock market," Papers 1505.00328, arXiv.org.
    7. Roman Kraeussl & Christian Wiehenkamp, 2012. "A call on art investments," Review of Derivatives Research, Springer, vol. 15(1), pages 1-23, April.
    8. Steven Shead & Robert B Durand & Stephanie Thomas, 2021. "Predicting price intervals under exogenously induced stress," PLOS ONE, Public Library of Science, vol. 16(9), pages 1-15, September.
    9. Qin Xiao & Gee Kwang Randolph Tan, 2007. "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Urban Studies, Urban Studies Journal Limited, vol. 44(4), pages 865-888, April.
    10. Emmanuel PETIT, 2010. "The role of regret in the persistence of anomalies in financial markets (In French)," Cahiers du GREThA (2007-2019) 2010-07, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    11. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
    12. Stephan Schulmeister & Margit Schratzenstaller-Altzinger & Oliver Picek, 2008. "A General Financial Transaction Tax. Motives, Revenues, Feasibility and Effects," WIFO Studies, WIFO, number 31819.

  17. 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.

    Cited by:

    1. Paul Gao & Kevin X. D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City.
    2. Elhaj Walid, 2009. "New Evidence on Risk Factors, Characteristics and the Cross-Sectional Variation of Japanese Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 33-50, March.
    3. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
    4. Wang, Junbo & Wei, K.C. John & Pruitt, Stephen W., 2006. "An analysis of the share price and accounting performance of rights offerings in China," Pacific-Basin Finance Journal, Elsevier, vol. 14(1), pages 49-72, January.
    5. Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
    6. Teng, Min & Si, Jiwen & Hachiya, Toyohiko, 2016. "Banking relationship, relative leverage and stock returns in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 86-101.
    7. Bo Li & Qian Sun & Changyun Wang, 2014. "Liquidity, Liquidity Risk and Stock Returns: Evidence from Japan," European Financial Management, European Financial Management Association, vol. 20(1), pages 126-151, January.
    8. Tim Brailsford & Clive Gaunt & Michael A O’Brien, 2012. "Size and book-to-market factors in Australia," Australian Journal of Management, Australian School of Business, vol. 37(2), pages 261-281, August.
    9. Chang, Rosita P. & Ko, Kuan-Cheng & Nakano, Shinji & Ghon Rhee, S., 2018. "Residual momentum in Japan," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 283-299.
    10. Maria Elisabete Neves & Mário Abreu Pinto & Carla Manuela de Assunção Fernandes & Elisabete Fátima Simões Vieira, 2021. "Value and growth stock returns: international evidence (JES)," International Journal of Accounting & Information Management, Emerald Group Publishing Limited, vol. 29(5), pages 698-733, October.
    11. Chang, Chiao-Yi, 2011. "The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 14-27, February.
    12. Mahani, Reza S. & Poteshman, Allen M., 2008. "Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 635-655, September.
    13. Chou, Pin-Huang & Ko, Kuan-Cheng, 2008. "Characteristics, covariances, and structural breaks," Economics Letters, Elsevier, vol. 100(1), pages 31-34, July.
    14. Nahzat Abbas & Jahanzeb Khan & Rabia Aziz & Zain Sumrani, 2015. "A Study to Check the Applicability of Fama and French, Three-Factor Model on KSE 100-Index from 2004-2014," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(1), pages 90-100, January.
    15. Chiao, Chaoshin & Hueng, C. James, 2005. "Overreaction effects independent of risk and characteristics: evidence from the Japanese stock market," Japan and the World Economy, Elsevier, vol. 17(4), pages 431-455, December.
    16. Sheridan Titman & K.C. John Wei & Feixue Xie, 2003. "Capital Investments and Stock Returns," NBER Working Papers 9951, National Bureau of Economic Research, Inc.
    17. Mian, G. Mujtaba & Teo, Terence G. L., 2004. "Do errors in expectations explain the cross-section of stock returns?," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 197-217, April.
    18. Thang Cong Nguyen & Tan Ngoc Vu & Duc Hong Vo & Michael McAleer, 2020. "Systematic Risk at the Industry Level: A Case Study of Australia," Risks, MDPI, vol. 8(2), pages 1-12, April.
    19. Hirshleifer, David & Jian, Ming & Zhang, Huai, 2014. "Superstition and financial decision making," MPRA Paper 58620, University Library of Munich, Germany.
    20. Ana Paula Serra, 2002. "The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks," FEP Working Papers 120, Universidade do Porto, Faculdade de Economia do Porto.
    21. Shum, Wai Cheong & Tang, Gordon Y.N., 2005. "Common risk factors in returns in Asian emerging stock markets," International Business Review, Elsevier, vol. 14(6), pages 695-717, December.
    22. Philipp Dirkx & Franziska J. Peter, 2020. "The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 72(4), pages 661-684, October.
    23. 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.
    24. Magdalena Morgese Borys & Petr Zemcik, 2009. "Size and Value Efects in the Visegrad Countries," CERGE-EI Working Papers wp391, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    25. Brooke Alexandra Maeda, 2024. "Consideration of the Existence of the Value Effect in Japan in Recent Years," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 16(12), pages 1-26, December.
    26. Kim, Daehwan, 2015. "Beta vs. characteristics: Comparison of risk model performances," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 156-171.
    27. Ko, Kuan-Cheng & Lin, Shinn-Juh & Su, Hsiang-Ju & Chang, Hsing-Hua, 2014. "Value investing and technical analysis in Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 14-36.
    28. 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.
    29. Brown, Stephen & Ghon Rhee, S. & Zhang, Liang, 2008. "The return to value in Asian stock markets," Emerging Markets Review, Elsevier, vol. 9(3), pages 194-205, September.
    30. Yasushi Hamao & Jianping Mei & Yexiao Xu, 2003. "Idiosyncratic Risk and the Creative Destruction in Japan," NBER Working Papers 9642, National Bureau of Economic Research, Inc.
    31. Samuel Xin Liang, 2019. "What drives stock returns in Japan?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 39-69, March.
    32. Sirio Aramonte & Mohammad R. Jahan-Parvar & Samuel Rosen & John W. Schindler, 2022. "Firm-Specific Risk-Neutral Distributions with Options and CDS," Management Science, INFORMS, vol. 68(9), pages 7018-7033, September.
