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Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets
16 references·1 citing·28 second hopsampled
Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets (2009)Momentum Cycles and Limits to Arbitrage E…Individualism and Momentum around the World (2010)Individualism and Momentum ar…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Learning to Be Overconfident (2001)Learning to Be OverconfidentBad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…A model of investor sentiment /A model of investor sentiment…Momentum Crashes (2013)Momentum CrashesCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Continuous Auctions and Insider Trading (1985)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)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)Capital markets research in accounting (2001)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1995The Limits of Arbitrage5,282 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2001Learning to Be Overconfident1,664 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited

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  • 2010Individualism and Momentum around the World1,312 cited
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    • 2013Momentum Crashes29 cited