메뉴 건너뛰기




Volumn 51, Issue 6, 2016, Pages 2015-2046

Continuing overreaction and stock return predictability

Author keywords

[No Author keywords available]

Indexed keywords


EID: 85007337614     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109016000594     Document Type: Conference Paper
Times cited : (43)

References (46)
  • 1
    • 70350279435 scopus 로고    scopus 로고
    • Does financial distress risk drive the momentum anomaly
    • Agarwal, V., and R. Taffler. "Does Financial Distress Risk Drive the Momentum Anomaly?" Financial Management, 37 (2008), 461-484
    • (2008) Financial Management , vol.37 , pp. 461-484
    • Agarwal, V.1    Taffler, R.2
  • 2
    • 31144441417 scopus 로고    scopus 로고
    • Active institutional shareholders and costs of monitoring: Evidence from executive compensation
    • Almazan, A., J. C. Hartzell., and L. T. Starks. "Active Institutional Shareholders and Costs of Monitoring: Evidence from Executive Compensation." Financial Management, 34 (2008), 5-34
    • (2008) Financial Management , vol.34 , pp. 5-34
    • Almazan, A.1    Hartzell, J.C.2    Starks, L.T.3
  • 3
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and stock returns: Cross-section and time-series effects
    • Amihud, Y. "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." Journal of Financial Markets, 5 (2002), 31-56
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 4
    • 78650303693 scopus 로고    scopus 로고
    • Maxing out: Stocks as lotteries and the cross-section of expected returns
    • Bali, T. G., N. Cakici., and R. F. Whitelaw. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns." Journal of Financial Economics, 99 (2011), 427-446
    • (2011) Journal of Financial Economics , vol.99 , pp. 427-446
    • Bali, T.G.1    Cakici, N.2    Whitelaw, R.F.3
  • 5
    • 0040884260 scopus 로고    scopus 로고
    • Boys will be boys: Gender, overconfidence, and common stock investment
    • Barber, B., and T. Odean. "Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment." Quarterly Journal of Economics, 116 (2001), 261-292
    • (2001) Quarterly Journal of Economics , vol.116 , pp. 261-292
    • Barber, B.1    Odean, T.2
  • 6
    • 0012798622 scopus 로고    scopus 로고
    • Aggressiveness and survival of overconfident traders
    • Benos, A. V. "Aggressiveness and Survival of Overconfident Traders." Journal of Financial Markets, 1 (1998), 353-383
    • (1998) Journal of Financial Markets , vol.1 , pp. 353-383
    • Benos, A.V.1
  • 7
    • 0000815591 scopus 로고
    • Ownership structure and voting on antitakeover amendments
    • Brickley, J., R. Lease., and C. Smith Jr. "Ownership Structure and Voting on Antitakeover Amendments." Journal of Financial Economics, 20 (1988), 267-291
    • (1988) Journal of Financial Economics , vol.20 , pp. 267-291
    • Brickley, J.1    Lease, R.2    Smith, C.3
  • 8
  • 9
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart, M. M. "On Persistence in Mutual Fund Performance." Journal of Finance, 52 (1997), 57-82
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.M.1
  • 11
    • 74249097754 scopus 로고    scopus 로고
    • Individualism and momentum around the world
    • Chui, A., S. Titman., and K. C. Wei. "Individualism and Momentum around the World." Journal of Finance, 65 (2010), 361-392
    • (2010) Journal of Finance , vol.65 , pp. 361-392
    • Chui, A.1    Titman, S.2    Wei, K.C.3
  • 12
    • 84993917296 scopus 로고
    • Volume and autocovariances in short-horizon individual security returns
    • Conrad, J., A. Hameed., and C. Niden. "Volume and Autocovariances in Short-Horizon Individual Security Returns." Journal of Finance, 49 (1994), 1305-1329
    • (1994) Journal of Finance , vol.49 , pp. 1305-1329
    • Conrad, J.1    Hameed, A.2    Niden, C.3
  • 13
    • 0033430877 scopus 로고    scopus 로고
    • Filter rules based on price and volume in individual security overreaction
    • Cooper, M. "Filter Rules Based on Price and Volume in Individual Security Overreaction." Review of Financial Studies, 12 (1999), 901-935
