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Filter Rules Based on Price and Volume in Individual Security Overreaction
16 references·16 citing·43 second hopsampled
Filter Rules Based on Price and Volume in Individual Security Overreaction (1999)Filter Rules Based on Price and Volume in…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…An Anatomy of Trading Strategies (1998)An Anatomy of Trading Strateg…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Returns 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…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…Stock return variances (1986)Stock return variancesDoes the Stock Market Overreact? (1985)Does the Stock Market Overrea…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Asset returns and inflation (1977)Asset returns and inflationForecasting cryptocurrency returns and volume using search engines (2019)Forecasting cryptocurrency re…Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation (2017)Are Capital Market Anomalies …Information Shocks and Short-Term Market Underreaction (2016)Information Shocks and Short-…Industries and Stock Return Reversals (2014)Industries and Stock Return R…The Price Impact of Institutional Herding (2011)The Price Impact of Instituti…Empirical cross-sectional asset pricing: a survey (2011)Empirical cross-sectional ass…Who is the more overconfident trader? Individual vs. institutional investors (2010)Who is the more overconfident…The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research? (2009)The Cross‐Section of Expected…Liquidity and the Post-Earnings-Announcement Drift (2009)Liquidity and the Post-Earnin…Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks (2009)Information, Trading Volume, …The Long‐Lasting Momentum in Weekly Returns (2008)The Long‐Lasting Momentum in …Market Maker Inventories and Stock Prices (2007)Market Maker Inventories and …Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns (2005)Distinguishing Between Ration…Momentum and Reversals in Equity‐Index Returns During Periods of Abnormal Turnover and Return Dispersion (2003)Momentum and Reversals in Equ…Evidence of predictability in the cross-section of bank stock returns (2003)Evidence of predictability in…Market States and Momentum (2002)Market States and MomentumThe Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The relationship between return and market value of common stocks (1981)Economic Forces and the Stock Market (1986)Commonality in the determinants of expected stock returns (1996)Common Risk Factors in Currency Markets (2011)Replicating Anomalies (2018)The Noise Trader Approach to Finance (1990)Do Industries Explain Momentum? (1999)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1977Asset returns and inflation2,701 cited
  • 1986Stock return variances1,813 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 1998An Anatomy of Trading Strategies858 cited
  • 1999

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Using genetic algorithms to find technical trading rules
855 cited

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  • 2009The Cross‐Section of Expected Stock Returns: What Have We Learnt from the Past Twenty‐Five Years of Research?191 cited
  • 2017Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation173 cited
  • 2003Evidence of predictability in the cross-section of bank stock returns152 cited
  • 2007Market Maker Inventories and Stock Prices150 cited
  • 2003Momentum and Reversals in Equity‐Index Returns During Periods of Abnormal Turnover and Return Dispersion149 cited
  • 2014Industries and Stock Return Reversals140 cited
  • 2019Forecasting cryptocurrency returns and volume using search engines132 cited
  • 2002Market States and Momentum132 cited
  • 2010Who is the more overconfident trader? Individual vs. institutional investors121 cited
  • 2009Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks119 cited
  • 2011Empirical cross-sectional asset pricing: a survey114 cited
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