메뉴 건너뛰기




Volumn 58, Issue 4, 2003, Pages 1521-1556

Momentum and Reversals in Equity-Index Returns during Periods of Abnormal Turnover and Return Dispersion

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0142157065     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6261.00576     Document Type: Review
Times cited : (94)

References (33)
  • 1
    • 0036117467 scopus 로고    scopus 로고
    • Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations
    • Ahn, Dong-Hyun, Jacob Boudoukh, Matthew Richardson, and Robert Whitelaw, 2002, Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations, The Review of Financial Studies 15, 655-689.
    • (2002) The Review of Financial Studies , vol.15 , pp. 655-689
    • Ahn, D.-H.1    Boudoukh, J.2    Richardson, M.3    Whitelaw, R.4
  • 3
    • 0040212676 scopus 로고    scopus 로고
    • Foreign speculators and emerging equity markets
    • Bekaert, Geert, and Harvey Campbell, 2000, Foreign speculators and emerging equity markets, The Journal of Finance 55, 565-613.
    • (2000) The Journal of Finance , vol.55 , pp. 565-613
    • Bekaert, G.1    Campbell, H.2
  • 4
    • 0029704940 scopus 로고    scopus 로고
    • An empirical examination of information, differences of opinion, and trading activity
    • Bessembinder, Hendrik, Kalok Chan, and Paul Seguin, 1996, An empirical examination of information, differences of opinion, and trading activity, Journal of Financial Economics 40, 105-134.
    • (1996) Journal of Financial Economics , vol.40 , pp. 105-134
    • Bessembinder, H.1    Chan, K.2    Seguin, P.3
  • 5
    • 84993865825 scopus 로고
    • Market statistics and technical analysis: The role of volume
    • Blume, Lawrence, David Easley, and Maureen O'Hara, 1994, Market statistics and technical analysis: The role of volume, The Journal of Finance 49, 153-181.
    • (1994) The Journal of Finance , vol.49 , pp. 153-181
    • Blume, L.1    Easley, D.2    O'Hara, M.3
  • 6
    • 70349218800 scopus 로고
    • Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
    • Bollerslev, Tim, and Jeffrey Wooldridge, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews 11, 143-172.
    • (1992) Econometric Reviews , vol.11 , pp. 143-172
    • Bollerslev, T.1    Wooldridge, J.2
  • 7
    • 21844499145 scopus 로고
    • A tale of three schools: Insights on autocorrelations of short-horizon stock returns
    • Boudoukh, Jacob, Matthew Richardson, and Robert Whitelaw, 1994, A tale of three schools: Insights on autocorrelations of short-horizon stock returns, The Review of Financial Studies 7, 539-573.
    • (1994) The Review of Financial Studies , vol.7 , pp. 539-573
    • Boudoukh, J.1    Richardson, M.2    Whitelaw, R.3
  • 11
    • 0001723963 scopus 로고    scopus 로고
    • An examination of herd behavior in equity markets: An international perspective
    • Chang, Eric, Joseph Cheng, and Ajay Khorana, 2000, An examination of herd behavior in equity markets: An international perspective, Journal of Banking and Finance 24, 1651-1679.
    • (2000) Journal of Banking and Finance , vol.24 , pp. 1651-1679
    • Chang, E.1    Cheng, J.2    Khorana, A.3
  • 12
    • 0000218139 scopus 로고    scopus 로고
    • Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices
    • Chen, Joseph, Harrison Hong, and Jeremy Stein, 2001, forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61, 345-381.
    • (2001) Journal of Financial Economics , vol.61 , pp. 345-381
    • Chen, J.1    Hong, H.2    Stein, J.3
  • 13
    • 0142220582 scopus 로고
    • Equity return dispersions
    • Vanderbilt University
    • Christie, William, and Roger Huang, 1994, Equity return dispersions, Working paper, Vanderbilt University.
    • (1994) Working Paper
    • Christie, W.1    Huang, R.2
  • 14
    • 0002123664 scopus 로고
    • Following the pied piper: Do individual returns herd around the market?
    • Christie, William, and Roger Huang, 1995, Following the pied piper: Do individual returns herd around the market?, Financial Analyst Journal 51, 31-37.
    • (1995) Financial Analyst Journal , vol.51 , pp. 31-37
    • Christie, W.1    Huang, R.2
  • 15
    • 84993917296 scopus 로고
    • Volume and autocovariances in short-horizon individual security returns
    • Conrad, Jennifer, Allaudeen Hameed, and Cathy Niden, 1994, Volume and autocovariances in short-horizon individual security returns, The Journal of Finance 49, 1305-1329.
    • (1994) The Journal of Finance , vol.49 , pp. 1305-1329
    • Conrad, J.1    Hameed, A.2    Niden, C.3
  • 16
    • 0033430877 scopus 로고    scopus 로고
    • Filter rules based on price and volume in individual security overreaction
    • Cooper, Michael, 1999, Filter rules based on price and volume in individual security overreaction, The Review of Financial Studies 12, 901-935.
    • (1999) The Review of Financial Studies , vol.12 , pp. 901-935
