-
1
-
-
38249006507
-
Nonstationary expected returns: Implications for tests of market efficiency and serial correlation in returns
-
and.
-
Ball, Ray, and S.P. Kothari, 1989, Nonstationary expected returns: Implications for tests of market efficiency and serial correlation in returns, Journal of Financial Economics 25, 51 74.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 51-74
-
-
Ball, R.1
Kothari, S.P.2
-
2
-
-
0002443243
-
Problems in measuring portfolio performance: An application to contrarian investment strategies
-
and.
-
Ball, Ray, S.P. Kothari, and Jay Shanken, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79 107.
-
(1995)
Journal of Financial Economics
, vol.38
, pp. 79-107
-
-
Ball, R.1
Kothari, S.P.2
Shanken, J.3
-
3
-
-
0001949247
-
A model of investor sentiment
-
and.
-
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
-
4
-
-
0007980113
-
Optimal investment, growth options and security returns
-
and.
-
Berk, Jonathan, Richard Green, and Vasant Naik, 1999, Optimal investment, growth options and security returns, Journal of Finance 54, 1553 1607.
-
(1999)
Journal of Finance
, vol.54
, pp. 1553-1607
-
-
Berk, J.1
Green, R.2
Naik, V.3
-
5
-
-
0036100914
-
Competing theories of financial anomalies
-
and.
-
Brav, Alon, and J.B. Heaton, 2002, Competing theories of financial anomalies, Review of Financial Studies 15, 575 606.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 575-606
-
-
Brav, A.1
Heaton, J.B.2
-
6
-
-
0000874311
-
On the contrarian investment strategy
-
Chan, K.C., 1988, On the contrarian investment strategy, Journal of Business 61, 147 163.
-
(1988)
Journal of Business
, vol.61
, pp. 147-163
-
-
Chan, K.C.1
-
7
-
-
0000531103
-
Measuring abnormal performance: Do stocks overreact?
-
and
-
Chopra, Naveen, Josef Lakonishok, and Jay Ritter, 1992, Measuring abnormal performance: Do stocks overreact? Journal of Financial Economics 31, 235 268.
-
(1992)
Journal of Financial Economics
, vol.31
, pp. 235-268
-
-
Chopra, N.1
Lakonishok, J.2
Ritter, J.3
-
8
-
-
0142219306
-
Value versus glamor
-
and.
-
Conrad, Jennifer, Michael Cooper, and Gautam Kaul, 2003, Value versus glamor, Journal of Finance 58, 1969 1995.
-
(2003)
Journal of Finance
, vol.58
, pp. 1969-1995
-
-
Conrad, J.1
Cooper, M.2
Kaul, G.3
-
9
-
-
0000443421
-
Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns
-
Constantinides, George, 1984, Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns, Journal of Financial Economics 13, 65 89.
-
(1984)
Journal of Financial Economics
, vol.13
, pp. 65-89
-
-
Constantinides, G.1
-
10
-
-
8744258405
-
Investor psychology and security market under- and over-reactions
-
and.
-
Daniel, Kent, David Hirshleifer, and A. Subrahmanyam, 1998, Investor psychology and security market under- and over-reactions, Journal of Finance 53, 1839 1885.
-
(1998)
Journal of Finance
, vol.53
, pp. 1839-1885
-
-
Daniel, K.1
Hirshleifer, D.2
Subrahmanyam, A.3
-
11
-
-
84900013243
-
Does the stock market overreact?
-
and
-
DeBondt, Werner, and Richard Thaler, 1985, Does the stock market overreact? Journal of Finance 40, 793 805.
-
(1985)
Journal of Finance
, vol.40
, pp. 793-805
-
-
Debondt, W.1
Thaler, R.2
-
12
-
-
84977703147
-
Further evidence on investor overreaction and stock market seasonaility
-
and.
-
DeBondt, Werner, and Richard Thaler, 1987, Further evidence on investor overreaction and stock market seasonaility, Journal of Finance 42, 557 581.
-
(1987)
Journal of Finance
, vol.42
, pp. 557-581
-
-
Debondt, W.1
Thaler, R.2
-
13
-
-
0037208470
-
The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year
-
and.
-
D'Mello, Ranjan, Steven Ferris, and Chuan-Yang Hwang, 2003, The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year, Journal of Financial Markets 6, 73 98.
-
(2003)
Journal of Financial Markets
, vol.6
, pp. 73-98
-
-
D'Mello, R.1
Ferris, S.2
Hwang C.-Yang3
-
15
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
and.
-
Fama, Eugene, and Kenneth French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3 53.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-53
-
-
Fama, E.1
French, K.2
-
16
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
and.
-
Fama, Eugene, and Kenneth 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
-
17
-
-
0000928969
-
Risk, return and equilibrium: Empirical tests
-
and.
-
Fama, Eugene, and James MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607 636.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.1
MacBeth, J.2
-
18
-
-
6344283134
-
The 52-week high and momentum investing
-
and.
-
George, Thomas, and Chuan-Yang Hwang, 2004, The 52-week high and momentum investing, Journal of Finance 59, 2145 2176.