    33. Lucas Bretschger & Filippo Lechthaler, 2012. "Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market," CER-ETH Economics working paper series 12/160, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    34. Dezső, Cristian L. & Ross, David Gaddis, 2012. "Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing," Journal of Financial Economics, Elsevier, vol. 106(2), pages 395-410.
    35. Lin, Xiaoji & Zhang, Lu, 2013. "The investment manifesto," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 351-366.
    36. Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan, 2015. "Trading behavior and stock returns in Japan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 200-212.
    37. Paul Goebel & David Harrison & Jeffrey Mercer & Ryan Whitby, 2013. "REIT Momentum and Characteristic-Related REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 564-581, October.
    38. Kubota, Keiichi & Takehara, Hitoshi, 2009. "Information based trade, the PIN variable, and portfolio style differences: Evidence from Tokyo stock exchange firms," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 319-337, June.
    39. Yang, Jianlei, 2024. "Financial stability policy and downside risk in stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    40. Sheridan Titman & Matthias Hanauer, 2014. "Is Japan Different? Evidence on Momentum and Market Dynamics," International Review of Finance, International Review of Finance Ltd., vol. 14(1), pages 141-160, March.
    41. Xu, Ming & Zhang, Chu, 2004. "The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000," Pacific-Basin Finance Journal, Elsevier, vol. 12(3), pages 245-269, June.
    42. Chuan ‘Chewie’ Ang, Tze & Lam, F.Y. Eric C. & Ma, Tai & Wang, Shujing & Wei, K.C. John, 2019. "What is the real relationship between cash holdings and stock returns?," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 513-528.
    43. D. L. Wilcox & T. J. Gebbie, 2013. "On pricing kernels, information and risk," Papers 1310.4067, arXiv.org, revised Oct 2013.
    44. Prombutr, Wikrom & Phengpis, Chanwit & Zhang, Ying, 2012. "What explains the investment growth anomaly?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2532-2542.
    45. Hearn, Bruce, 2011. "Size and liquidity effects in Japanese regional stock markets," Journal of the Japanese and International Economies, Elsevier, vol. 25(2), pages 157-181, June.
    46. Christian Walkshäusl & Sebastian Lobe, 2014. "The Alternative Three†Factor Model: An Alternative beyond US Markets?," European Financial Management, European Financial Management Association, vol. 20(1), pages 33-70, January.
    47. Lam, F.Y. Eric C. & Wei, K.C. John, 2011. "Limits-to-arbitrage, investment frictions, and the asset growth anomaly," Journal of Financial Economics, Elsevier, vol. 102(1), pages 127-149, October.
    48. Pascal Nguyen & Sophie Nivoix & Mikiharu Noma, 2010. "The valuation of R&D expenditures in Japan," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(4), pages 899-920, December.
    49. Te‐Feng Chen & Lei Sun & K. C. John Wei & Feixue Xie, 2018. "The profitability effect: Insights from international equity markets," European Financial Management, European Financial Management Association, vol. 24(4), pages 545-580, September.
    50. Mazza, Paolo & Wang, Shiyu, 2021. "Corporate legal insider trading in China: Performance and determinants," International Review of Law and Economics, Elsevier, vol. 68(C).
    51. Chang, Yuk Ying & Faff, Robert & Hwang, Chuan-Yang, 2010. "Liquidity and stock returns in Japan: New evidence," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 90-115, January.
    52. Chandra Shekhar Bhatnagar & Riad Ramlogan, 2012. "The capital asset pricing model versus the three factor model: A United Kingdom Perspective," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(1), pages 51-65, February.
    53. Huang, Yuan & Lam, F.Y. Eric C. & Wei, K.C. John, 2014. "The q-theory explanation for the external financing effect: New evidence," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 69-81.
    54. Sheridan Titman & K.C. John Wei & Feixue Xie, 2009. "Capital Investments and Stock Returns in Japan," International Review of Finance, International Review of Finance Ltd., vol. 9(1‐2), pages 111-131, March.
    55. Liu, Laura Xiaolei & Shu, Haibing & Wei, K.C. John, 2017. "The impacts of political uncertainty on asset prices: Evidence from the Bo scandal in China," Journal of Financial Economics, Elsevier, vol. 125(2), pages 286-310.
    56. Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
    57. Lin, Mei-Chen, 2024. "Shared analyst coverage, 52-week high, and cross-firm return predictability," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    58. Lee-Seok Hwang & Woo-Jong Lee, 2013. "Stock Return Predictability of Residual-Income-Based Valuation: Risk or Mispricing?," Abacus, Accounting Foundation, University of Sydney, vol. 49(2), pages 219-241, June.
    59. Higgins, Huong N., 2013. "Conflicts of interest between banks and firms: Evidence from Japanese mergers," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 156-178.
    60. Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
    61. Paola Brighi & Stefano d'Addona & Antonio Carlo Francesco Della Bina, 2010. "Too Small or too Low? New Evidence on the 4-Factor Model," Working Paper series 31_10, Rimini Centre for Economic Analysis.
    62. Samuel Xin Liang, 2019. "The Driving Forces of Stock Returns in Hong Kong," Accounting and Finance Research, Sciedu Press, vol. 8(4), pages 1-1, November.
    63. Sakawa, Hideaki & Watanabel, Naoki & Hiramatsu, Kenji, 2025. "Do buyback anomalies explain the stock return in Japan? A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    64. Galicia-Sanguino, Lucía & Rojo-Suárez, Javier & Alonso-Conde, Ana B. & López-Pérez, M. Victoria, 2021. "Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    65. Sheng-Ping Yang & Thanh Nguyen, 2019. "Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market," JRFM, MDPI, vol. 12(3), pages 1-10, September.
    66. Cheema, Muhammad A. & Chiah, Mardy & Zhong, Angel, 2021. "Resurrecting the size effect in Japan: Firm size, profitability shocks, and expected stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    67. Dimitrios D. Thomakos & Michail S. Koubouros, 2011. "The Role of Realised Volatility in the Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 87-124, March - J.
    68. Huong N. Higgins, 2018. "Banks and Corporate Decisions: Evidence from Business Groups," Financial Management, Financial Management Association International, vol. 47(3), pages 679-713, September.
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    71. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
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    Cited by:

    1. Baba-Yara, Fahiz & Boons, Martijn & Tamoni, Andrea, 2024. "Persistent and transitory components of firm characteristics: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 154(C).
    2. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
    3. Bin Wang & Wonseok Choi & Ibrahim Siraj, 2018. "Local investor attention and post-earnings announcement drift," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 219-252, July.
    4. Hirshleifer, David & Jiang, Danling, 2007. "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper 20636, University Library of Munich, Germany, revised 10 Feb 2010.
    5. Bruce D. Grundy & J. Spencer Martin, "undated". "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.
    6. Elhaj Walid, 2009. "New Evidence on Risk Factors, Characteristics and the Cross-Sectional Variation of Japanese Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 33-50, March.
    7. Kalyvitis Sarantis & Panopoulou Ekaterini, 2013. "Estimating C-CAPM and the equity premium over the frequency domain," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 551-571, December.
    8. Avanidhar Subrahmanyam, 2008. "Behavioural Finance: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 14(1), pages 12-29, January.
    9. Terry Shevlin, 2013. "Some personal observations on the debate on the link between financial reporting quality and the cost of equity capital," Australian Journal of Management, Australian School of Business, vol. 38(3), pages 447-473, December.
    10. Subhrendu Rath & Mamunur Rashid, 2016. "Undervaluation and private equity takeovers," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 735-759, November.
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    566. Daphne Lui & Stanimir Markov & Ane Tamayo, 2007. "What Makes a Stock Risky? Evidence from Sell‐Side Analysts' Risk Ratings," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 45(3), pages 629-665, June.
    567. Zaremba Adam & Konieczka Przemysław, 2017. "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 53(3), pages 26-47, September.
    568. Lin, Xiaoji & Zhang, Lu, 2011. "Covariances versus Characteristics in General Equilibrium," Working Paper Series 2011-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    569. Onur Kemal Tosun & Liang Jin & Richard Taffler & Arman Eshraghi, 2022. "Fund manager skill: selling matters more!," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 969-994, October.
    570. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
    571. Suresh Nallareddy & Maria Ogneva, 2017. "Accrual quality, skill, and the cross-section of mutual fund returns," Review of Accounting Studies, Springer, vol. 22(2), pages 503-542, June.
    572. Barinov, Alexander, 2018. "Stocks with extreme past returns: Lotteries or insurance?," Journal of Financial Economics, Elsevier, vol. 129(3), pages 458-478.
    573. 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.
    574. Avanidhar Subrahmanyam, 2009. "Optimal financial education," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 1-9, January.
    575. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
    576. Kathrin Tauscher & Martin Wallmeier, 2016. "Portfolio Overlapping Bias in Tests of the Fama–French Three†Factor Model," European Financial Management, European Financial Management Association, vol. 22(3), pages 367-393, June.
    577. Walid Saleh, 2014. "Explaining the Cross-Sectional Patterns of UK Expected Stock Returns: The Effect of Intangibles," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(2), pages 160-170, April.
    578. Adrian Wai Kong Cheung, 2011. "Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study," Journal of Business Ethics, Springer, vol. 99(2), pages 145-165, March.
    579. Manish Bansal & Asgar Ali, 2021. "Differential impact of earnings management on the accrual anomaly," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 559-572, December.
    580. Montone, Maurizio, 2023. "Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    581. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 413-426.
    582. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "The cross-section of expected corporate bond returns: Betas or characteristics?," Journal of Financial Economics, Elsevier, vol. 75(1), pages 85-114, January.
    583. Bambang Sugeng, 2016. "The Effect of Dividend Initiation on Short-run Return in Indonesia: An Event Study with Propensity Score Matching Approach," International Journal of Business and Management, Canadian Center of Science and Education, vol. 11(12), pages 207-207, November.
    584. Franzoni, Francesco & Ben-David, Itzhak & Kim, Byungwook & Moussawi, Rabih, 2021. "Competition for Attention in the ETF Space," CEPR Discussion Papers 15762, C.E.P.R. Discussion Papers.
    585. Clark, Ephraim & Qiao, Zhuo, 2020. "The value premium puzzle, behavior versus risk: New evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 12-21.
    586. Datta, Sudip & Doan, Trang & Toscano, Francesca, 2023. "Top executive gender, corporate culture, and the value of corporate cash holdings," Journal of Financial Stability, Elsevier, vol. 67(C).
    587. Massa, Massimo & O'Donovan, James & Zhang, Hong, 2021. "International Asset Pricing with Strategic Business Groups," CEPR Discussion Papers 15746, C.E.P.R. Discussion Papers.
    588. Yu, Haixu & Liang, Chuanyu & Liu, Zhaohua & Wang, He, 2023. "News-based ESG sentiment and stock price crash risk," International Review of Financial Analysis, Elsevier, vol. 88(C).
    589. Suresh Govindaraj & Yubin Li & Chen Zhao, 2020. "The effect of option transaction costs on informed trading in the options market around earnings announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 47(5-6), pages 615-644, May.
    590. Edward Lee & Konstantinos Stathopoulos & Mark Hon, 2006. "Investigating the return predictability of changes in corporate borrowing," Accounting and Business Research, Taylor & Francis Journals, vol. 36(2), pages 93-107.
    591. Yang, Xiaolou & Hu, Yingyao, 2024. "Default risk and stock returns: From a perspective of measurement errors," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1545-1561.
    592. Luo, Yongli & Fang, Fang & Esqueda, Omar A., 2012. "The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market," Journal of Multinational Financial Management, Elsevier, vol. 22(5), pages 193-211.
