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Citations for " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency"

by Jegadeesh, Narasimhan & Titman, Sheridan

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  1. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2014. "The long of it: Odds that investor sentiment spuriously predicts anomaly returns," Journal of Financial Economics, Elsevier, vol. 114(3), pages 613-619.
  2. Jorge Brusa & Wayne Lee & Pu Liu, 2011. "Monday returns and asset pricing," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 332-347, July.
  3. Wong, Wing-Keung & McAleer, Michael, 2009. "Mapping the Presidential Election Cycle in US stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(11), pages 3267-3277.
  4. Harrison Hong & Terence Lim & Jeremy C. Stein, 2000. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies," Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, 02.
  5. Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015. "The Real Value of China's Stock Market," NBER Working Papers 20957, National Bureau of Economic Research, Inc.
  6. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
  7. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
  8. Johan Parmler & Andres Gonzalez, 2007. "Is Momentum Due to Data-snooping?," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 301-318.
  9. James J. Choi & Li Jin & Hongjun Yan, 2013. "Informed Trading and Expected Returns," NBER Working Papers 18680, National Bureau of Economic Research, Inc.
  10. Shangkari V Anusakumar & Ruhani Ali & Chee-Wooi Hooy, 2014. "Are momentum and contrarian effects related? Evidence from the Chinese stock market," Economics Bulletin, AccessEcon, vol. 34(4), pages 2361-2367.
  11. Klein, Rudolf F. & Chow, Victor K., 2013. "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 175-187.
  12. Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004. "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 461-481, September.
  13. Brian Bell & Stephen Machin, 2016. "Minimum Wages and Firm Value," CEP Discussion Papers dp1404, Centre for Economic Performance, LSE.
  14. Liew, Jimmy & Vassalou, Maria, 1999. "Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth," CEPR Discussion Papers 2180, C.E.P.R. Discussion Papers.
  15. Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December.
  16. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
  17. Guo, Xu & Lam, Kin & Wong, Wing-Keung & Zhu, Lixing, 2012. "A New Pseudo-Bayesian Model of Investors' Behavior in Financial Crises," MPRA Paper 42535, University Library of Munich, Germany.
  18. David S. Sun & Shih-Chuan Tsai & Wei Wang, 2013. "Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 49(S3), pages 47-61, July.
  19. Emilios C. Galariotis & Phil Holmes & Vasileios Kallinterakis & Xiaodong S. Ma, 2014. "Market states, expectations, sentiment and momentum: How naive are investors?," Post-Print hal-00943345, HAL.
  20. Bård Misund & Petter Osmundsen, 2015. "Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas," CESifo Working Paper Series 5687, CESifo Group Munich.
  21. Kos, Hartwig & Todorovic, Natasa, 2008. "S&P Global Sector survivals: Momentum effects in sector indices underlying iShares," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 520-540, August.
  22. He, Xue-Zhong & Zheng, Huanhuan, 2016. "Trading heterogeneity under information uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 64-80.
  23. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
  24. Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2008. "The Small World of Investing: Board Connections and Mutual Fund Returns," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 951-979, October.
  25. Chaoshin Chiao & David Cheng & Welfeng Hung, 2005. "Overreaction after Controlling for Size and Book-to-Market Effects and its Mimicking Portfolio in Japan," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 65-91, January.
  26. Cristiana Mǎnescu, 2011. "Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk?," Sustainable Development, John Wiley & Sons, Ltd., vol. 19(2), pages 95-118, March/Apr.
  27. : Constantinos Antoniou & : Glenn W. Harrison & : Morten I. Lau & : Daniel Read, 2013. "Revealed Preference and the Strength/Weight Hypothesis," Working Papers wpn13-03, Warwick Business School, Finance Group.
  28. Serban, Alina F., 2010. "Combining mean reversion and momentum trading strategies in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2720-2727, November.
  29. 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.
  30. Koedijk, Kees & Slager, Alfred & Stork, Philip, 2015. "Investing in Systematic Factor Premiums," CEPR Discussion Papers 10824, C.E.P.R. Discussion Papers.
  31. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  32. van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick, 2005. "The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?," Emerging Markets Review, Elsevier, vol. 6(3), pages 238-262, September.
  33. Khandani, Amir E. & Lo, Andrew W., 2011. "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, vol. 14(1), pages 1-46, February.
