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Fads, Martingales, and Market Efficiency
0 references·16 citing·42 second hopsampled
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  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990The Noise Trader Approach to Finance1,636 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 2000Price Momentum and Trading Volume1,593 cited
  • 1996Momentum Strategies1,275 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 2000Inefficient Markets1,253 cited
  • 2008Individual Investor Trading and Stock Returns1,014 cited
  • 1992Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior1,003 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2004Market States and Momentum995 cited
  • 2006Market Reactions to Tangible and Intangible Information994 cited
  • 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle944 cited
  • 2008Do Retail Trades Move Markets?903 cited
  • 2016Momentum crashes883 cited
  • 2001

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The High‐Volume Return Premium
860 cited