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Distinguishing Between Rationales for Short‐Horizon Predictability of Stock Returns

Citations

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Cited by:

  1. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
  2. Goh, Jihoon & Jeong, Giho & Kang, Jangkoo, 2022. "The reference dependency of short-term reversal," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 195-211.
  3. Zhaobo Zhu & Licheng Sun & Chris Stivers, 2021. "Price anchors and short‐term reversals," Financial Management, Financial Management Association International, vol. 50(2), pages 425-454, June.
  4. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, March.
  5. 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.
  6. Friesen, Geoffrey C. & Weller, Paul A. & Dunham, Lee M., 2009. "Price trends and patterns in technical analysis: A theoretical and empirical examination," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1089-1100, June.
  7. Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2011. "Decomposing short-term return reversal," Staff Reports 513, Federal Reserve Bank of New York.
  8. Flori, Andrea & Regoli, Daniele, 2021. "Revealing Pairs-trading opportunities with long short-term memory networks," European Journal of Operational Research, Elsevier, vol. 295(2), pages 772-791.
  9. Campbell, John Y. & Ramadorai, Tarun & Schwartz, Allie, 2009. "Caught on tape: Institutional trading, stock returns, and earnings announcements," Journal of Financial Economics, Elsevier, vol. 92(1), pages 66-91, April.
  10. 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.
  11. Jose Gutierrez, 2016. "Reversal of 3‐day losers and continuation of 3‐day winners on the NASDAQ," Review of Financial Economics, John Wiley & Sons, vol. 30(1), pages 68-73, September.
  12. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  13. Kapadia, Nishad & Zekhnini, Morad, 2019. "Do idiosyncratic jumps matter?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 666-692.
  14. Ahmed Imran Hunjra & Tahar Tayachi & Rashid Mehmood & Sidra Malik & Zoya Malik, 2020. "Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets," Risks, MDPI, vol. 8(2), pages 1-14, April.
  15. Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2014. "A Closer Look at the Short-Term Return Reversal," Management Science, INFORMS, vol. 60(3), pages 658-674, March.
  16. Ma, Gaoping & Bouri, Elie & Xu, Yahua & Zhou, Z. Ivy, 2025. "The “night effect” of intraday trading: Evidence from Chinese gold and silver futures markets," Global Finance Journal, Elsevier, vol. 64(C).
  17. Chen, Jiun-Lin & Glabadanidis, Paskalis & Sun, Mingwei, 2022. "The five-factor asset pricing model, short-term reversal, and ownership structure – the case of China," International Review of Financial Analysis, Elsevier, vol. 82(C).
  18. Kang, Moonsoo & Khaksari, S. & Nam, Kiseok, 2018. "Corporate investment, short-term return reversal, and stock liquidity," Journal of Financial Markets, Elsevier, vol. 39(C), pages 68-83.
  19. Olena Onishchenko & Numan Ülkü, 2022. "Investor types' trading around the short‐term reversal pattern," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2627-2647, April.
  20. Hendershott, Terrence & Seasholes, Mark S., 2014. "Liquidity provision and stock return predictability," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 140-151.
  21. Kotaro Miwa, 2019. "Short-Term Return Reversals and Intraday Transactions," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-25, March.
  22. Gutierrez, Jose, 2016. "Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ," Review of Financial Economics, Elsevier, vol. 30(C), pages 68-73.
  23. So, Eric C. & Wang, Sean, 2014. "News-driven return reversals: Liquidity provision ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 114(1), pages 20-35.
  24. Brown, Stephen J. & Sotes-Paladino, Juan & Wang, Jiaguo(George) & Yao, Yaqiong, 2017. "Starting on the wrong foot: Seasonality in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 133-150.
  25. Da, Zhi & Huang, Xing & Jin, Lawrence J., 2021. "Extrapolative beliefs in the cross-section: What can we learn from the crowds?," Journal of Financial Economics, Elsevier, vol. 140(1), pages 175-196.
  26. Heyman, Dries & Lescrauwaet, Michiel & Stieperaere, Hannes, 2019. "Investor attention and short-term return reversals," Finance Research Letters, Elsevier, vol. 29(C), pages 1-6.
  27. Kao, Erin H., 2011. "Momentum and reversals in Taiwan index futures returns during periods of extreme trading imbalance," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 459-467, June.
  28. de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012. "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 371-382.
  29. Hannah Lea Hühn & Hendrik Scholz, 2019. "Reversal and momentum patterns in weekly stock returns: European evidence," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 272-296, April.
  30. Jacob Thomas & Frank Zhang, 2008. "Overreaction to Intra‐industry Information Transfers?," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 46(4), pages 909-940, September.
  31. Cosemans, Mathijs & Frehen, Rik, 2021. "Salience theory and stock prices: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 140(2), pages 460-483.
  32. Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
  33. Shuai Zhao & Yunhai Tong & Zitian Wang & Shaohua Tan, 2016. "Identifying Key Drivers of Return Reversal with Dynamical Bayesian Factor Graph," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-20, November.
  34. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  35. Abul Shamsuddin & Jae H. Kim, 2010. "Short‐Horizon Return Predictability in International Equity Markets," The Financial Review, Eastern Finance Association, vol. 45(2), pages 469-484, May.
  36. Schröder, David & Esterer, Florian, 2012. "A new measure of equity duration: The duration-based explanation of the value premium revisited," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62077, Verein für Socialpolitik / German Economic Association.
  37. Isaenko, Sergey, 2023. "Trading strategies and the frequency of time-series," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 267-283.
  38. Gong, Qiang & Liu, Ming & Liu, Qianqiu, 2015. "Momentum is really short-term momentum," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 169-182.
  39. Udomsak Wongchoti & Chong Soo Pyun, 2005. "Risk‐Adjusted Long‐Term Contrarian Profits: Evidence from Non‐S&P 500 High‐Volume Stocks," The Financial Review, Eastern Finance Association, vol. 40(3), pages 335-359, August.
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