    593. Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
    594. Subrahmanyam, Avanidhar, 2009. "Optimal financial education," Review of Financial Economics, Elsevier, vol. 18(1), pages 1-9, January.
    595. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 533-558, December.
    596. Edward R. Lawrence & John Geppert & Arun J. Prakash, 2007. "Asset pricing models: a comparison," Applied Financial Economics, Taylor & Francis Journals, vol. 17(11), pages 933-940.
    597. Ding, David K. & Chua, Jia Leng & Fetherston, Thomas A., 2005. "The performance of value and growth portfolios in East Asia before the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 185-199, March.
    598. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J. & Uppal, Raman, 2017. "A Portfolio Perspective on the Multitude of Firm Characteristics," CEPR Discussion Papers 12417, C.E.P.R. Discussion Papers.
    599. Ying-Sing LIU & Liza LEE, 2022. "Are Modifications in the ETF's Investment Performance and Risks during the COVID-19 Pandemic Event?," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 23(1), pages 05-17, June.
    600. Jin, Liang & Taffler, Richard & Eshraghi, Arman & Tosun, Onur Kemal, 2020. "Fund manager conviction and investment performance," International Review of Financial Analysis, Elsevier, vol. 71(C).
    601. Wang, Zhenyu & Zhang, Xiaoyan, 2012. "Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 65-78.
    602. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    603. Christian Fieberg & Armin Varmaz & Thorsten Poddig, 2016. "Covariances vs. characteristics: what does explain the cross section of the German stock market returns?," Business Research, Springer;German Academic Association for Business Research, vol. 9(1), pages 27-50, April.
    604. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
    605. Schnaubelt, Matthias & Seifert, Oleg, 2020. "Valuation ratios, surprises, uncertainty or sentiment: How does financial machine learning predict returns from earnings announcements?," FAU Discussion Papers in Economics 04/2020, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    606. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
    607. Martin Wallmeier, 2005. "Analysts’ Earnings Forecasts for DAX100 Firms During the Stock Market Boom of the 1990s," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(2), pages 131-151, August.
    608. Balboa, Marina & Gomez-Sala, Juan Carlos & Lopez-Espinosa, German, 2008. "Does the value of recommendations depend on the level of optimism? A country-based analysis," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 405-426, October.
    609. Lynch, Anthony W., 2001. "Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability," Journal of Financial Economics, Elsevier, vol. 62(1), pages 67-130, October.
    610. Engström, Stefan, 2004. "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," SSE/EFI Working Paper Series in Economics and Finance 553, Stockholm School of Economics.
    611. Leite, André Luis & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & da Silveira Barbedo, Claudio Henrique, 2020. "The Fama-French’s five-factor model relation with interest rates and macro variables," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    612. Wallmeier, Martin & Tauscher, Kathrin, 2012. "A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model," FSES Working Papers 433, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    613. Cooper, Michael J. & Jackson, William III & Patterson, Gary A., 2003. "Evidence of predictability in the cross-section of bank stock returns," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 817-850, May.
    614. Jeffrey A. Busse & Tarun Chordia & Lei Jiang & Yuehua Tang, 2021. "Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance," Management Science, INFORMS, vol. 67(2), pages 1227-1248, February.
    615. Kenbata Bangassa, 2000. "Conditional Performance Evaluation: Empirical Evidence From UK Investment Trusts," Working Papers 2000_21, University of Liverpool, Department of Economics.
    616. M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012. "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers 12010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    617. Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz, 2018. "Investment Strategies that Beat the Market. What Can We Squeeze from the Market?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 36-55, December.
    618. Ali, Heba, 2019. "Does downside risk matter more in asset pricing? Evidence from China," Emerging Markets Review, Elsevier, vol. 39(C), pages 154-174.
    619. Peter Easton, 1997. "Use of Comparisons of Patterns of Stock Return and Accounting Data in Understanding Apparently Anomalous Returns to Accounting†based Trading Strategies," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 137-151, June.
    620. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017. "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers 1212, Board of Governors of the Federal Reserve System (U.S.).
    621. Sanjiv Das & Paul Hanouna, 2010. "Run lengths and liquidity," Annals of Operations Research, Springer, vol. 176(1), pages 127-152, April.
    622. Tykvova, Tereza & Walz, Uwe, 2007. "How important is participation of different venture capitalists in German IPOs?," Global Finance Journal, Elsevier, vol. 17(3), pages 350-378, March.
    623. Brav, Alon & Geczy, Christopher & Gompers, Paul A., 2000. "Is the abnormal return following equity issuances anomalous?," Journal of Financial Economics, Elsevier, vol. 56(2), pages 209-249, May.
    624. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
    625. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
    626. Humberto Valencia Herrera, 2015. "Decomposition of the Stocks Returns in the Sustainable Index of the Mexican Stock Exchange," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(1), pages 85-99, Enero-Jun.
    627. 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.
    628. Lin, Ji-Chai & Stephens, Clifford P. & Wu, YiLin, 2014. "Limited attention, share repurchases, and takeover risk," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 283-301.
    629. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.