    • (1999) Review of Financial Studies , vol.12 , pp. 901-935
    • Cooper, M.1
  • 15
    • 84937458811 scopus 로고    scopus 로고
    • Short-Term trading and stock return anomalies: Momentum, reversal, and share issuance
    • Cremers, M., and A. Pareek. "Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance." Review of Finance, 19 (2015), 1649-1701
    • (2015) Review of Finance , vol.19 , pp. 1649-1701
    • Cremers, M.1    Pareek, A.2
  • 16
    • 84903205903 scopus 로고    scopus 로고
    • Frog in the pan: Continuous information and momentum
    • Da, Z., U. G. Gurun., and M. Warachka. "Frog in the Pan: Continuous Information and Momentum." Review of Financial Studies, 27 (2014), 2171-2218
    • (2014) Review of Financial Studies , vol.27 , pp. 2171-2218
    • Da, Z.1    Gurun, U.G.2    Warachka, M.3
  • 17
    • 8744258405 scopus 로고    scopus 로고
    • Investor psychology and security market underand overreactions
    • Daniel, K., D. Hirshleifer., and A. Subrahmanyam. "Investor Psychology and Security Market Underand Overreactions." Journal of Finance, 53 (1998), 1839-1885
    • (1998) Journal of Finance , vol.53 , pp. 1839-1885
    • Daniel, K.1    Hirshleifer, D.2    Subrahmanyam, A.3
  • 19
    • 0002014264 scopus 로고    scopus 로고
    • Evidence on the characteristics of cross sectional variation in stock returns
    • Daniel, K., and S. Titman. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns." Journal of Finance, 52 (1997), 1-33
    • (1997) Journal of Finance , vol.52 , pp. 1-33
    • Daniel, K.1    Titman, S.2
  • 20
    • 41949121381 scopus 로고    scopus 로고
    • Delisted firms and momentum profits
    • Eisdorfer, A. "Delisted Firms and Momentum Profits." Journal of Financial Markets, 11 (2008), 160-179
    • (2008) Journal of Financial Markets , vol.11 , pp. 160-179
    • Eisdorfer, A.1
  • 21
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. F., and K. R. French. "The Cross-Section of Expected Stock Returns." Journal of Finance, 47 (1992), 427-465
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 22
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F., and K. R. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), 3-56
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 23
    • 84977263167 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama, E. F., and J. D. MacBeth. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, 81 (1973), 607-636
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.F.1    MacBeth, J.D.2
  • 25
    • 58149295931 scopus 로고    scopus 로고
    • Which past returns affect trading volume
    • Glaser, M., and M. Weber. "Which Past Returns Affect Trading Volume?" Journal of Financial Markets, 12 (2009), 1-31
    • (2009) Journal of Financial Markets , vol.12 , pp. 1-31
    • Glaser, M.1    Weber, M.2
  • 27
    • 0344153902 scopus 로고    scopus 로고
    • Momentum investing and business cycle risk: Evidence from pole to pole
    • Griffin, J. M., X. Ji., and J. S. Martin. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole." Journal of Finance, 58 (2003), 2515-2547
    • (2003) Journal of Finance , vol.58 , pp. 2515-2547
    • Griffin, J.M.1    Ji, X.2    Martin, J.S.3
  • 28
    • 27244437891 scopus 로고    scopus 로고
    • Prospect theory, mental accounting, and momentum
    • Grinblatt, M., and B. Han. "Prospect Theory, Mental Accounting, and Momentum." Journal of Financial Economics, 78 (2005), 311-339
    • (2005) Journal of Financial Economics , vol.78 , pp. 311-339
    • Grinblatt, M.1    Han, B.2
  • 29
    • 62449205494 scopus 로고    scopus 로고
    • Sensation seeking, overconfidence, and trading activity
    • Grinblatt, M., and M. Keloharju. "Sensation Seeking, Overconfidence, and Trading Activity." Journal of Finance, 64 (2009), 549-578
    • (2009) Journal of Finance , vol.64 , pp. 549-578
    • Grinblatt, M.1    Keloharju, M.2
  • 30
    • 1342286223 scopus 로고    scopus 로고