    • Cooper, M.1
  • 17
    • 84993924525 scopus 로고
    • Measuring and testing the impact of news on volatility
    • Engle, Robert, and Victor Ng, 1993, Measuring and testing the impact of news on volatility, The Journal of Finance 48, 1749-1778.
    • (1993) The Journal of Finance , vol.48 , pp. 1749-1778
    • Engle, R.1    Ng, V.2
  • 18
    • 0346207692 scopus 로고    scopus 로고
    • Market efficiency, long-term returns, and behavioral finance
    • Fama, Eugene, 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics 49, 283-306.
    • (1998) Journal of Financial Economics , vol.49 , pp. 283-306
    • Fama, E.1
  • 19
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • Glosten, Lawrence, Ravi Jagannathan, and David Runkle, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, The Journal of Finance 48, 1779-1801.
    • (1993) The Journal of Finance , vol.48 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 20
    • 21344493808 scopus 로고
    • Differences of opinion make a horse race
    • Harris, Milton, and Artur Raviv, 1993, Differences of opinion make a horse race, The Review of Financial Studies 6, 473-506.
    • (1993) The Review of Financial Studies , vol.6 , pp. 473-506
    • Harris, M.1    Raviv, A.2
  • 21
    • 4243088649 scopus 로고    scopus 로고
    • Evaluating the effects of incomplete markets on risk sharing and asset pricing
    • Heaton, John, and Deborah Lucas, 1996, Evaluating the effects of incomplete markets on risk sharing and asset pricing, Journal of Political Economy 104, 443-487.
    • (1996) Journal of Political Economy , vol.104 , pp. 443-487
    • Heaton, J.1    Lucas, D.2
  • 23
    • 0034382837 scopus 로고    scopus 로고
    • Trading volume: Definitions, data analysis, and implications of portfolio theory
    • Lo, Andrew, and Jiang Wang, 2000, Trading volume: Definitions, data analysis, and implications of portfolio theory, The Review of Financial Studies 13, 257-300.
    • (2000) The Review of Financial Studies , vol.13 , pp. 257-300
    • Lo, A.1    Wang, J.2
  • 24
    • 0001173683 scopus 로고
    • When are contrarian profits due to stock market overreaction?
    • Lo, Andrew, and A.Craig MacKinlay, 1990, When are contrarian profits due to stock market overreaction?, The Review of Financial Studies 3, 175-205.
    • (1990) The Review of Financial Studies , vol.3 , pp. 175-205
    • Lo, A.1    Mackinlay, A.C.2
  • 26
  • 27
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and auto-correlation consistent covariance matrix
    • Newey,Whitney, and Kenneth West, 1987, A simple positive semi-definite, heteroskedasticity and auto-correlation consistent covariance matrix, Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 28
    • 0039165833 scopus 로고    scopus 로고
    • Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach
    • Scruggs, John, 1998, Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach, The Journal of Finance 53, 575-604.
    • (1998) The Journal of Finance , vol.53 , pp. 575-604
    • Scruggs, J.1
  • 29
    • 21144464942 scopus 로고
    • Volume, volatility, and the dispersion of beliefs
    • Shalen, Catherine, 1993, Volume, volatility, and the dispersion of beliefs, The Review of Financial Studies 6, 405-434.
    • (1993) The Review of Financial Studies , vol.6 , pp. 405-434
    • Shalen, C.1
  • 30
    • 0037402750 scopus 로고    scopus 로고
    • Firm-level return dispersion and the future volatility of aggregate stock market returns
    • Stivers, Christopher, 2003, Firm-level return dispersion and the future volatility of aggregate stock market returns, Journal of Financial Markets 6, 389-411.
    • (2003) Journal of Financial Markets , vol.6 , pp. 389-411
    • Stivers, C.1
  • 31
    • 0033407259 scopus 로고    scopus 로고
    • Stock market overreaction to bad news in good times: A rational expectations equilibrium model
    • Veronesi, Pietro, 1999, Stock market overreaction to bad news in good times: A rational expectations equilibrium model, The Review of Financial Studies 12, 975-1007.
    • (1999) The Review of Financial Studies , vol.12 , pp. 975-1007
    • Veronesi, P.1
  • 32
    • 0007983127 scopus 로고    scopus 로고
    • How does information quality affect stock returns? Results from a dynamic model of learning
    • Veronesi, Pietro, 2000, How does information quality affect stock returns? Results from a dynamic model of learning, The Journal of Finance 55, 807-837.
    • (2000) The Journal of Finance , vol.55 , pp. 807-837
    • Veronesi, P.1
  • 33
    • 84937302781 scopus 로고
    • A model of competitive stock trading volume
    • Wang, Jiang, 1994, A model of competitive stock trading volume, Journal of Political Economy 102, 127-168.
    • (1994) Journal of Political Economy , vol.102 , pp. 127-168
    • Wang, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.