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Short-term reaction of stock markets in stressful circumstances
16 references·16 citing·32 second hopsampled
Short-term reaction of stock markets in stressful circumstances (2003)Short-term reaction of stock markets in s…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…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…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)Market efficiency, long-term …International Momentum Strategies (1998)International Momentum Strate…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…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…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Measuring security price performance (1980)Measuring security price perf…The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk (2022)The impact of the COVID-19 pa…The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China (2021)The risk spillover effect of …Revealing Pairs-trading opportunities with long short-term memory networks (2021)Revealing Pairs-trading oppor…The prevalence of price overreactions in the cryptocurrency market (2020)The prevalence of price overr…Momentum effects in the cryptocurrency market after one-day abnormal returns (2020)Momentum effects in the crypt…Price overreactions in the cryptocurrency market (2019)Price overreactions in the cr…International stock market contagion: A CEEMDAN wavelet analysis (2018)International stock market co…Stock overreaction to extreme market events (2017)Stock overreaction to extreme…International stock market liquidity: a review (2016)International stock market li…Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market (2014)Gone in Ten Minutes: Intraday…Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns (2014)Calculating and comparing sec…A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations (2012)A review of the international…Short-term under/overreaction, anticipation or uncertainty avoidance? Evidence from India (2011)Short-term under/overreaction…Stock price reaction following large one-day price changes: UK evidence (2009)Stock price reaction followin…Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange (2007)Short-term overreaction, unde…Foreigners’ perceptions of U.S. markets: Do foreigners exhibit herding tendencies? (2007)Foreigners’ perceptions of U.…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Norm theory: Comparing reality to its alternatives. (1986)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1980Measuring security price performance3,330 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 1998Market 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.12,572 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1998International Momentum Strategies1,813 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2000Price Momentum and Trading Volume1,593 cited
  • 1994Contrarian Investment, Extrapolation, and Risk1,354 cited
  • Cited by

    • 2021The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China108 cited
    • 2014Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns75 cited
    • 2014Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market68 cited
    • 2012A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations65 cited
    • 2017Stock overreaction to extreme market events65 cited
    • 2019Price overreactions in the cryptocurrency market56 cited
    • 2018International stock market contagion: A CEEMDAN wavelet analysis54 cited
    • 2020The prevalence of price overreactions in the cryptocurrency market50 cited
    • 2007Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange48 cited
    • 2021Revealing Pairs-trading opportunities with long short-term memory networks47 cited
    • 2009Stock price reaction following large one-day price changes: UK evidence38 cited
    • 2020Momentum effects in the cryptocurrency market after one-day abnormal returns33 cited
    • 2022The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk32 cited
    • 2007Foreigners’ perceptions of U.S. markets: Do foreigners exhibit herding tendencies?32 cited
    • 2011Short-term under/overreaction, anticipation or uncertainty avoidance? Evidence from India31 cited
    • 2016International stock market liquidity: a review30 cited