  19. Daniel, Kent & Torous, Walter, 1991. "Common Stock Returns and the Business Cycle," University of California at Los Angeles, Anderson Graduate School of Management qt9xz8m81x, Anderson Graduate School of Management, UCLA.

    Cited by:

    1. Yew-Kwang Ng, 2003. "Orthodox Economics and Economists: Strengths and Weaknesses," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 48(01), pages 81-94.

Articles

  1. Kent Daniel & Lorenzo Garlappi & Kairong Xiao, 2021. "Monetary Policy and Reaching for Income," Journal of Finance, American Finance Association, vol. 76(3), pages 1145-1193, June.
    See citations under working paper version above.
  2. Kent Daniel & David Hirshleifer & Lin Sun, 2020. "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
    See citations under working paper version above.
  3. Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2020. "The Cross-Section of Risk and Returns," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1927-1979.
    See citations under working paper version above.
  4. Collin-Dufresne, Pierre & Daniel, Kent & Sağlam, Mehmet, 2020. "Liquidity regimes and optimal dynamic asset allocation," Journal of Financial Economics, Elsevier, vol. 136(2), pages 379-406.
    See citations under working paper version above.
  5. Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017. "The Carry Trade: Risks and Drawdowns," Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
    See citations under working paper version above.
  6. Daniel, Kent & Moskowitz, Tobias J., 2016. "Momentum crashes," Journal of Financial Economics, Elsevier, vol. 122(2), pages 221-247.
    See citations under working paper version above.
  7. Daniel, Kent & Titman, Sheridan, 2016. "Another Look at Market Responses to Tangible and Intangible Information," Critical Finance Review, now publishers, vol. 5(1), pages 165-175, May.

    Cited by:

    1. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    2. Ho, Kin-Yip & An, Jiyoun, 2020. "Decomposing the value premium: The role of intangible information in the Chinese stock market," Emerging Markets Review, Elsevier, vol. 44(C).
    3. Yu, Huaibing, 2024. "Why isn't composite equity issuance favored by the stock market? A risk-based explanation for the anomaly," International Review of Financial Analysis, Elsevier, vol. 94(C).

  8. Kent Daniel & David Hirshleifer, 2015. "Overconfident Investors, Predictable Returns, and Excessive Trading," Journal of Economic Perspectives, American Economic Association, vol. 29(4), pages 61-88, Fall.
    See citations under working paper version above.
  9. Daniel, Kent & Titman, Sheridan, 2012. "Testing Factor-Model Explanations of Market Anomalies," Critical Finance Review, now publishers, vol. 1(1), pages 103-139, January.

    Cited by:

    1. Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex, 2016. "Dissecting the bond profitability premium," Journal of Financial Markets, Elsevier, vol. 27(C), pages 102-131.
    2. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    3. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    4. Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy, 2013. "A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 174-181.
    5. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    6. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    7. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
    8. Kleibergen, Frank & Zhan, Zhaoguo, 2015. "Unexplained factors and their effects on second pass R-squared’s," Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.
    9. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
    10. Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2017. "The Cross-Section of Risk and Return," NBER Working Papers 24164, National Bureau of Economic Research, Inc.
    11. Fays, Boris & Papageorgiou, Nicolas & Lambert, Marie, 2021. "Risk optimizations on basis portfolios: The role of sorting," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 136-163.
    12. Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017. "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 1-21.
    13. Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
    14. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
    15. Sakemoto, Ryuta, 2023. "The long-run risk premium in the intertemporal CAPM: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    16. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    17. Kim, Soohun & Skoulakis, Georgios, 2018. "Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach," Journal of Econometrics, Elsevier, vol. 204(2), pages 159-188.
    18. Jagannathan, Murali & Jiao, Wei & Wermers, Russ, 2020. "International characteristic-based asset pricing," CFR Working Papers 20-13, University of Cologne, Centre for Financial Research (CFR).
    19. Momani, Mohammad Q.M., 2018. "Revisiting Pastor–Stambaugh liquidity factor," Economics Letters, Elsevier, vol. 163(C), pages 190-192.
    20. Erica X. N. Li & Haitao Li & Shujing Wang & Shujing Wang, 2019. "Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model," Management Science, INFORMS, vol. 65(8), pages 3585-3604, August.
    21. Mikael C. Bergbrant & Patrick J. Kelly, 2015. "Macroeconomic Expectations and the Size, Value and Momentum Factors," Working Papers w0214, Center for Economic and Financial Research (CEFIR).
    22. Tobias J. Moskowitz, 2021. "Asset Pricing and Sports Betting," Journal of Finance, American Finance Association, vol. 76(6), pages 3153-3209, December.
    23. Barras, Laurent, 2019. "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, vol. 134(3), pages 549-569.
    24. Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019. "Characteristics are covariances: A unified model of risk and return," Journal of Financial Economics, Elsevier, vol. 134(3), pages 501-524.
    25. Joel M. Vanden, 2021. "Equilibrium asset pricing and the cross section of expected returns," Annals of Finance, Springer, vol. 17(2), pages 153-186, June.
    26. Arash Aloosh & Geert Bekaert, 2019. "Currency Factors," NBER Working Papers 25449, National Bureau of Economic Research, Inc.
    27. Yukun Liu & Ben Matthies, 2022. "Long‐Run Risk: Is It There?," Journal of Finance, American Finance Association, vol. 77(3), pages 1587-1633, June.
    28. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
    29. Fabian T. Lutzenberger, 2015. "Multifactor Models and their Consistency with the ICAPM: Evidence from the European Stock Market," European Financial Management, European Financial Management Association, vol. 21(5), pages 1014-1052, November.
    30. Antoine Giannetti, 2024. "A simple test of misspecification for linear asset pricing models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 38(3), pages 305-330, September.
    31. Sudipta Das, 2019. "Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 339-354, September.
    32. Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
    33. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    34. Nada S. Ragab & Rabab K. Abdou & Ahmed M. Sakr, 2020. "A Comparative Study between the Fama and French Three-Factor Model and the Fama and French Five-Factor Model: Evidence from the Egyptian Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(1), pages 1-52, January.
    35. Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    36. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
    37. Leonid Kogan & Dimitris Papanikolaou, 2012. "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers 17795, National Bureau of Economic Research, Inc.
    38. Chichernea, Doina C. & Holder, Anthony D. & Petkevich, Alex, 2015. "Does return dispersion explain the accrual and investment anomalies?," Journal of Accounting and Economics, Elsevier, vol. 60(1), pages 133-148.
    39. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.

  10. Kent Daniel & Sheridan Titman, 2006. "Market Reactions to Tangible and Intangible Information," Journal of Finance, American Finance Association, vol. 61(4), pages 1605-1643, August.
    See citations under working paper version above.
  11. Daniel, Kent, 2004. "Discussion of: "Testing behavioral finance theories using trends and sequences in financial performance," (by Wesley Chan, Richard Frankel, and S.P. Kothari)," Journal of Accounting and Economics, Elsevier, vol. 38(1), pages 51-64, December.

    Cited by:

    1. Cheng, Yung-Hsiang & Yang, Ann Shawing & Liu, Yen Hua, 2009. "Financial investment behavior tendencies of air carriers," Journal of Air Transport Management, Elsevier, vol. 15(6), pages 354-356.
    2. Hou, Kewei & Hirshleifer, David & Teoh, Siew Hong, 2007. "The Accrual Anomaly: Risk or Mispricing?," MPRA Paper 5173, University Library of Munich, Germany.
    3. Victoria Bogdan & Ioana Teodora Mester & Dorina Nicoleta Popa & Diana Elisabeta Balaciu, 2009. "The Relevance Of Psychology Theories To Financial Accounting," Romanian Economic Business Review, Romanian-American University, vol. 4(4), pages 111-124, Winter.

  12. 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.

    Cited by:

    1. Wanidwaranan, Phasin & Padungsaksawasdi, Chaiyuth, 2022. "Unintentional herd behavior via the Google search volume index in international equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    2. Filiz, Ibrahim & Nahmer, Thomas & Spiwoks, Markus, 2019. "Herd behavior and mood: An experimental study on the forecasting of share prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
    3. Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas, 2002. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," Bonn Econ Discussion Papers 25/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
    4. David Hirshleifer & SONYA SEONGYEON LIM & Siew Hong Teoh, 2004. "Disclosure to an Audience with Limited Attention," Game Theory and Information 0412002, University Library of Munich, Germany.
    5. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," NBER Working Papers 11362, National Bureau of Economic Research, Inc.
    6. Gautam Milind Gokhale & Ankur Mittal, 2024. "Exploring the Nexus of Capital Market and Investor Behaviour: A Systematic Literature Review," International Journal of Economics and Financial Issues, Econjournals, vol. 14(2), pages 65-76, March.
    7. Dash, Saumya Ranjan & Maitra, Debasish, 2018. "Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach," Finance Research Letters, Elsevier, vol. 26(C), pages 32-39.
    8. Tekçe, Bülent & Yılmaz, Neslihan & Bildik, Recep, 2016. "What factors affect behavioral biases? Evidence from Turkish individual stock investors," Research in International Business and Finance, Elsevier, vol. 37(C), pages 515-526.
    9. Florian Meier, 2020. "The Age of Cheap Money and Passive Investing: Are Pro Forma Earnings Value Relevant?," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 9(2), pages 1-1.
    10. Liu, Jian-Guo & Yang, Zhen-Hua & Li, Sheng-Nan & Yu, Chang-Rui, 2018. "A generative model for the collective attention of the Chinese stock market investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1175-1182.
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  13. Kent Daniel, 2002. "Discussion of "Why Don't Issuers Get Upset About Leaving Money on the Table in IPOs?"," The Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 445-454, March.

