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Global industry portfolios and short-term predictability of returns: Is it there?
16 references·0 citing·43 second hopsampled
Global industry portfolios and short-term predictability of returns: Is it there? (2012)Global industry portfolios and short-term…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…Local Return Factors and Turnover in Emerging Stock Markets (1999)Local Return Factors and Turn…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…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)Market efficiency, long-term …International Momentum Strategies (1998)International Momentum Strate…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Filter Rules and Stock-Market Trading (1966)Filter Rules and Stock-Market…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)Capital markets research in accounting (2001)Digesting Anomalies: An Investment Approach (2012)Measuring Business Cycles (1947)A Theory of the Consumption Function (1960)Book Review: Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Some New Stock-Market Indexes (1966)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)A test for independence based on the correlation dimension (1996)Are Investors Reluctant to Realize Their Losses? (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A model of investor sentiment / (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,759 cited
  • 1998Market 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.12,780 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,542 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,311 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,878 cited
  • 1998International Momentum Strategies1,813 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited

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  • 1999Local Return Factors and Turnover in Emerging Stock Markets948 cited
  • 1999Using genetic algorithms to find technical trading rules868 cited
  • 1966Filter Rules and Stock-Market Trading832 cited
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