메뉴 건너뛰기




Volumn 17, Issue 2, 2013, Pages 809-845

Sources of momentum profits: Evidence on the irrelevance of characteristics

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84874233650     PISSN: 15723097     EISSN: 1573692X     Source Type: Journal    
DOI: 10.1093/rof/rfr036     Document Type: Article
Times cited : (64)

References (51)
  • 1
    • 33646922090 scopus 로고    scopus 로고
    • Beauty contests and iterated expectations in asset markets
    • Allen, F., Morris, S., and Shin, H. S. (2006) Beauty contests and iterated expectations in asset markets, Review of Financial Studies 19, 719-752
    • (2006) Review of Financial Studies , vol.19 , pp. 719-752
    • Allen, F.1    Morris, S.2    Shin, H.S.3
  • 2
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and stock returns: Cross-section and time-series effects
    • Amihud, Y. (2002) Illiquidity and stock returns: Cross-section and time-series effects, Journal of Financial Markets 5, 31-56
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 3
    • 33645087144 scopus 로고    scopus 로고
    • The cross-section of volatility and expected returns
    • Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006) The cross-section of volatility and expected returns, Journal of Finance 56, 259-299
    • (2006) Journal of Finance , vol.56 , pp. 259-299
    • Ang, A.1    Hodrick, R.2    Xing, Y.3    Zhang, X.4
  • 4
    • 78650031900 scopus 로고    scopus 로고
    • Price momentum and idiosyncratic volatility
    • Arena, M. P., Haggard, S. K., and Yan, X. S. (2008) Price momentum and idiosyncratic volatility, Financial Review 48, 159-190
    • (2008) Financial Review , vol.48 , pp. 159-190
    • Arena, M.P.1    Haggard, S.K.2    Yan, X.S.3
  • 5
    • 0038992356 scopus 로고    scopus 로고
    • The interaction of value and momentum strategies
    • Asness, C. S. (1997) The interaction of value and momentum strategies, Financial Analysts Journal 53, 29-36
    • (1997) Financial Analysts Journal , vol.53 , pp. 29-36
    • Asness, C.S.1
  • 8
    • 0040141966 scopus 로고    scopus 로고
    • Sorting out sorts
    • Berk, J. B. (2000) Sorting out sorts, Journal of Finance 55, 2503-2520
    • (2000) Journal of Finance , vol.55 , pp. 2503-2520
    • Berk, J.B.1
  • 9
    • 76549128539 scopus 로고    scopus 로고
    • The limits of the limits of arbitrage
    • Brav, A., Heaton, J. B., and Li, S. (2010) The limits of the limits of arbitrage, Review of Finance 14, 157-187
    • (2010) Review of Finance , vol.14 , pp. 157-187
    • Brav, A.1    Heaton, J.B.2    Li, S.3
  • 11
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart, M. (1997) On persistence in mutual fund performance, Journal of Finance 52, 57-82
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.1
  • 12
    • 0003594381 scopus 로고
    • Duxbury Press Wadsworth Inc.), Belmont, California
    • Casella, G. and Berger, R. L. (1990) Statistical Inference. Duxbury Press (Wadsworth Inc.), Belmont, California
    • (1990) Statistical Inference
    • Casella, G.1    Berger, R.L.2
  • 14
    • 8744258405 scopus 로고    scopus 로고
    • Investor psychology and security market under- And over-reactions
    • Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (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
  • 15
    • 0001798665 scopus 로고    scopus 로고
    • Market efficiency in an irrational world
    • Daniel, K. and Titman, S. (1999) Market efficiency in an irrational world, Financial Analysts Journal 55, 28-40
    • (1999) Financial Analysts Journal , vol.55 , pp. 28-40
    • Daniel, K.1    Titman, S.2
  • 16
    • 0039030368 scopus 로고    scopus 로고
    • Characteristics, covariances, and average returns: 1929 to 1997
    • Davis, J. L., Fama, E. F., and French, K. R. (2000) Characteristics, covariances, and average returns: 1929 to 1997, Journal of Finance 55, 389-406