  34. Aydoğan Alti & Paul C. Tetlock, 2014. "Biased Beliefs, Asset Prices, and Investment: A Structural Approach," Journal of Finance, American Finance Association, vol. 69(1), pages 325-361, 02.
  35. Jungshik Hur & Vivek Singh, 2013. "Does long-term disequilibrium in stock price predict future returns?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 753-767, November.
  36. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models," Papers 1401.1888, arXiv.org, revised Feb 2016.
  37. Markus Glaser & Martin Weber, 2003. "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 55(2), pages 108-135, April.
  38. Rojahn, Joachim & Röhl, Christian W. & Frère, Eric, 2010. "Optimum Portfolio ETF Indices: Benchmarking für multidimensional diversifizierte Wertpapierportfolios," Berichte aus der Forschung der FOM 75202, FOM Hochschule für Oekonomie & Management.
  39. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013. "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 119-143.
  40. Comerton-Forde, Carole & Do, Binh Huu & Gray, Philip & Manton, Tom, 2016. "Assessing the information content of short-selling metrics using daily disclosures," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 188-204.
  41. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  42. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
  43. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
  44. Hung, Weifeng & Lu, Chia-Chi & Lee, Cheng F., 2010. "Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 477-493, November.
  45. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  46. Robert J. Bianchi & Michael E. Drew & John Polichronis, 2005. "A test of momentum trading strategies in foreign exchange markets: evidence from the G7," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 7(2/3), pages 155-179.
  47. Billio, Monica & Calès, Ludovic & Guégan, Dominique, 2011. "Portfolio symmetry and momentum," European Journal of Operational Research, Elsevier, vol. 214(3), pages 759-767, November.
  48. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2013. "Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?," NBER Working Papers 19460, National Bureau of Economic Research, Inc.
  49. Næs, Randi & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2009. "What factors affect the Oslo Stock Exchange?," UiS Working Papers in Economics and Finance 2009/33, University of Stavanger.
  50. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis," MPRA Paper 42510, University Library of Munich, Germany, revised 18 Sep 2012.
  51. Ogneva, Maria & Subramanyam, K.R., 2007. "Does the stock market underreact to going concern opinions? Evidence from the U.S. and Australia," Journal of Accounting and Economics, Elsevier, vol. 43(2-3), pages 439-452, July.
  52. Bianconi, Marcelo & Yoshino, Joe A., 2012. "Firm Market Performance and Volatility in a National Real Estate Sector," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 230-253.
  53. Gikas Hardouvelis & George Papanastasopoulos & Dimitrios D. Thomakos & Tao Wang, 2007. "Accruals, Net Stock Issues and Value-Glamour Anomalies: New Evidence on their Relation," Working Paper Series 47_07, The Rimini Centre for Economic Analysis.
  54. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  55. repec:dau:papers:123456789/11711 is not listed on IDEAS
  56. Konan Chan & Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 2001. "Earnings Quality and Stock Returns," NBER Working Papers 8308, National Bureau of Economic Research, Inc.
  57. Suzuki, Masakazu, 2011. "A Model of Equity Prices with Heterogeneous Beliefs," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 52(1), pages 41-54, June.
  58. Güntay, Levent & Hackbarth, Dirk, 2010. "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2328-2345, October.
  59. 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.
  60. Hong, Harrison & Kubik, Jeffrey D. & Stein, Jeremy C., 2008. "The only game in town: Stock-price consequences of local bias," Journal of Financial Economics, Elsevier, vol. 90(1), pages 20-37, October.
  61. 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.
  62. Wu, Jin (Ginger) & Zhang, Lu, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," Working Paper Series 2010-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  63. Chen, An-Sing & Yang, Wayne, 2016. "Echo effects and the returns from 52-week high strategies," Finance Research Letters, Elsevier, vol. 16(C), pages 38-46.
  64. Blitz, David & Huij, Joop & Martens, Martin, 2011. "Residual momentum," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 506-521, June.
  65. Allaudeen Hameed & Randall Morck & Jianfeng Shen & Bernard Yeung, 2015. "Information, Analysts, and Stock Return Comovement," Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3153-3187.
  66. Ananth Madhavan & David Porter & Daniel Weaver, 2001. "Pre-Trade Transparency," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(17), pages 23-46.
  67. Bartholdy, Jan, 1998. "Changes in earnings-price ratios and excess returns: A case of investor over-reaction," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 237-252.
