-
1
-
-
0037501637
-
Risk adjustment and trading strategies
-
Ahn, Dong H., Jennifer Conrad, and Robert F. Dittmar, 2002, Risk adjustment and trading strategies, Review of Financial Studies 16, 459-485.
-
(2002)
Review of Financial Studies
, vol.16
, pp. 459-485
-
-
Ahn, D.H.1
Conrad, J.2
Dittmar, R.F.3
-
2
-
-
0036221468
-
Asymmetric correlations of equity portfolios
-
Ang, Andrew, and Joseph Chen, 2002, Asymmetric correlations of equity portfolios, Journal of Financial Economics 63, 443-494.
-
(2002)
Journal of Financial Economics
, vol.63
, pp. 443-494
-
-
Ang, A.1
Chen, J.2
-
3
-
-
0002153552
-
Prospect theory and asset prices
-
Barberis, Nicholas, Ming Huang, and Tanos Santos, 2001, Prospect theory and asset prices, Quarterly Journal of Economics 116, 1-53.
-
(2001)
Quarterly Journal of Economics
, vol.116
, pp. 1-53
-
-
Barberis, N.1
Huang, M.2
Santos, T.3
-
4
-
-
0001949247
-
A model of investor sentiment
-
Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307-343.
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 307-343
-
-
Barberis, N.1
Shleifer, A.2
Vishny, R.3
-
5
-
-
0031096836
-
Nonlinearities in the relation between the equity risk premium and the term structure
-
Boudoukh, Jacob, Matthew Richardson, and Robert F. Whitelaw, 1997, Nonlinearities in the relation between the equity risk premium and the term structure, Management Science 43, 371-385.
-
(1997)
Management Science
, vol.43
, pp. 371-385
-
-
Boudoukh, J.1
Richardson, M.2
Whitelaw, R.F.3
-
6
-
-
0032771542
-
By force of habit: A consumption-based explanation of aggregate stock market behavior
-
Campbell, John Y., and John H. Cochrane, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205-251.
-
(1999)
Journal of Political Economy
, vol.107
, pp. 205-251
-
-
Campbell, J.Y.1
Cochrane, J.H.2
-
7
-
-
0042594655
-
Momentum, business cycle and time-varying expected returns
-
Chordia, Tarun, and Lakshmanan Shivakumar, 2002, Momentum, business cycle and time-varying expected returns, Journal of Finance 57, 985-1019.
-
(2002)
Journal of Finance
, vol.57
, pp. 985-1019
-
-
Chordia, T.1
Shivakumar, L.2
-
8
-
-
0033430877
-
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, Review of Financial Studies 12, 901-935.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 901-935
-
-
Cooper, M.1
-
9
-
-
8744258405
-
Investor psychology and investor security market under-and overreactions
-
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, Investor psychology and investor security market under-and overreactions, Journal of Finance 53, 1839-1886.
-
(1998)
Journal of Finance
, vol.53
, pp. 1839-1886
-
-
Daniel, K.1
Hirshleifer, D.2
Subrahmanyam, A.3
-
10
-
-
0036145215
-
Investor psychology in capital markets: Evidence and policy implications
-
Daniel, Kent, David Hirshleifer, and Siew Hong Teoh, 2002, Investor psychology in capital markets: Evidence and policy implications, Journal of Monetary Economics 49, 139-209.
-
(2002)
Journal of Monetary Economics
, vol.49
, pp. 139-209
-
-
Daniel, K.1
Hirshleifer, D.2
Teoh, S.H.3
-
11
-
-
0002014264
-
Evidence on the characteristics of cross sectional variation in stock returns
-
Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross sectional variation in stock returns, Journal of Finance 52, 1-33.
-
(1997)
Journal of Finance
, vol.52
, pp. 1-33
-
-
Daniel, K.1
Titman, S.2
-
12
-
-
84900013243
-
Does the stock market overreact?
-
DeBondt, Werner F. M., and Richard Thaler, 1985, Does the stock market overreact? Journal of Finance 40, 793-808.
-
(1985)
Journal of Finance
, vol.40
, pp. 793-808
-
-
Debondt, W.F.M.1
Thaler, R.2
-
13
-
-
68249136965
-
Comparing predictive accuracy
-
Diebold, Francis X., and Roberto S. Mariano, 1995, Comparing predictive accuracy, Journal of Business and Economic Statistics 13, 253-263.
-
(1995)
Journal of Business and Economic Statistics
, vol.13
, pp. 253-263
-
-
Diebold, F.X.1
Mariano, R.S.2
-
14
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama, Eugene F., and Kenneth R. 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.F.1
French, K.R.2
-
15
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
Fama, Eugene F., and Kenneth R. 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.F.1
French, K.R.2
-
17
-
-
0035583183
-
Learning to be overconfident
-
Gervais, Simon, and Terrance Odean, 2001, Learning to be overconfident, Review of Financial Studies 14, 1-27.
-
(2001)
Review of Financial Studies
, vol.14
, pp. 1-27
-
-
Gervais, S.1
Odean, T.2
-
18
-
-
0041022517
-
On stable factor structures in the pricing of risk: Do time-varying betas help or hurt?
-
Ghysels, Eric, 1998, On stable factor structures in the pricing of risk: Do time-varying betas help or hurt? Journal of Finance 53, 549-573.
-
(1998)
Journal of Finance
, vol.53
, pp. 549-573
-
-
Ghysels, E.1
-
19
-
-
0344153902
-
Momentum investing and business cycle risk: Evidence from pole to pole
-
Griffin, John M., Susan Ji, and J. Spencer Martin, 2003, Momentum investing and business cycle risk: Evidence from pole to pole, Journal of Finance 58, 2515-2547.