    • (2000) Journal of Finance , vol.55 , pp. 389-406
    • Davis, J.L.1    Fama, E.F.2    French, K.R.3
  • 17
    • 0041669468 scopus 로고    scopus 로고
    • Difference of opinion and the cross-section of stock returns
    • Diether, K. B., Malloy, C. J., and Scherbina, A. (2002) Difference of opinion and the cross-section of stock returns, Journal of Finance 57, 2113-2141
    • (2002) Journal of Finance , vol.57 , pp. 2113-2141
    • Diether, K.B.1    Malloy, C.J.2    Scherbina, A.3
  • 18
    • 0346898286 scopus 로고    scopus 로고
    • Does greater firm-specific return variation mean more or less informed stock pricing
    • Durnev, A., Morck, R., Yeung, B., and Zarowin, P. (2003) Does greater firm-specific return variation mean more or less informed stock pricing? Journal of Accounting Research 41, 797-836
    • (2003) Journal of Accounting Research , vol.41 , pp. 797-836
    • Durnev, A.1    Morck, R.2    Yeung, B.3    Zarowin, P.4
  • 19
    • 41949121381 scopus 로고    scopus 로고
    • Delisted firms and momentum profits
    • Eisdorfer, A. (2008) Delisted firms and momentum profits, Journal of Financial Markets 11, 160-179
    • (2008) Journal of Financial Markets , vol.11 , pp. 160-179
    • Eisdorfer, A.1
  • 20
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. F. and French, K. R. (1992) The cross-section of expected stock returns, Journal of Finance 47, 427-465
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 21
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F. and French, K. R. (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
  • 22
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanations of asset pricing anomalies
    • Fama, E. F. and French, K. R. (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
  • 24
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama, E. F. and MacBeth, J. (1973) Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 71, 921-956
    • (1973) Journal of Political Economy , vol.71 , pp. 921-956
    • Fama, E.F.1    MacBeth, J.2
  • 26
    • 27244437891 scopus 로고    scopus 로고
    • Prospect theory, mental accounting, and momentum
    • Grinblatt, M. and Han, B. (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
  • 27
    • 0035581626 scopus 로고    scopus 로고
    • Understanding the nature of the risks and the source of the rewards to momentum investing
    • Grundy, B. D. and Martin, J. S. (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.D.1    Martin, J.S.2
  • 28
    • 0039372663 scopus 로고    scopus 로고
    • Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies
    • Hong, H., Lim, T., and Stein, J. C. (2000) Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies, Journal of Finance 55, 265-295
    • (2000) Journal of Finance , vol.55 , pp. 265-295
    • Hong, H.1    Lim, T.2    Stein, J.C.3
  • 29
    • 0012166025 scopus 로고    scopus 로고
    • A unified theory of underreaction, momentum trading, and overreaction in asset markets
    • Hong, H. and Stein, J. C. (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.C.2
  • 30
    • 77349101878 scopus 로고    scopus 로고
    • Unpublished working paper, Ohio State University, Baruch College, Princeton University
    • Hou, K., Peng, L., and Xiong, W. (2006) R2 and price inefficiency. Unpublished working paper, Ohio State University, Baruch College, Princeton University
    • (2006) R2 and Price Inefficiency
    • Hou, K.1    Peng, L.2    Xiong, W.3
  • 31
    • 84977718628 scopus 로고
    • Evidence of predictable behavior of security returns
    • Jegadeesh, N. (1990) Evidence of predictable behavior of security returns, Journal of Finance 45, 881-898
    • (1990) Journal of Finance , vol.45 , pp. 881-898
    • Jegadeesh, N.1
  • 32
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh, N. and Titman, S. (1993) Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-93