  68. Cho, David D. & Russell, Jeffrey & Tiao, George C. & Tsay, Ruey, 2003. "The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 133-168, February.
  69. Patnaik, Ila & Shah, Ajay, 2013. "The investment technology of foreign and domestic institutional investors in an emerging market," Journal of International Money and Finance, Elsevier, vol. 39(C), pages 65-88.
  70. Brushwood, James & Dhaliwal, Dan & Fairhurst, Douglas & Serfling, Matthew, 2016. "Property crime, earnings variability, and the cost of capital," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 142-173.
  71. Chelley-Steeley, Patricia & Siganos, Antonios, 2008. "Momentum profits in alternative stock market structures," Journal of Multinational Financial Management, Elsevier, vol. 18(2), pages 131-144, April.
  72. Bettman, Jenni L. & Maher, Thomas R.B. & Sault, Stephen J., 2009. "Momentum profits in the Australian equity market: A matched firm approach," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 565-579, November.
  73. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
  74. Subrahmanyam, Avanidhar, 2009. "The implications of liquidity and order flows for neoclassical finance," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 527-532, November.
  75. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
  76. Levy, Moshe, 2008. "Stock market crashes as social phase transitions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 137-155, January.
  77. Chen, Sheng-Syan & Ho, Kim Wai & Huang, Chia-Wei & Wang, Yanzhi, 2013. "Buyback behavior of initial public offering firms," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 32-42.
  78. Harris, Richard D.F. & Yilmaz, Fatih, 2009. "A momentum trading strategy based on the low frequency component of the exchange rate," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1575-1585, September.
  79. Obrimah, Oghenovo A. & Prakash, Puneet, 2010. "Performance reversals and attitudes towards risk in the venture capital (VC) market," Journal of Economics and Business, Elsevier, vol. 62(6), pages 537-561, November.
  80. Timo WOLLMERSHAEUSER & Robert SCHMIDT, "undated". "Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model," EcoMod2004 330600162, EcoMod.
  81. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, 09.
  82. Andrew Ellul & Craig W. Holden & Pankaj Jain & Robert Jennings, 2003. "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics 24896, London School of Economics and Political Science, LSE Library.
  83. Pae, Yuntaek & Sabbaghi, Navid, 2015. "Equally weighted portfolios vs value weighted portfolios: Reasons for differing betas," Journal of Financial Stability, Elsevier, vol. 18(C), pages 203-207.
  84. Alasdair Brown & Fuyu Yang, 2015. "Salience and the Disposition Effect: Evidence from the Introduction of `Cash-Outs' in Betting Markets," University of East Anglia Applied and Financial Economics Working Paper Series 071, School of Economics, University of East Anglia, Norwich, UK..
  85. Peter Antunovich & David S. Laster, 1999. "Do investors mistake a good company for a good investment?," Staff Reports 60, Federal Reserve Bank of New York.
  86. Dongwei Su, 2011. "An Empirical Analysis of Industry Momentum in Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 4-27, July.
  87. Chen, Cheng & Wang, Yudong, 2017. "Understanding the multifractality in portfolio excess returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 346-355.
  88. Kent Daniel & Tobias J. Moskowitz, 2014. "Momentum Crashes," NBER Working Papers 20439, National Bureau of Economic Research, Inc.
  89. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
  90. Choi, Darwin & Hui, Sam K., 2014. "The role of surprise: Understanding overreaction and underreaction to unanticipated events using in-play soccer betting market," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 614-629.
  91. Mynhardt, H. R. & Plastun, Alex, 2013. "The Overreaction Hypothesis: The Case of Ukrainian Stock Market," MPRA Paper 58941, University Library of Munich, Germany.
  92. Ron Bird & Xiaojun Gao & Danny Yeung, 2017. "Time-series and cross-sectional momentum strategies under alternative implementation strategies," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 230-251, May.
  93. Huang, Alex YiHou, 2012. "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1839-1855.
  94. 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.
  95. Kortas, Mohamed & L'Her, Jean-Francois & Roberge, Mathieu, 2005. "Country selection of emerging equity markets: benefits from country attribute diversification," Emerging Markets Review, Elsevier, vol. 6(1), pages 1-19, April.
  96. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
  97. Alda, Mercedes, 2017. "The relationship between pension funds and the stock market: Does the aging population of Europe affect it?," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 83-97.
  98. 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.