    • Predicting stock price movements from past returns: The role of consistency and tax-loss selling
    • Grinblatt, M., and T. J. Moskowitz. "Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax-Loss Selling." Journal of Financial Economics, 71 (2004), 541-579
    • (2004) Journal of Financial Economics , vol.71 , pp. 541-579
    • Grinblatt, M.1    Moskowitz, T.J.2
  • 33
    • 84977718628 scopus 로고
    • Evidence of predictable behavior of security returns
    • Jegadeesh, N. "Evidence of Predictable Behavior of Security Returns." Journal of Finance, 45 (1990), 881-898
    • (1990) Journal of Finance , vol.45 , pp. 881-898
    • Jegadeesh, N.1
  • 34
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh, N., and S. Titman. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, 48 (1993), 65-91
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 35
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of momentum strategies: An evaluation of possible explanations
    • Jegadeesh, N., and S. Titman. "Profitability of Momentum Strategies: An Evaluation of Possible Explanations." Journal of Finance, 56 (2001), 699-720
    • (2001) Journal of Finance , vol.56 , pp. 699-720
    • Jegadeesh, N.1    Titman, S.2
  • 36
    • 0002127536 scopus 로고
    • Causal attribution of success and failure: Cultural psychology of the Japanese self
    • Kitayama, S., H. Takagi., and H. Matsumoto. "Causal Attribution of Success and Failure: Cultural Psychology of the Japanese Self." Japanese Psychological Review, 38 (1995), 247-280
    • (1995) Japanese Psychological Review , vol.38 , pp. 247-280
    • Kitayama, S.1    Takagi, H.2    Matsumoto, H.3
  • 37
    • 0010734388 scopus 로고    scopus 로고
    • Price momentum and trading volume
    • Lee, C. M. C., and B. Swaminathan. "Price Momentum and Trading Volume." Journal of Finance, 55 (2000), 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. "Fads, Martingales, and Market Efficiency." Quarterly Journal of Economics, 105 (1990), 1-28
    • (1990) Quarterly Journal of Economics , vol.105 , pp. 1-28
    • Lehmann, B.N.1
  • 39
    • 0001113302 scopus 로고
    • Ego-involvement and attributions for success and failure
    • Miller, D. T. "Ego-Involvement and Attributions for Success and Failure." Journal of Personality and Social Psychology, 34 (1976), 901-906
    • (1976) Journal of Personality and Social Psychology , vol.34 , pp. 901-906
    • Miller, D.T.1
  • 40
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W., and K. West. "A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, 55 (1987), 703-708
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 41
    • 0346907827 scopus 로고    scopus 로고
    • Volume, volatility, price, and profit when all traders are above average
    • Odean, T. "Volume, Volatility, Price, and Profit When All Traders Are above Average." Journal of Finance, 53 (1998), 1887-1934
    • (1998) Journal of Finance , vol.53 , pp. 1887-1934
    • Odean, T.1
  • 42
    • 0040165125 scopus 로고    scopus 로고
    • International momentum strategies
    • Rouwenhorst, K. G. "International Momentum Strategies." Journal of Finance, 53 (1998), 267-284
    • (1998) Journal of Finance , vol.53 , pp. 267-284
    • Rouwenhorst, K.G.1
  • 43
    • 0012584954 scopus 로고    scopus 로고
    • Local return factors and turnover in emerging stock markets
    • Rouwenhorst, K. G. "Local Return Factors and Turnover in Emerging Stock Markets." Journal of Finance, 54 (1999), 1439-1464
    • (1999) Journal of Finance , vol.54 , pp. 1439-1464
    • Rouwenhorst, K.G.1
  • 44
    • 0347044602 scopus 로고
    • Facilitation of ego-biased attributions by means of self-serving observer feedback
    • Sicoly, F., and M. Ross. "Facilitation of Ego-Biased Attributions by Means of Self-Serving Observer Feedback." Journal of Personality and Social Psychology, 35 (1977), 734-741
    • (1977) Journal of Personality and Social Psychology , vol.35 , pp. 734-741
    • Sicoly, F.1    Ross, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.