    • (1993) Journal of Finance , vol.48 , pp. 65-93
    • Jegadeesh, N.1    Titman, S.2
  • 33
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of momentum strategies: An evaluation of alternative explanations
    • Jegadeesh, N. and Titman, S. (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
  • 35
    • 84919214538 scopus 로고
    • The relation between price changes and trading volume: A survey
    • Karpoff, J. M. (1987) The relation between price changes and trading volume: A survey, Journal of Financial and Quantitative Analysis 22, 109-126
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.M.1
  • 36
    • 2942599804 scopus 로고    scopus 로고
    • Are momentum profits robust to trading costs
    • Korajczyk, R. A. and Sadka, R. (2004) Are momentum profits robust to trading costs? Journal of Finance 59, 1039-1082
    • (2004) Journal of Finance , vol.59 , pp. 1039-1082
    • Korajczyk, R.A.1    Sadka, R.2
  • 37
    • 0010734388 scopus 로고    scopus 로고
    • Price momentum and trading volume
    • Lee, C. M. C. and Swaminathan, B. (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
  • 38
    • 84963088616 scopus 로고
    • Fads, martingales, and market efficiency
    • Lehmann, B. N. (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.N.1
  • 40
    • 0000808665 scopus 로고
    • On the pricing of corporate debt: The risk structure of interest rates
    • Merton, R. C. (1974) On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance 29, 449-470
    • (1974) Journal of Finance , vol.29 , pp. 449-470
    • Merton, R.C.1
  • 41
    • 0001373089 scopus 로고    scopus 로고
    • The information content of stock markets: Why do emerging markets have synchronous stock price movements?
    • Morck, R., Yeung, B., and Yu, W. (2000) The information content of stock markets: Why do emerging markets have synchronous stock price movements?, Journal of Financial Economics 58, 215-260
    • (2000) Journal of Financial Economics , vol.58 , pp. 215-260
    • Morck, R.1    Yeung, B.2    Yu, W.3
  • 42
    • 84977717063 scopus 로고
    • The long-run performance of initial public offerings
    • Ritter, J. R. (1991) The long-run performance of initial public offerings, Journal of Finance 46, 3-27
    • (1991) Journal of Finance , vol.46 , pp. 3-27
    • Ritter, J.R.1
  • 43
    • 34247184087 scopus 로고    scopus 로고
    • Firm-specific attributes and the cross-section of momentum
    • Sagi, J. S. and Seasholes, M. S. (2007) Firm-specific attributes and the cross-section of momentum, Journal of Financial Economics 84, 389-434
    • (2007) Journal of Financial Economics , vol.84 , pp. 389-434
    • Sagi, J.S.1    Seasholes, M.S.2
  • 44
    • 66449085905 scopus 로고    scopus 로고
    • Anomalies and market efficiency
    • G.M. Constantinides, M. Harris, R.M. Stulz (eds. North-Holland, Amsterdam
    • Schwert, G. W. (2003) Anomalies and market efficiency, in: G.M. Constantinides, M. Harris, R.M. Stulz (eds.), Handbook of the Economics of Finance. Vol. 1b, North-Holland, Amsterdam, pp. 939- 974
    • (2003) Handbook of the Economics of Finance , vol.1 B , pp. 939-974
    • Schwert, G.W.1
  • 46
    • 0038850169 scopus 로고    scopus 로고
    • The delisting bias in CRSP's Nasdaq data and its implications for the size effect
    • Shumway, T. and Warther, V. A. (1999) The delisting bias in CRSP's Nasdaq data and its implications for the size effect, Journal of Finance 54, 2361-2379
    • (1999) Journal of Finance , vol.54 , pp. 2361-2379
    • Shumway, T.1    Warther, V.A.2
  • 51
    • 33645072225 scopus 로고    scopus 로고
    • Information uncertainty and stock returns
    • Zhang, X. F. (2006) Information uncertainty and stock returns, Journal of Finance 61, 105-136
    • (2006) Journal of Finance , vol.61 , pp. 105-136
    • Zhang, X.F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.