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ArticleIndustry momentum and common factors

Ding Du2005

Article2005

Industry momentum and common factors

Ding Du · Karen Craft Denning

22 citations·0/0 files stored·Finance research letters

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1996Multifactor Explanations of Asset Pricing Anomalies 1998Investor Psychology and Security Market Under‐ and Overreactions n.d.A model of investor sentiment /1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 1995Size and Book-to-Market Factors in Earnings and Returns 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.1

Cited by

2019Alpha momentum and alpha reversal in country and industry equity indexes 2018Do firm characteristics matter in explaining the herding effect on returns?2018Industry Herding and the Profitability of Momentum Strategies During Market Crises

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Year2005

Typearticle

Published2005-07-28

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations22

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.frl.2005.05.001

openalex_workW2085782166

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