  99. Spierdijk, Laura & Bikker, Jacob A. & van den Hoek, Pieter, 2012. "Mean reversion in international stock markets: An empirical analysis of the 20th century," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 228-249.
  100. Chan, Konan & Ikenberry, David L. & Lee, Inmoo & Wang, Yanzhi, 2010. "Share repurchases as a potential tool to mislead investors," Journal of Corporate Finance, Elsevier, vol. 16(2), pages 137-158, April.
  101. Bialkowski, Jedrzej & Otten, Roger, 2011. "Emerging market mutual fund performance: Evidence for Poland," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 118-130, August.
  102. Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, "undated". "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-40, Swiss Finance Institute.
  103. Lutzenberger, Fabian T., 2014. "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, vol. 23(3), pages 120-130.
  104. Lamont, Owen & Polk, Christopher & Saa-Requejo, Jesus, 2001. "Financial Constraints and Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 529-554.
  105. De Bondt, Werner & Palm, Franz & Wolff, Christian, 2004. "Introduction to the special issue on behavioral finance," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 423-427, September.
  106. Hirshleifer, David & Kewei Hou & Teoh, Siew Hong & Yinglei Zhang, 2004. "Do investors overvalue firms with bloated balance sheets?," Journal of Accounting and Economics, Elsevier, vol. 38(1), pages 297-331, December.
  107. Rath, Subhrendu & Durand, Robert B., 2015. "Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model," Economics Letters, Elsevier, vol. 132(C), pages 139-141.
  108. Francesco Cerigioni, 2016. "Dual Decision Processes and Noise Trading," Working Papers 925, Barcelona Graduate School of Economics.
  109. Frederico Belo & Xiaoji Lin & Santiago Bazdresch, 2014. "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section," Journal of Political Economy, University of Chicago Press, vol. 122(1), pages 129-177.
  110. Karen L. Benson & David R. Gallagher & Patrick Teodorowski, 2007. "Momentum investing and the asset allocation decision," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(4), pages 571-598.
  111. James S. Doran & Danling Jiang & David R. Peterson, 2011. "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, vol. 16(3), pages 685-731.
  112. José Miguel Melo, 2011. "Estratégia Militar e Gestão de Activos: Uma Visão Heurística," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
  113. de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers of Business and Economics 3/2016, Department of Business and Economics, University of Southern Denmark.
  114. Gorman, Larry, 2003. "Conditional performance, portfolio rebalancing, and momentum of small-cap mutual funds," Review of Financial Economics, Elsevier, vol. 12(3), pages 287-300.
  115. Solomon, David H. & Soltes, Eugene & Sosyura, Denis, 2014. "Winners in the spotlight: Media coverage of fund holdings as a driver of flows," Journal of Financial Economics, Elsevier, vol. 113(1), pages 53-72.
  116. Cohen, Lauren & Lou, Dong, 2012. "Complicated firms," Journal of Financial Economics, Elsevier, vol. 104(2), pages 383-400.
  117. Michaela Bär & Alexander Kempf & Stefan Ruenzi, 2010. "Is a Team Different from the Sum of its Parts? Evidence from Mutual Fund Managers," Review of Finance, European Finance Association, vol. 15(2), pages 359-396.
  118. Banerjee, Anurag & Hung, Chi-Hsiou, 2011. "Informed momentum trading versus uninformed "naive" investors strategies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3077-3089, November.
  119. Bing NMI1 Han & Mark Grinblatt, 2001. "The Disposition Effect and Momentum," Yale School of Management Working Papers ysm239, Yale School of Management.
  120. Kamil, Nazrol K.M. & Alhabshi, Syed O. & Bacha, Obiyathulla I. & Masih, Mansur, 2014. "Heads we win, tails you lose: Is there equity in Islamic equity funds?," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 7-28.
  121. Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  122. Gueorgui I. Kolev, 2013. "Two gold return puzzles," Economics Bulletin, AccessEcon, vol. 33(3), pages 1762-1770.
  123. Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics.
  124. Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh, 2014. "How profitable is the Indian stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 44-61.
  125. Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³, 2016. "Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(2), pages 23-35, October.
  126. Harrison Hong & Jeremy C. Stein & Jialin Yu, 2007. "Simple Forecasts and Paradigm Shifts," Journal of Finance, American Finance Association, vol. 62(3), pages 1207-1242, 06.
  127. Zhiwu Chen & Jan Jindra, 2001. "A Valuation Study of Stock-Market Seasonality and Firm Size," Yale School of Management Working Papers ysm199, Yale School of Management.
