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Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence
16 references·0 citing·31 second hopsampled
Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence (2011)Enhancement of value portfolio performanc…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…The Value Premium and the CAPM (2006)The Value Premium and the CAPMMomentum and Autocorrelation in Stock Returns (2002)Momentum and Autocorrelation …Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (2000)Value Investing: The Use of H…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…International Momentum Strategies (1998)International Momentum Strate…An Anatomy of Trading Strategies (1998)An Anatomy of Trading Strateg…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…Momentum Strategies (1996)Momentum StrategiesReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …A model of investor sentiment /A model of investor sentiment…Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Market Reactions to Tangible and Intangible Information (2006)Profitability, investment and average returns (2006)Replicating Anomalies (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Continuous Auctions and Insider Trading (1985)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)Common risk factors in the returns on stocks and bonds (1993)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)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Asset Pricing (2001)Value and Momentum Everywhere (2013)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 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
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1998International Momentum Strategies1,813 cited
  • 1996Momentum Strategies1,275 cited
  • 2000Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers1,204 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited

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1998
An Anatomy of Trading Strategies
858 cited
  • 2006The Value Premium and the CAPM519 cited
  • 2002Momentum and Autocorrelation in Stock Returns491 cited
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