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    1. Klova, Valeriia, 2017. "IPO underpricing: What about the shipping sector?," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 95-115.
    2. Marco Rummer & Andreas Oehler & Peter N. Smith, 2004. "IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany," Money Macro and Finance (MMF) Research Group Conference 2004 62, Money Macro and Finance Research Group.
    3. Lowry, Michelle & Schwert, G. William, 2004. "Is the IPO pricing process efficient?," Journal of Financial Economics, Elsevier, vol. 71(1), pages 3-26, January.
    4. Michael Willenborg & Biyu Wu & Yanhua Sunny Yang, 2015. "Issuer Operating Performance and IPO Price Formation," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 53(5), pages 1109-1149, December.
    5. Dunbar, Craig G. & Foerster, Stephen R., 2008. "Second time lucky? Withdrawn IPOs that return to the market," Journal of Financial Economics, Elsevier, vol. 87(3), pages 610-635, March.
    6. Trauten, Andreas, 2004. "Zur Effizienz von Wertpapieremissionen über Internetplattformen," Working Papers 8, University of Münster, Competence Center Internet Economy and Hybrid Systems, European Research Center for Information Systems (ERCIS).

  14. Daniel, Kent, 2001. "The power and size of mean reversion tests," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 493-535, December.

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    1. Sandip Mukherji, 2011. "Are stock returns still mean‐reverting?," Review of Financial Economics, John Wiley & Sons, vol. 20(1), pages 22-27, January.
    2. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, University Library of Munich, Germany.
    3. Pierre Perron & Sungju Chun & Cosme Vodounou, 2011. "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices," Boston University - Department of Economics - Working Papers Series WP2011-055, Boston University - Department of Economics.
    4. Mukherji, Sandip, 2011. "Are stock returns still mean-reverting?," Review of Financial Economics, Elsevier, vol. 20(1), pages 22-27, January.
    5. Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
    6. Zura Kakushadze, 2014. "Mean-Reversion and Optimization," Papers 1408.2217, arXiv.org, revised Feb 2016.
    7. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
    8. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    9. John B. Donaldson & Rajnish Mehra, 2021. "Average crossing time: An alternative characterization of mean aversion and reversion," Quantitative Economics, Econometric Society, vol. 12(3), pages 903-944, July.
    10. Dwight R. Sanders & Scott H. Irwin, 2010. "A speculative bubble in commodity futures prices? Cross‐sectional evidence," Agricultural Economics, International Association of Agricultural Economists, vol. 41(1), pages 25-32, January.
    11. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
    12. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
    13. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.

  15. Kent Daniel & Sheridan Titman & K.C. John Wei, 2001. "Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, American Finance Association, vol. 56(2), pages 743-766, April.
    See citations under working paper version above.
  16. Daniel, Kent, et al, 1997. "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, vol. 52(3), pages 1035-1058, July.