  128. Yan, Yuxing & Zhang, Shaojun, 2014. "Quality of PIN estimates and the PIN-return relationship," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 137-149.
  129. Miller, Edward M., 2000. "Equilibrium with divergence of opinion," Review of Financial Economics, Elsevier, vol. 9(1), pages 27-41.
  130. Du, Ding & Watkins, Boyce, 2007. "When competing momentum hypotheses really do not compete: How the sources of momentum profits change through time," Journal of Economics and Business, Elsevier, vol. 59(2), pages 130-143.
  131. Chordia, Tarun & Shivakumar, Lakshmanan, 2006. "Earnings and price momentum," Journal of Financial Economics, Elsevier, vol. 80(3), pages 627-656, June.
  132. von Lilienfeld-Toal, Ulf & Ruenzi, Stefan, 2006. "Why managers hold shares of their firm: An empirical analysis," CFR Working Papers 06-11, University of Cologne, Centre for Financial Research (CFR).
  133. Victor DeMiguel & Francisco J. Nogales & Raman Uppal, 2014. "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," Review of Financial Studies, Society for Financial Studies, vol. 27(4), pages 1031-1073.
  134. Prezas, Alexandros P. & Simonyan, Karen & Vasudevan, Gopala, 2010. "Does offshoring create value for shareholders?," Review of Financial Economics, Elsevier, vol. 19(4), pages 179-191, October.
  135. Kenneth A. Froot & Tarun Ramadorai, 2002. "Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals," NBER Working Papers 9080, National Bureau of Economic Research, Inc.
  136. Bowman, Robert G. & Iverson, David, 1998. "Short-run overreaction in the New Zealand stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(5), pages 475-491, November.
  137. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, Elsevier.
  138. Grau-Grau, Alfredo Juan, 2014. "¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish Stock," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 32, pages 705-736, Mayo.
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  1018. Leonardo Becchetti & Rocco Ciciretti & Ambrogio D'Alò, 2016. "Fishing the Corporate Social Responsibility Risk Factors," CEIS Research Paper 368, Tor Vergata University, CEIS, revised 07 Feb 2017.
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  1240. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare
    [The Essentials of the Analysis of Financial Time Series]
    ," MPRA Paper 67175, University Library of Munich, Germany.
  1241. Friesen, Geoffrey C. & Swift, Christopher, 2009. "Overreaction in the thrift IPO aftermarket," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1285-1298, July.
  1242. repec:hrv:faseco:30747193 is not listed on IDEAS
  1243. Tajaddini, Reza & Crack, Timothy Falcon, 2012. "Do momentum-based trading strategies work in emerging currency markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 521-537.
  1244. Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers 137, Department of Economics - University of Zurich, revised Dec 2014.
  1245. Dong Lee, 2009. "How Do Employees View Their Underwater Stock Options?: Evidence from the Stock Option Exchange Program," Journal of Financial Services Research, Springer;Western Finance Association, vol. 35(3), pages 273-296, June.
  1246. 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.
  1247. Celiker, Umut & Chowdhury, Jaideep & Sonaer, Gokhan, 2015. "Do mutual funds herd in industries?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 1-16.
  1248. Du, Ding & Huang, Zhaodan & Blanchfield, Peter J., 2009. "Do fixed income mutual fund managers have managerial skills?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 378-397, May.
  1249. Stivers, Chris & Sun, Licheng & Sun, Yong, 2009. "The other January effect: International, style, and subperiod evidence," Journal of Financial Markets, Elsevier, vol. 12(3), pages 521-546, August.
  1250. Breloer, Bernhard & Scholz, Hendrik & Wilkens, Marco, 2014. "Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 58-77.
  1251. Yue Chen & Lingxiang Li & Haizhi Wang & Peng Wang, 2015. "Institutional investors and conservative financial reporting: evidence from China," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 5(1), pages 161-178, June.
  1252. Wang, Ming-Chang & Cheng, Ming-Yuan, 2014. "The performance synergies between science and engineering and business management backgrounds of managers in high-tech mutual funds: Evidence from Taiwan," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 211-229.
  1253. 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).
  1254. Anchor Lin & Peggy Swanson, 2010. "Contrarian strategies and investor overreaction under price limits," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(4), pages 430-454, October.
