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The timing of 52-week high price and momentum
16 references·14 citing·31 second hop
The timing of 52-week high price and momentum (2013)The timing of 52-week high price and mome…Best practices in exploratory factor analysis: four recommendations for getting the most from your analysis (2020)Best practices in exploratory…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…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…International Momentum Strategies (1998)International Momentum Strate…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Judgment Under Uncertainty: Heuristics and Biases. (1984)Judgment Under Uncertainty: H…Judgement under Uncertainty: Heuristics and Biases (1983)Judgement under Uncertainty: …Judgment under uncertainty: Heuristics and biases (1982)Judgment under uncertainty: H…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: H…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Recency bias and the cross-section of international stock returns (2023)Recency bias and the cross-se…The ordering of historical returns and the cross-section of subsequent returns (2021)The ordering of historical re…Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective (2021)Postfundamentals Price Drift …Capital Gains Overhang with a Dynamic Reference Point (2020)Capital Gains Overhang with a…Psikolojik Yanlılıkların Finansal Çerçevede Değerlendirilmesi (2019)Psikolojik Yanlılıkların Fina…How do disposition effect and anchoring bias interact to impact momentum in stock returns? (2019)How do disposition effect and…The 52-week high, q-theory, and the cross section of stock returns (2018)The 52-week high, q-theory, a…The 52-week high, momentum, and investor sentiment (2018)The 52-week high, momentum, a…Do foreign investors mitigate anchoring bias in stock market? Evidence based on post-earnings announcement drift (2018)Do foreign investors mitigate…The Role of Psychological Barriers in Lottery-Related Anomalies (2017)The Role of Psychological Bar…The role of analyst forecasts in the momentum effect (2016)The role of analyst forecasts…The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases? (2015)The 52-week high and momentum…Contrarian strategy and herding behaviour in the Chinese stock market (2015)Contrarian strategy and herdi…Anchoring, the 52-Week High and Post Earnings Announcement Drift (2014)Anchoring, the 52-Week High a…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (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)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)On the psychology of prediction. (1973)Development of NASA-TLX (Task Load Index): Results of Empirical and Theoretical Research (1988)Epistemic Injustice (2007)The Elaboration Likelihood Model of Persuasion (1986)Ethical Decision Making by Individuals in Organizations: An Issue-Contingent Model (1991)Differences between entrepreneurs and managers in large organizations: Biases and heuristics in strategic decision-making (1997)Those Who Understand: Knowledge Growth in Teaching (1986)Advances in prospect theory: Cumulative representation of uncertainty (1992)The weirdest people in the world? (2010)Best Practices in Exploratory Factor Analysis: Four Recommendations for Getting the Most from Your Analysis (2009)Exploratory Factor Analysis: A Five-Step Guide for Novices (2010)A Beginner’s Guide to Factor Analysis: Focusing on Exploratory Factor Analysis (2013)Introduction: epistemic communities and international policy coordination (1992)The Influence of Culture, Community, and the Nested‐Self in the Stress Process: Advancing Conservation of Resources Theory (2001)
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References

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1,813 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • Cited by

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    • 2018The 52-week high, momentum, and investor sentiment43 cited
    • 2018Do foreign investors mitigate anchoring bias in stock market? Evidence based on post-earnings announcement drift41 cited
    • 2014Anchoring, the 52-Week High and Post Earnings Announcement Drift38 cited
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    • 2016The role of analyst forecasts in the momentum effect31 cited
    • 2020Capital Gains Overhang with a Dynamic Reference Point29 cited
    • 2019How do disposition effect and anchoring bias interact to impact momentum in stock returns?25 cited
    • 2021Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective21 cited
    • 2023Recency bias and the cross-section of international stock returns17 cited
    • 2019Psikolojik Yanlılıkların Finansal Çerçevede Değerlendirilmesi3 cited