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International momentum strategies: a stochastic dominance approach
16 references·16 citing·34 second hopsampled
International momentum strategies: a stochastic dominance approach (2004)International momentum strategies: a stoc…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…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…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…International Momentum Strategies (1998)International Momentum Strate…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Portfolio Selection (1952)Portfolio SelectionReview on Efficiency and Anomalies in Stock Markets (2020)Review on Efficiency and Anom…Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices (2017)Stock market anomalies, marke…Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets (2017)Dynamic correlations between …Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence (2017)Dynamic co-integration and po…Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange (2015)Is gold good for portfolio di…Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China (2014)Stochastic dominance statisti…When do stop-loss rules stop losses? (2013)When do stop-loss rules stop …Test statistics for prospect and Markowitz stochastic dominances with applications (2011)Test statistics for prospect …Gains from diversification on convex combinations: A majorization and stochastic dominance approach (2009)Gains from diversification on…A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction (2009)A pseudo-Bayesian model in fi…Stochastic dominance analysis of Asian hedge funds (2007)Stochastic dominance analysis…The Disappearing Calendar Anomalies in the Singapore Stock Market (2006)The Disappearing Calendar Ano…Stochastic dominance and mean–variance measures of profit and loss for business planning and investment (2006)Stochastic dominance and mean…Stochastic Dominance Analysis of iShares (2006)Stochastic Dominance Analysis…Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach (2006)Revisiting calendar anomalies…Financial Integration for India Stock Market, a Fractional Cointegration Approach (2005)Financial Integration for Ind…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)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)The Behavior of Stock-Market Prices (1965)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)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Fairness and Retaliation: The Economics of Reciprocity (2000)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)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)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)Capital markets research in accounting (2001)Value and Momentum Everywhere (2013)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1952Portfolio Selection4,609 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1998International Momentum Strategies1,813 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 2000Price Momentum and Trading Volume1,593 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1999A New Estimate of Transaction Costs1,340 cited
  • 1994

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Predictable Risk and Returns in Emerging Markets
1,042 cited

Cited by

  • 2006Stochastic dominance and mean–variance measures of profit and loss for business planning and investment164 cited
  • 2007Stochastic dominance analysis of Asian hedge funds136 cited
  • 2006Stochastic Dominance Analysis of iShares116 cited
  • 2017Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices102 cited
  • 2009A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction93 cited
  • 2015Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange92 cited
  • 2006Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach92 cited
  • 2020Review on Efficiency and Anomalies in Stock Markets89 cited
  • 2005Financial Integration for India Stock Market, a Fractional Cointegration Approach89 cited
  • 2011Test statistics for prospect and Markowitz stochastic dominances with applications87 cited
  • 2009Gains from diversification on convex combinations: A majorization and stochastic dominance approach80 cited
  • 2013When do stop-loss rules stop losses?69 cited
  • 2014Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China68 cited
  • 2006The Disappearing Calendar Anomalies in the Singapore Stock Market65 cited
  • 2017Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence64 cited
  • 2017Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets64 cited