메뉴 건너뛰기




Volumn 15, Issue 2 SPEC., 2002, Pages 533-563

Momentum and Autocorrelation in Stock Returns

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0036115670     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/15.2.533     Document Type: Article
Times cited : (286)

References (26)
  • 1
    • 0031094164 scopus 로고    scopus 로고
    • Parallels Between the Cross-Sectional Predictability of Stock and Country Returns
    • Asness, C., J. Liew, and R. Stevens, 1997, "Parallels Between the Cross-Sectional Predictability of Stock and Country Returns," Journal of Portfolio Management, 23, 79-87.
    • (1997) Journal of Portfolio Management , vol.23 , pp. 79-87
    • Asness, C.1    Liew, J.2    Stevens, R.3
  • 3
    • 0000909526 scopus 로고
    • Evidence That Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings
    • Bernard, V., and J. Thomas, 1990, "Evidence That Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings," Journal of Accounting and Economics, 13, 305-340.
    • (1990) Journal of Accounting and Economics , vol.13 , pp. 305-340
    • Bernard, V.1    Thomas, J.2
  • 4
    • 0007985433 scopus 로고    scopus 로고
    • Macromomentum: Evidence of Predictability in International Equity Markets
    • Cornell University
    • Bhojraj, S., and B. Swaminathan, 2001, "Macromomentum: Evidence of Predictability in International Equity Markets," working paper, Cornell University.
    • (2001) Working Paper
    • Bhojraj, S.1    Swaminathan, B.2
  • 5
    • 21844499145 scopus 로고
    • A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns
    • Boudoukh, I., M. Richardson, and R. Whitelaw, 1994, "A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns," Review of Financial Studies, 1, 539-573.
    • (1994) Review of Financial Studies , vol.1 , pp. 539-573
    • Boudoukh, I.1    Richardson, M.2    Whitelaw, R.3
  • 6
    • 0000433727 scopus 로고
    • A Variance Decomposition for Stock Returns
    • Campbell, J., 1991, "A Variance Decomposition for Stock Returns," Economic Journal, 101, 157-179.
    • (1991) Economic Journal , vol.101 , pp. 157-179
    • Campbell, J.1
  • 7
    • 0345438925 scopus 로고    scopus 로고
    • Momentum, Business Cycle, and Time-Varying Expected Returns
    • Emory University
    • Chordia, T., and L. Shivakumar, 2001, "Momentum, Business Cycle, and Time-Varying Expected Returns," working paper, Emory University.
    • (2001) Working Paper
    • Chordia, T.1    Shivakumar, L.2
  • 8
    • 0039401916 scopus 로고    scopus 로고
    • An Anatomy of Trading Strategies
    • Conrad, J., and G. Kaul, 1998, "An Anatomy of Trading Strategies," Review of Financial Studies, 11, 489-519.
    • (1998) Review of Financial Studies , vol.11 , pp. 489-519
    • Conrad, J.1    Kaul, G.2
  • 9
    • 8744258405 scopus 로고    scopus 로고
    • Investor Psychology and Security Market Under-and Overreactions
    • Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, "Investor Psychology and Security Market Under-and Overreactions," Journal of Finance, 53, 1839-1885.
    • (1998) Journal of Finance , vol.53 , pp. 1839-1885
    • Daniel, K.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 10
    • 0000480869 scopus 로고
    • Efficient Capital Markets: A Review of Theory and Empirical Work
    • Fama, E., 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, 25, 383-417.
    • (1970) Journal of Finance , vol.25 , pp. 383-417
    • Fama, E.1
  • 11
    • 84936823605 scopus 로고
    • Permanent and Temporary Components of Stock Prices
    • Fama, E., and K. French, 1988, "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, 96, 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.1    French, K.2
  • 12
    • 34250890715 scopus 로고
    • Business Conditions and Expected Returns on Stocks and Bonds
    • Fama, E., and K. French, 1989, "Business Conditions and Expected Returns on Stocks and Bonds," Journal of Financial Economics, 25, 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.1    French, K.2
  • 13
    • 38549147867 scopus 로고
    • Common Risk Factors in the Returns on Stocks and Bonds