  1255. Devraj Basu & Chi-Hsiou Hung & Roel Oomen & Alexander Stremme, 2006. "When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?," Working Papers wpn06-13, Warwick Business School, Finance Group.
  1256. Minardi, A., 2001. "Preços Passados prevendo Desempenho de Ações Brasileiras," Finance Lab Working Papers flwp_43, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  1257. Eckbo, B Espen & Makaew, Tanakorn & Thorburn, Karin S, 2017. "Are stock-financed takeovers opportunistic?," CEPR Discussion Papers 11974, C.E.P.R. Discussion Papers.
  1258. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.
  1259. Jon Eggins & Robert J. Hill, 2008. "Momentum and Contrarian Stock-Market Indices," Discussion Papers 2008-07, School of Economics, The University of New South Wales.
  1260. Mai, Van Anh (Vivian) & Ang, Tze Chuan ‘Chewie’ & Fang, Victor, 2016. "Aggregate volatility risk and the cross-section of stock returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 134-149.
  1261. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.
  1262. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department.
  1263. David R Gallagher & Peter A Gardner & Camille H Schmidt, 2015. "Style factor timing: An application to the portfolio holdings of US fund managers," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 318-350, May.
  1264. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.
  1265. Johnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics 43096, London School of Economics and Political Science, LSE Library.
  1266. Carlos Forner & Sonia Sanabria & Joaquín Marhuenda, 2009. "Post-earnings announcement drift: Spanish evidence," Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(3), pages 207-241, September.
  1267. Xia, Hui & Min, Xinyu & Deng, Shijie, 2015. "Effectiveness of earnings forecasts in efficient global portfolio construction," International Journal of Forecasting, Elsevier, vol. 31(2), pages 568-574.
  1268. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
  1269. Jun-Biao Lina & Ping-Yeh Su, 0. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 0, pages 2.
  1270. Mejda Bahlous, 2013. "Does Cross-Listing Benefit the Shareholders? Evidence from Companies in the GCC Countries?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 345-381, November.
  1271. Zhong-Guo Zhou, 2010. "The high-volume return premium: evidence from the Chinese stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 295-313, October.
  1272. Simonyan, Karen, 2014. "What determines takeover premia: An empirical analysis," Journal of Economics and Business, Elsevier, vol. 75(C), pages 93-125.
  1273. Yawen Hudson & Christopher J. Green, 2013. "Born in the USA? Contagious investor sentiment and UK equity returns," Discussion Paper Series 2013_13, Department of Economics, Loughborough University, revised Nov 2013.
  1274. Mirela Malin & Graham Bornholt, 2010. "Enhancing Contrarian Strategies: Evidence from Developed Markets Indices," Discussion Papers in Finance finance:201001, Griffith University, Department of Accounting, Finance and Economics.
  1275. Du, Ding & Denning, Karen, 2005. "Industry momentum and common factors," Finance Research Letters, Elsevier, vol. 2(3), pages 107-124, September.
  1276. Brown, Lawrence D. & Zhou, Ling, 2015. "Interactions between analysts’ and managers’ earnings forecasts," International Journal of Forecasting, Elsevier, vol. 31(2), pages 501-514.
  1277. Nakajima, Kan & Sasaki, Takafumi, 2010. "Unfunded pension liabilities and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 47-63, January.
  1278. Butt, Hilal Anwar, 2015. "A comparison among various dimensions of illiquidity effect: A case study of Finland," Research in International Business and Finance, Elsevier, vol. 33(C), pages 204-220.
  1279. 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.
  1280. Stefano DellaVigna & Joshua M. Pollet, 2007. "Demographics and Industry Returns," American Economic Review, American Economic Association, vol. 97(5), pages 1667-1702, December.
  1281. Pradosh Simlai, 2012. "Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 291-315.
  1282. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
  1283. Gyamfi-Yeboah, Frank & Ling, David C. & Naranjo, Andy, 2012. "Information, uncertainty, and behavioral effects: Evidence from abnormal returns around real estate investment trust earnings announcements," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1930-1952.
  1284. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
  1285. Guohua Jiang & Donglin Li & Gang Li, 2012. "Capital investment and momentum strategies," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 165-188, August.
  1286. Makarov, Igor & Rytchkov, Oleg, 2012. "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, vol. 147(3), pages 941-966.
  1287. Bing-Huei Lin & Jerry Wang, 2003. "Systematic skewness in asset pricing: an empirical examination of the Taiwan stock market," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1877-1887.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.