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    2. Smajlbegovic, Esad, 2015. "Regional Economic Activity and Stock Returns," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112854, Verein für Socialpolitik / German Economic Association.
    3. Franzoni, Francesco & Ben-David, Itzhak & Moussawi, Rabih & Sedunov, John, 2019. "The Granular Nature of Large Institutional Investors," CEPR Discussion Papers 13427, C.E.P.R. Discussion Papers.
    4. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2015. "Gender, style diversity, and their effect on fund performance," Research in International Business and Finance, Elsevier, vol. 35(C), pages 57-74.
    5. In, Francis & Kim, Martin & Park, Raphael Jonghyeon & Kim, Sangbae & Kim, Tong Suk, 2014. "Competition of socially responsible and conventional mutual funds and its impact on fund performance," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 160-176.
    6. Shamim Ahmed & Ziwen Bu & Xiaoxia Ye, 2025. "Illiquidity, R&D Investment, and Stock Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 57(4), pages 981-1022, June.
    7. Gokkaya, Sinan & Liu, Xi & Stulz, René M., 2023. "Do firms with specialized M&A staff make better acquisitions?," Journal of Financial Economics, Elsevier, vol. 147(1), pages 75-105.
    8. Anginer, Deniz, 2010. "Liquidity clienteles : transaction costs and investment decisions of individual investors," Policy Research Working Paper Series 5318, The World Bank.
    9. Paolo Pasquariello & Clara Vega, 2015. "Strategic Cross-Trading in the U.S. Stock Market," Review of Finance, European Finance Association, vol. 19(1), pages 229-282.
    10. Gu, Chen & Guo, Xu & Zhang, Chengping, 2022. "Analyst target price revisions and institutional herding," International Review of Financial Analysis, Elsevier, vol. 82(C).
    11. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
    12. Anastassia Fedyk, 2018. "Disagreement after News: Gradual Information Diffusion or Differences of Opinion?," 2018 Meeting Papers 1095, Society for Economic Dynamics.
    13. Christian Bach & Peter O. Christensen, 2016. "Consumption-based equity valuation," Review of Accounting Studies, Springer, vol. 21(4), pages 1149-1202, December.
    14. Hong, Xin & Jordan, Bradford D. & Liu, Mark H., 2015. "Industry information and the 52-week high effect," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 111-130.
    15. Hong, Harrison & Kostovetsky, Leonard, 2012. "Red and blue investing: Values and finance," Journal of Financial Economics, Elsevier, vol. 103(1), pages 1-19.
    16. Engelberg, Joseph & Gao, Pengjie & Parsons, Christopher A., 2012. "Friends with money," Journal of Financial Economics, Elsevier, vol. 103(1), pages 169-188.
    17. Michael Firth & Chen Lin & Ping Liu & Yuhai Xuan, 2013. "The Client Is King: Do Mutual Fund Relationships Bias Analyst Recommendations?," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 51(1), pages 165-200, March.
    18. Louis, Henock & White, Hal, 2007. "Do managers intentionally use repurchase tender offers to signal private information? Evidence from firm financial reporting behavior," Journal of Financial Economics, Elsevier, vol. 85(1), pages 205-233, July.
    19. Azi Ben‐Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2021. "Information Consumption and Asset Pricing," Journal of Finance, American Finance Association, vol. 76(1), pages 357-394, February.
    20. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
    21. Xu, Zhiwei & Yang, Yinan & Zhang, Teng, 2026. "Investor disagreement and state-dependent mispricing: New evidence on the analyst dispersion anomaly," Journal of Banking & Finance, Elsevier, vol. 182(C).
    22. Jin, Han & Mazouz, Khelifa & Wu, Yuliang & Xu, Bin, 2023. "Can star analysts make superior coverage decisions in poor information environment?," Journal of Banking & Finance, Elsevier, vol. 146(C).
    23. Jules Van Binsbergen & Jungsuk Han & Hongxun Ruan & Ran Xing, 2024. "A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions," Journal of Finance, American Finance Association, vol. 79(3), pages 1831-1882, June.
    24. Lin, Jing & An, Yunbi & Yang, Jun & Liang, Yinhe, 2019. "Price inversion and post lock-up period returns on private investments in public equity in China: An interest transfer perspective," Journal of Corporate Finance, Elsevier, vol. 54(C), pages 47-84.
    25. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
    26. Rama Malladi & Frank J. Fabozzi, 2017. "Skillful hiding: evaluating hedge fund managers’ performance based on what they hide," Applied Economics, Taylor & Francis Journals, vol. 49(7), pages 664-676, February.
    27. Beber, Alessandro & Brandt, Michael W. & Cen, Jason & Kavajecz, Kenneth A., 2021. "Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 74-93.
    28. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, vol. 63(3), pages 315-349, March.
    29. H. Pierre Hsieh & Imen Tebourbi & Wen‐Min Lu & Nai‐Yu Liu, 2020. "Mutual fund performance: The decision quality and capital magnet efficiencies," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(5), pages 861-872, July.
    30. Khan, Mostafa Saidur Rahim & Kato, Hideaki Kiyoshi & Bremer, Marc, 2019. "Short sales constraints and stock returns: How do the regulations fare?," Journal of the Japanese and International Economies, Elsevier, vol. 54(C).
    31. Barinov, Alexander, 2017. "Institutional ownership and aggregate volatility risk," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 20-38.
    32. Jeffrey R. Brown & Nellie Liang & Scott Weisbenner, 2007. "Individual Account Investment Options and Portfolio Choice: Behavioral Lessons from 401(k) Plans," NBER Working Papers 13169, National Bureau of Economic Research, Inc.
    33. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, "undated". "Mutual fund trading costs," Rodney L. White Center for Financial Research Working Papers 27-99, Wharton School Rodney L. White Center for Financial Research.
    34. Hirshleifer, David & Teoh, Siew Hong & Yu, Jeff Jiewei, 2009. "Short Arbitrage, Return Asymmetry And The Accrual Anomaly," MPRA Paper 16487, University Library of Munich, Germany.
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    Cited by:

    1. Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 327-351, December.
    2. Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
    3. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    4. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
    5. Stanislav Khrapov, 2012. "Risk Premia: Short and Long-term," Working Papers w0169, Center for Economic and Financial Research (CEFIR).
    6. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad T., 2007. "Euler equations and money market interest rates: A challenge for monetary policy models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1863-1881, October.
    7. Cogley, Timothy, 2002. "Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 309-334, March.
    8. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003. "The Price is (Almost) Right," NBER Working Papers 10131, National Bureau of Economic Research, Inc.
    9. Lars Peter Hansen & John Heaton & Nan Li, 2005. "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers 11476, National Bureau of Economic Research, Inc.
    10. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
    11. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
    12. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
    13. Hong Yan, 2009. "Estimation Uncertainty and the Equity Premium," International Review of Finance, International Review of Finance Ltd., vol. 9(3), pages 243-268, September.
    14. Sun, Jennifer Z., 2025. "Consumption measurement and the limits of insurance: Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 94(C).
    15. Jianfeng Yu, 2012. "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 317-335, October.
    16. Li, Huan, 2020. "Asset pricing with long-run durable expenditure risk," Finance Research Letters, Elsevier, vol. 32(C).
    17. Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon, 2015. "Consumption risk and the cross-section of government bond returns," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 180-200.
    18. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
    19. Balduzzi, Pierluigi & Yao, Tong, 2007. "Testing heterogeneous-agent models: an alternative aggregation approach," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 369-412, March.

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