-
(2003)
Journal of Finance
, vol.58
, pp. 2515-2547
-
-
Griffin, J.M.1
Ji, S.2
Martin, J.S.3
-
20
-
-
0347843232
-
Predicting stock price movements from past returns: The role of consistency and tax-loss selling
-
forthcoming
-
Grinblatt, Mark, and Tobias J. Moskowitz, 2003, Predicting stock price movements from past returns: The role of consistency and tax-loss selling, Journal of Financial Economics (forthcoming).
-
(2003)
Journal of Financial Economics
-
-
Grinblatt, M.1
Moskowitz, T.J.2
-
21
-
-
0000398111
-
Investor psychology and asset pricing
-
Hirshleifer, David, 2001, Investor psychology and asset pricing, Journal of Finance 56, 1533-1597.
-
(2001)
Journal of Finance
, vol.56
, pp. 1533-1597
-
-
Hirshleifer, D.1
-
22
-
-
0141908239
-
News, events, information acquisition, and serial correlation
-
Holden, Craig W., and Avanidhar Subrahmanyam, 2002, News, events, information acquisition, and serial correlation, Journal of Business 75, 1-32.
-
(2002)
Journal of Business
, vol.75
, pp. 1-32
-
-
Holden, C.W.1
Subrahmanyam, A.2
-
23
-
-
0012166025
-
A unified theory of underreaction, momentum trading, and overreaction in asset markets
-
Hong, Hong, and Jeremy 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
-
24
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for stock market efficiency
-
Jegadeesh, Narasimhan, and Sheridan 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
-
25
-
-
0041075295
-
Profitability of momentum strategies: An evaluation of alternative explanations
-
Jegadeesh, Narasimhan, and Sheridan 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
-
26
-
-
2942599804
-
Are momentum profits robust to trading costs?
-
Korajczyk, Robert, and Ronnie Sadka, 2002, Are momentum profits robust to trading costs? Journal of Finance 59, 1039-1082.
-
(2002)
Journal of Finance
, vol.59
, pp. 1039-1082
-
-
Korajczyk, R.1
Sadka, R.2
-
27
-
-
84993869066
-
Contrarian investment, extrapolation, and risk
-
Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
-
(1994)
Journal of Finance
, vol.49
, pp. 1541-1578
-
-
Lakonishok, J.1
Shleifer, A.2
Vishny, R.W.3
-
28
-
-
0010734388
-
Price momentum and trading volume
-
Lee, Charles M. C., and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069.
-
(2000)
Journal of Finance
, vol.55
, pp. 2017-2069
-
-
Lee, C.M.C.1
Swaminathan, B.2
-
29
-
-
84963088616
-
Fads, martingales, and market efficiency
-
Lehmann, Bruce, 1990, Fads, martingales, and market efficiency, Quarterly Journal of Economics 105, 1-28.
-
(1990)
Quarterly Journal of Economics
, vol.105
, pp. 1-28
-
-
Lehmann, B.1
-
30
-
-
0346307187
-
The illusory nature of momentum profits
-
Lesmond, David A., Michael J. Schill, and Chunsheng Zhou, 2002, The illusory nature of momentum profits, Journal of Financial Economics 71, 349-380.
-
(2002)
Journal of Financial Economics
, vol.71
, pp. 349-380
-
-
Lesmond, D.A.1
Schill, M.J.2
Zhou, C.3
-
31
-
-
0001173683
-
When are contrarian profits due to stock market overeaction?
-
Lo, Andrew W., and A. Craig MacKinlay, 1990, When are contrarian profits due to stock market overeaction? Review of Financial Studies 3, 175-206.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 175-206
-
-
Lo, A.W.1
MacKinlay, A.C.2
-
32
-
-
2942568913
-
Is it overreaction: The performance of value and momentum strategies at long horizons
-
London Business School
-
Nagel, Stefan, 2001, Is it overreaction: The performance of value and momentum strategies at long horizons, Working paper, London Business School.
-
(2001)
Working Paper
-
-
Nagel, S.1
-
33
-
-
0013084399
-
Firm size and cyclical variations in stock returns
-
Perez-Quiros, Gabriel, and Allan Timmermann, 2000, Firm size and cyclical variations in stock returns, Journal of Finance 55, 1229-1262.
-
(2000)
Journal of Finance
, vol.55
, pp. 1229-1262
-
-
Perez-Quiros, G.1
Timmermann, A.2
-
34
-
-
0002215433
-
Book-to-market ratios as predictors of market returns
-
Pontiff, Jeffrey, and Lawrence D. Schall, 1998, Book-to-market ratios as predictors of market returns, Journal of Financial Economics 49, 141-160.
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 141-160
-
-
Pontiff, J.1
Schall, L.D.2
-
35
-
-
0040165125
-
International momentum strategies
-
Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Finance 53, 267-284.
-
(1998)
Journal of Finance
, vol.53
, pp. 267-284
-
-
Rouwenhorst, K.G.1
-
36
-
-
0034367589
-
Herding among security analysts
-
Welch, Ivo, 2000, Herding among security analysts, Journal of Financial Economics 58, 369-396.
-
(2000)
Journal of Financial Economics
, vol.58
, pp. 369-396
-
-
Welch, I.1
-
37
-
-
0034377199
-
Stock market risk and return: An equilibrium approach
-
Whitelaw, Robert F., 2000, Stock market risk and return: An equilibrium approach, Review of Financial Studies 13, 521-547.
-
(2000)
Review of Financial Studies
, vol.13
, pp. 521-547
-
-
Whitelaw, R.F.1
-
38
-
-
84942445003
-
Systematic momentum
-
University of Arizona
-
Yao, Tong, 2002, Systematic momentum, Working paper, University of Arizona.
-
(2002)
Working Paper
-
-
Yao, T.1
|