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Overreaction of Exchange-Traded Funds During the Bubble of 1998-2002
16 references·10 citing·35 second hop
Overreaction of Exchange-Traded Funds During the Bubble of 1998-2002 (2004)Overreaction of Exchange-Traded Funds Dur…Stock price reaction to news and no-news: drift and reversal after headlines (2003)Stock price reaction to news …Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesThe weighing of evidence and the determinants of confidence (1992)The weighing of evidence and …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Measuring security price performance (1980)Measuring security price perf…Judgment under Uncertainty: Heuristics and Biases (1975)Judgment under Uncertainty: H…Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: H…A model of investor sentiment /A model of investor sentiment…Momentum effects in the cryptocurrency market after one-day abnormal returns (2020)Momentum effects in the crypt…Performance of Exchange Traded Funds during the Brexit Referendum: An Event Study (2018)Performance of Exchange Trade…Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs (2014)Premiums, discounts and feedb…Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds (2014)Premiums and discounts in ETF…The overreaction hypothesis: the case of Ukrainian stock market (2013)The overreaction hypothesis: …Recent developments in exchange‐traded fund literature (2013)Recent developments in exchan…Nonlinearity in the dynamics of financial markets (2010)Nonlinearity in the dynamics …Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply (2009)Stock price dynamics: nonline…Is reversal of large stock‐price declines caused by overreaction or information asymmetry: Evidence from stock and option markets (2009)Is reversal of large stock‐pr…Overreaction diamonds: precursors and aftershocks for significant price changes (2007)Overreaction diamonds: precur…Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)On the psychology of prediction. (1973)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)Event Studies in Economics and Finance (1997)Introductory Econometrics for Finance (2008)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)The Cross-Section of Expected Stock Returns (1992)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Illiquidity and stock returns: cross-section and time-series effects (2002)In Search of Attention (2011)Development of NASA-TLX (Task Load Index): Results of Empirical and Theoretical Research (1988)Epistemic Injustice (2007)
this work references cited by second hop

References

  • 1974Judgment under Uncertainty: Heuristics and Biases28,742 cited
  • 1975Judgment under Uncertainty: Heuristics and Biases22,647 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1980Measuring security price performance3,330 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1992The weighing of evidence and the determinants of confidence1,842 cited

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1996
Mean Reversion in Stock Prices
1,083 cited
  • 2003Stock price reaction to news and no-news: drift and reversal after headlines1,074 cited
  • Cited by

    • 2013Recent developments in exchange‐traded fund literature44 cited
    • 2014Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs37 cited
    • 2007Overreaction diamonds: precursors and aftershocks for significant price changes37 cited
    • 2009Is reversal of large stock‐price declines caused by overreaction or information asymmetry: Evidence from stock and option markets35 cited
    • 2020Momentum effects in the cryptocurrency market after one-day abnormal returns33 cited
    • 2009Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply29 cited
    • 2013The overreaction hypothesis: the case of Ukrainian stock market28 cited
    • 2014Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds27 cited
    • 2018Performance of Exchange Traded Funds during the Brexit Referendum: An Event Study23 cited
    • 2010Nonlinearity in the dynamics of financial markets23 cited