-
(2004)
Journal of Finance
, vol.59
, pp. 2145-2176
-
-
George, T.1
Hwang C.-Yang2
-
19
-
-
27244437891
-
Prospect theory, mental accounting and momentum
-
and.
-
Grinblatt, Mark, and Bing Han, 2005, Prospect theory, mental accounting and momentum, Journal of Financial Economics 78, 311 339.
-
(2005)
Journal of Financial Economics
, vol.78
, pp. 311-339
-
-
Grinblatt, M.1
Han, B.2
-
20
-
-
0348222334
-
Tax loss trading and wash sales
-
and.
-
Grinblatt, Mark, and Matti Keloharju, 2004, Tax loss trading and wash sales, Journal of Financial Economics 71, 51 76.
-
(2004)
Journal of Financial Economics
, vol.71
, pp. 51-76
-
-
Grinblatt, M.1
Keloharju, M.2
-
21
-
-
1342286223
-
Predicting stock price movements from past returns: The role of consistency and tax loss selling
-
and.
-
Grinblatt, Mark, and Tobias Moskowitz, 2004, Predicting stock price movements from past returns: The role of consistency and tax loss selling, Journal of Financial Economics 71, 541 579.
-
(2004)
Journal of Financial Economics
, vol.71
, pp. 541-579
-
-
Grinblatt, M.1
Moskowitz, T.2
-
22
-
-
0035581626
-
Understanding the nature of the risks and the source of the rewards to momentum investing
-
and.
-
Grundy, Bruce, and Spencer 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, S.2
-
23
-
-
0012166025
-
A unified theory of underreaction, momentum trading and overreaction in asset markets
-
and.
-
Hong, Harrison, 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
-
-
0000372473
-
Price performance of common stock new issues
-
Ibbotson, Roger, 1975, Price performance of common stock new issues, Journal of Financial Economics 2, 235 272.
-
(1975)
Journal of Financial Economics
, vol.2
, pp. 235-272
-
-
Ibbotson, R.1
-
25
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for market efficiency
-
and.
-
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for market efficiency, Journal of Finance 48, 65 91.
-
(1993)
Journal of Finance
, vol.48
, pp. 65-91
-
-
Jegadeesh, N.1
Titman, S.2
-
26
-
-
0041075295
-
Profitability of momentum strategies: An evaluation of alternative explanations
-
and.
-
Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699 718.
-
(2001)
Journal of Finance
, vol.56
, pp. 699-718
-
-
Jegadeesh, N.1
Titman, S.2
-
27
-
-
0001594197
-
The capital gains lock-in effect and equilibrium returns
-
Klein, Peter, 1999, The capital gains lock-in effect and equilibrium returns, Journal of Public Economics 71, 355 378.
-
(1999)
Journal of Public Economics
, vol.71
, pp. 355-378
-
-
Klein, P.1
-
28
-
-
0042203005
-
The capital gains lock-in effect and long-horizon return reversals
-
Klein, Peter, 2001, The capital gains lock-in effect and long-horizon return reversals, Journal of Financial Economics 59, 33 62.
-
(2001)
Journal of Financial Economics
, vol.59
, pp. 33-62
-
-
Klein, P.1
-
29
-
-
0042671244
-
Learning, asset-pricing tests, and market efficiency
-
and.
-
Lewellen, Jonathan, and Jay Shanken, 2002, Learning, asset-pricing tests, and market efficiency, Journal of Finance 57, 1113 1145.
-
(2002)
Journal of Finance
, vol.57
, pp. 1113-1145
-
-
Lewellen, J.1
Shanken, J.2
-
30
-
-
0039064917
-
Do industries explain momentum?
-
and
-
Moskowitz, Tobias, and Mark 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
-
31
-
-
0010104544
-
Are investors reluctant to realize their losses?
-
Odean, Terrence, 1998, Are investors reluctant to realize their losses? Journal of Finance 53, 1775 1798.
-
(1998)
Journal of Finance
, vol.53
, pp. 1775-1798
-
-
Odean, T.1
-
32
-
-
84977722617
-
The buying and selling behavior of individual investors at the turn of the year
-
Ritter, Jay, 1988, The buying and selling behavior of individual investors at the turn of the year, Journal of Finance 43, 701 717.
-
(1988)
Journal of Finance
, vol.43
, pp. 701-717
-
-
Ritter, J.1
-
33
-
-
0002662410
-
Vas ist das? the turn-of-the-year effect and the return premium of small firms
-
Roll, Richard, 1983, Vas ist das? The turn-of-the-year effect and the return premium of small firms, Journal of Portfolio Management 9, 18 28.
-
(1983)
Journal of Portfolio Management
, vol.9
, pp. 18-28
-
-
Roll, R.1
-
34
-
-
0038876381
-
Personal income taxes and the January effect: Small firm stock returns before the War Revenue Act of 1917: A note
-
Schultz, Paul, 1985, Personal income taxes and the January effect: Small firm stock returns before the War Revenue Act of 1917: A note, Journal of Finance 40, 333 344.
-
(1985)
Journal of Finance
, vol.40
, pp. 333-344
-
-
Schultz, P.1
|