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The Interaction of Value and Momentum Strategies
5 references·16 citing·30 second hop
The Interaction of Value and Momentum Strategies (1997)The Interaction of Value and Momentum Str…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Beta and Return (1993)Beta and ReturnThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Investment CAPM (2017)The Investment CAPMTree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016)Tree-Based Conditional Portfo…What explains the dynamics of 100 anomalies? (2015)What explains the dynamics of…Foundations of Factor Investing (2015)Foundations of Factor Investi…Fact, Fiction, and Value Investing (2015)Fact, Fiction, and Value Inve…A neoclassical interpretation of momentum (2014)A neoclassical interpretation…Style investing, comovement and return predictability (2012)Style investing, comovement a…Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics (2012)Sources of Momentum Profits: …Performance of technical analysis in growth and small cap segments of the US equity market (2011)Performance of technical anal…The Limits of the Limits of Arbitrage (2009)The Limits of the Limits of A…Heterogeneous Beliefs and Momentum Profits (2009)Heterogeneous Beliefs and Mom…Simple Forecasts and Paradigm Shifts (2007)Simple Forecasts and Paradigm…Global Momentum Strategies (2005)Global Momentum StrategiesDo countries or industries explain momentum in Europe? (2004)Do countries or industries ex…Short-term reaction of stock markets in stressful circumstances (2003)Short-term reaction of stock …Contextual Fundamental Analysis Through the Prediction of Extreme Returns (2001)Contextual Fundamental Analys…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The effects of dividend yield and dividend policy on common stock prices and returns (1974)Characteristics, Covariances, and Average Returns: 1929-1997 (1998)Overreaction and Insider Trading: Evidence from Growth and Value Portfolios (1998)The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect (1999)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns (2014)Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market (2014)The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China (2021)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Structure of Scientific Revolutions (1963)Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2011)Modeling the Change of Paradigm: Non-Bayesian Reactions to Unexpected News (2012)Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016)On Persistence in Mutual Fund Performance (1997)Market maturity and mispricing (2016)Large data sets and machine learning: Applications to statistical arbitrage (2019)Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence (2020)Investor Psychology and Security Market Under‐ and Overreactions (1998)Analyzing the Analysts: When Do Recommendations Add Value? (2001)Are Economically Significant Stock Returns and Trading Volumes Driven by Firm‐specific News Releases? (2004)The Relevance of Financial versus Non-Financial Information for the Valuation of Venture Capital-Backed Firms (2012)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Mind Is a Terrible Thing to Change: Confirmatory Bias in Financial Markets (2016)Information percolation, momentum and reversal (2016)Do Investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market (2020)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1993Beta and Return588 cited

Cited by

  • 2015What explains the dynamics of 100 anomalies?168 cited
  • 2007Simple Forecasts and Paradigm Shifts155 cited
  • 2009Heterogeneous Beliefs and Momentum Profits155 cited
  • 2003Short-term reaction of stock markets in stressful circumstances147 cited
  • 2001Contextual Fundamental Analysis Through the Prediction of Extreme Returns132 cited
  • 2012Style investing, comovement and return predictability130 cited
  • 2015Fact, Fiction, and Value Investing127 cited
  • 2016Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns121 cited
  • 2009The Limits of the Limits of Arbitrage120 cited
  • 2011Performance of technical analysis in growth and small cap segments of the US equity market108 cited

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2005
Global Momentum Strategies
105 cited
  • 2017The Investment CAPM95 cited
  • 2012Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics93 cited
  • 2004Do countries or industries explain momentum in Europe?89 cited
  • 2014A neoclassical interpretation of momentum80 cited
  • 2015Foundations of Factor Investing74 cited