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An Analysis of the Magnet Effect under Price Limits*
16 references·2 citing·41 second hopsampled
An Analysis of the Magnet Effect under Price Limits* (2009)An Analysis of the Magnet Effect under Pr…Evidence on the speed of convergence to market efficiency (2005)Evidence on the speed of conv…Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Momentum Investing and Busine…Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…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…Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…Momentum Strategies (1996)Momentum StrategiesVolume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New Y…Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Long-Term Market Overreaction or Biases in Computed Returns? (1993)Long-Term Market Overreaction…The Forecast Accuracy of Individual Analysts: Evidence of Systematic Optimism and Pessimism (1991)The Forecast Accuracy of Indi…Pacific-basin capital markets research (1990)Pacific-basin capital markets…Do Security Analysts Overreact (1990)Do Security Analysts OverreactAn Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…A microstructure study of circuit breakers in the Chinese stock markets (2019)A microstructure study of cir…What affects the cool-off duration under price limits? (2013)What affects the cool-off dur…On the psychology of prediction. (1973)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Betting on trends: Intuitive forecasts of financial risk and return (1993)Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test? (1997)Venture capital investment cycles: The impact of public markets (2007)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Chapter 13 Financial decision-making in markets and firms: A behavioral perspective (1995)EVENT STUDY METHODS AND EVIDENCE ON THEIR PERFORMANCE (1995)Underpricing and long-term performance of IPOs in China (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Offering versus Choice in 401(k) Plans: Equity Exposure and Number of Funds (2006)Small Trades and the Cross-Section of Stock Returns (2008)Algorithmic Trading and Market Quality: International Evidence (2020)Market States and Momentum (2004)INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)Investor sentiment and stock returns: Some international evidence (2009)Style investing (2003)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Prospect theory, mental accounting, and momentum (2005)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Replicating Anomalies (2018)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1996Momentum Strategies1,275 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2003Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole955 cited
  • 1990Do Security Analysts Overreact685 cited
  • 1993Long-Term Market Overreaction or Biases in Computed Returns?488 cited
  • 2005Evidence on the speed of convergence to market efficiency456 cited
  • 1989An Examination of the Robustness of the Weekend Effect438 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 1990Pacific-basin capital markets research232 cited
  • 1991The Forecast Accuracy of Individual Analysts: Evidence of Systematic Optimism and Pessimism

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209 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts208 cited
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    • 2013What affects the cool-off duration under price limits?21 cited
    • 2019A microstructure study of circuit breakers in the Chinese stock markets20 cited