Return momentum and global portfolio allocations

Journal of Empirical Finance

Volumn 11, Issue 4, 2004, Pages 429-459

  Bange, Mary M ^a   Miller Jr , Thomas W ^b  

^a UNIVERSITY OF SOUTH CAROLINA   (United States)

^b SAINT LOUIS UNIVERSITY   (United States)

Author keywords

Equity allocation by country; Investment houses; Momentum trading; Strategic asset allocation

Indexed keywords

EID: 3342997698     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.02.002     Document Type: Article

References (37)

1. Badrinath S.G. Wahal S. Momentum trading by institutions Journal of Finance 57 2002 2449-2478
2. Bange M.M. Do the portfolios of small investors reflect positive feedback trading? Journal of Financial and Quantitative Analysis 35 2000 239-254
3. Bange, M.M., Miller Jr., T.W. 2002. Return momentum and global portfolio allocations. Olin School of Business Working Paper 2002-06-001. St. Louis: Washington University.
4. Bodie Z. Common stocks as a hedge against inflation Journal of Finance 31 1976 450-470
5. Bollen N.P.B. Busse J.A. On the timing ability of mutual fund managers Journal of Finance 56 2001 1075-1094
6. Brennan M.J. Cao H.H. International portfolio investment flows Journal of Finance 52 1997 1851-1880
7. Chan K. Hameed A. Wilson Tong W. Profitability of momentum strategies in the international equity markets Journal of Financial and Quantitative Analysis 35 2000 153-172
8. Chance D.M. Hemler M. The performance of professional market timers: daily evidence from executed strategies Journal of Financial Economics 62 2001 377-411
9. Chen N.F. Roll R. Ross S.A. Economic forces and the stock market Journal of Business 59 1986 383-403
10. Choe H. Kho B.-C. Stulz R. Do foreign investors destabilize stock markets? The Korean experience in 1997 Journal of Financial Economics 54 1999 227-264
11. Cutler D.M. Poterba J.M. Summers L.H. What moves stock prices? Journal of Portfolio Management 15 1989 3-12
12. Del Guercio D. Tkac P.A. The determinants of the flow of funds of managed portfolios: mutual funds vs. pension funds Journal of Financial and Quantitative Analysis 37 2002 523-557
13. DeLong J.B. Schleifer A. Summers L.H. Waldmann R.J. Positive feedback investment strategies and destabilizing rational speculation Journal of Finance 45 1990 379-396
14. Fama E.F. Stock returns, real activity, inflation and money American Economic Review 7 1981 545-565
15. Fama E.F. Stock returns, expected returns and real activity Journal of Finance 45 1990 1089-1108
16. Flannery M. Protopapadakis A. Macroeconomic factors do influence aggregate stock returns Review of Financial Studies 15 2002 751-782
17. Froot K.A. O'Connell P.G.J. Seasholes M.S. The portfolio flows of international investors Journal of Financial Economics 59 1999 151-193
18. Geske R. Roll R. The fiscal and monetary linkage between stock returns and inflation Journal of Finance 38 1983 1-34
19. Graham B. Dodd D.L. Security Analysis 1934 McGraw-Hill New York
20. Graham J.R. Harvey C.R. Market timing ability and volatility implied in investment newsletters' asset allocation recommendations Journal of Financial Economics 42 1996 397-421
21. Grinblatt M. Keloharju M. The investment behavior and performance of various investor types: a study of Finland's unique data set Journal of Financial Economics 55 2000 43-67
22. Grinblatt M. Keloharju M. What makes investors trade? Journal of Finance 56 2001 589-615
23. Grinblatt M. Titman S. Wermers R. Momentum investment strategies, portfolio performance, and herding: a study of mutual fund behavior American Economic Review 85 1995 1088-1105
24. Ippolito R.A. Consumer reaction to measures of poor quality: evidence from the mutual fund industry Journal of Law & Economics 35 1992 45-70
25. Jaffe J.F. Mahoney J.M. The performance of investment newsletters Journal of Financial Economics 53 1999 289-307
26. Jegadeesh N. Titman S. Returns to buying winners and selling losers, implications for stock market efficiency Journal of Finance 48 1993 65-92
27. Lakonishok J. Shleifer A. Thaler R. Vishny R. Window dressing by pension fund managers American Economic Review 81 1991 227-231
28. Lakonishok J. Shleifer A. Vishny R.W. The impact of institutional trading on stock prices Journal of Financial Economics 32 1992 23-43
29. Lamont, O., 2000. Economic tracking portfolios. Working Paper. University of Chicago Graduate School of Business.
30. Metrick A. Performance evaluation with transactions data: the stock selection of investment newsletters Journal of Finance 54 1999 1743-1775
31. Nofsinger J. Sias R. Herding and feedback trading by institutional and individual investors Journal of Finance 54 1999 2263-2295
32. Pearce D.K. Stock prices and economic news Journal of Business 58 1985 49-67
33. Pearce D.K. Roley V.V. The reaction of stock prices to unanticipated changes in money: a note Journal of Finance 38 1983 1323-1333
34. Rouwenhorst K.G. International momentum strategies Journal of Finance 53 1998 267-284
35. Rouwenhorst K.G. Local return factors and turnover in emerging stock markets Journal of Finance 54 1999 1439-1464
36. Sirri E.R. Tufano P. Costly search and mutual fund flows Journal of Finance 53 1998 1589-1622
37. Wermers R. Mutual fund herding and the impact on stock prices Journal of Finance 54 1999 581-622