    • Fama, E., and K. French, 1993, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics, 33, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.1    French, K.2
  • 14
    • 84993845943 scopus 로고
    • Size and Book-to-Market Factors in Earnings and Returns
    • Fama, E., and K. French, 1995, "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, 50, 131-155.
    • (1995) Journal of Finance , vol.50 , pp. 131-155
    • Fama, E.1    French, K.2
  • 15
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor Explanations of Asset Pricing Anomalies
    • Fama, E., and K. French, 1996, "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, 51, 55-84.
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.1    French, K.2
  • 16
    • 0035581626 scopus 로고    scopus 로고
    • Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing
    • Grundy, B., and J. S. Martin, 2001, "Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing," Review of Financial Studies, 14, 29-78.
    • (2001) Review of Financial Studies , vol.14 , pp. 29-78
    • Grundy, B.1    Martin, J.S.2
  • 17
    • 0012166025 scopus 로고    scopus 로고
    • A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
    • Hong, H., and J. Stein, 1999, "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, 54, 2143-2184.
    • (1999) Journal of Finance , vol.54 , pp. 2143-2184
    • Hong, H.1    Stein, J.2
  • 18
    • 84993907227 scopus 로고
    • Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
    • Jegadeesh, N., and S. Titman, 1993, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, 48, 65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 19
    • 21844526648 scopus 로고
    • Overreaction, Delayed Reaction, and Contrarian Profits
    • Jegadeesh, N., and S. Titman, 1995, "Overreaction, Delayed Reaction, and Contrarian Profits," Review of Financial Studies, 8, 973-993.
    • (1995) Review of Financial Studies , vol.8 , pp. 973-993
    • Jegadeesh, N.1    Titman, S.2
  • 20
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
    • Jegadeesh. N., and S. Titman, 2001, "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, 56, 699-720.
    • (2001) Journal of Finance , vol.56 , pp. 699-720
    • Jegadeesh, N.1    Titman, S.2
  • 21
    • 84993888629 scopus 로고
    • Another Look at the Cross-Section of Expected Stock Returns
    • Kothari, S. P., J. Shanken, and R. Sloan, 1995, "Another Look at the Cross-Section of Expected Stock Returns," Journal of Finance, 50, 185-224.
    • (1995) Journal of Finance , vol.50 , pp. 185-224
    • Kothari, S.P.1    Shanken, J.2    Sloan, R.3
  • 22
    • 0142214342 scopus 로고    scopus 로고
    • Temporary Movements in Stock Prices
    • MIT
    • Lewellen, J., 2001, "Temporary Movements in Stock Prices," working paper, MIT.
    • (2001) Working Paper
    • Lewellen, J.1
  • 23
    • 0001173683 scopus 로고
    • When Are Contrarian Profits Due to Stock Market Overreaction?
    • Lo, A., and A. C. MacKinlay, 1990, "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, 3, 175-205.
    • (1990) Review of Financial Studies , vol.3 , pp. 175-205
    • Lo, A.1    MacKinlay, A.C.2
  • 24
    • 0039064917 scopus 로고    scopus 로고
    • Do Industries Explain Momentum?
    • Moskowitz, T., and M. Grinblatt, 1999, "Do Industries Explain Momentum?," Journal of Finance, 54, 1249-1290.
    • (1999) Journal of Finance , vol.54 , pp. 1249-1290
    • Moskowitz, T.1    Grinblatt, M.2
  • 25
    • 21144470684 scopus 로고
    • Temporary Components of Stock Prices: A Skeptic's View
    • Richardson, M., 1993, "Temporary Components of Stock Prices: A Skeptic's View," Journal of Business and Economic Statistics, 11, 199-207.
    • (1993) Journal of Business and Economic Statistics , vol.11 , pp. 199-207
    • Richardson, M.1
  • 26
    • 84924508526 scopus 로고
    • Does the Stock Market Rationally Reflect Fundamental Values?
    • Summers, L., 1986, "Does the Stock Market Rationally Reflect Fundamental Values?" Journal of Finance, 41, 591-601.
    • (1986) Journal of Finance , vol.41 , pp. 591-601
    • Summers, L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.