-
1
-
-
70350279435
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
-
84960563837
-
Trading volume and serial correlation in stock returns
-
Campbell, J., S. Grossman., and J. Wang. "Trading Volume and Serial Correlation in Stock Returns." Quarterly Journal of Economics, 108 (1993), 905-939
-
(1993)
Quarterly Journal of Economics
, vol.108
, pp. 905-939
-
-
Campbell, J.1
Grossman, S.2
Wang, J.3
-
9
-
-
0002624840
-
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
-
10
-
-
34948856433
-
Monitoring: Which institutions matter
-
Chen, X., J. Harford., and K. Li. "Monitoring: Which Institutions Matter?" Journal of Financial Economics, 86 (2007), 279-305
-
(2007)
Journal of Financial Economics
, vol.86
, pp. 279-305
-
-
Chen, X.1
Harford, J.2
Li, K.3
-
11
-
-
74249097754
-
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
-
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
-
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
-
14
-
-
2942735257
-
Market states and momentum
-
Cooper, M. J., R. C. Gutierrez Jr., and A. Hameed. "Market States and Momentum." Journal of Finance, 59 (2004), 1345-1365
-
(2004)
Journal of Finance
, vol.59
, pp. 1345-1365
-
-
Cooper, M.J.1
Gutierrez, R.C.2
Hameed, A.3
-
15
-
-
84937458811
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
26
-
-
0002636425
-
Market maker activity on nasdaq: Implications for trading volume
-
Gould, J. F., and A. W. Kleidon. "Market Maker Activity on NASDAQ: Implications for Trading Volume." Stanford Journal of Law, Business and Finance, 1 (1994), 1-17
-
(1994)
Stanford Journal of Law, Business and Finance
, vol.1
, pp. 1-17
-
-
Gould, J.F.1
Kleidon, A.W.2
-
27
-
-
0344153902
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
45
-
-
33750492555
-
Investor overconfidence and trading volume
-
Statman, M., S. Thorley., and K. Vorkink. "Investor Overconfidence and Trading Volume." Review of Financial Studies, 19 (2006), 1531-1565
-
(2006)
Review of Financial Studies
, vol.19
, pp. 1531-1565
-
-
Statman, M.1
Thorley, S.2
Vorkink, K.3
|