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The behavior and performance of major types of futures traders
16 references·16 citing·34 second hopsampled
The behavior and performance of major types of futures traders (2002)The behavior and performance of major typ…The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…Herding and Feedback Trading by Institutional and Individual Investors (1999)Herding and Feedback Trading …A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior (1995)Momentum Investment Strategie…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The impact of institutional trading on stock prices (1992)The impact of institutional t…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…U.S. banks’ lending, financial stability, and text-based sentiment analysis (2022)U.S. banks’ lending, financia…Trading activity and price discovery in Bitcoin futures markets (2021)Trading activity and price di…Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China (2021)Investor sentiment and predic…Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models (2021)Forecasting crude oil price i…Does sentiment determine investor trading behaviour? (2020)Does sentiment determine inve…Does investor sentiment affect bank stability? International evidence from lending behavior (2020)Does investor sentiment affec…The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)The impact of speculation on …Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures (2016)Spillovers and Directional Pr…The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets (2014)The Impacts of Individual and…Speculative bubbles in agricultural prices (2014)Speculative bubbles in agricu…Commodity Investing (2012)Commodity InvestingSpeculation and hedging in the currency futures markets: Are they informative to the spot exchange rates (2011)Speculation and hedging in th…Are speculators informed? (2011)Are speculators informed?Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets (2009)Smart Money: The Forecasting …Fundamentals, Trader Activity and Derivative Pricing (2008)Fundamentals, Trader Activity…Exchange Rate Changes and Net Positions of Speculators in the Futures Market (2004)Exchange Rate Changes and Net…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Prospect Theory: An Analysis of Decision under Risk (1979)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Asset Pricing (2001)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1999Herding and Feedback Trading by Institutional and Individual Investors1,587 cited
  • 1995Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior

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1,177 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • Cited by

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    • 2016The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies115 cited
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    • 2021Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China68 cited
    • 2016Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures67 cited
    • 2009Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets57 cited
    • 2011Are speculators informed?55 cited
    • 2021Trading activity and price discovery in Bitcoin futures markets47 cited
    • 2011Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates41 cited
    • 2004Exchange Rate Changes and Net Positions of Speculators in the Futures Market39 cited
    • 2022U.S. banks’ lending, financial stability, and text-based sentiment analysis36 cited
    • 2020Does sentiment determine investor trading behaviour?32 cited
    • 2021Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models32 cited
    • 2020Does investor sentiment affect bank stability? International evidence from lending behavior28 cited
    • 2014The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets27 cited