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Is momentum really momentum?
16 references·16 citing·22 second hopsampled
Is momentum really momentum? (2011)Is momentum really momentum?Value and Momentum Everywhere (2013)Value and Momentum EverywhereProfitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…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…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…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Momentum Strategies (1996)Momentum StrategiesReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A model of investor sentiment /A model of investor sentiment…Factor Momentum and the Momentum Factor (2022)Factor Momentum and the Momen…Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models (2022)Bayesian Solutions for the Fa…Market efficiency in the age of big data (2021)Market efficiency in the age …On the performance of volatility-managed portfolios (2020)On the performance of volatil…Governance under the Gun: Spillover Effects of Hedge Fund Activism (2018)Governance under the Gun: Spi…The effects of institutional investor objectives on firm valuation and governance (2017)The effects of institutional …Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach (2017)Fundamental Analysis and the …A literature review of technical analysis on stock markets (2017)A literature review of techni…Information percolation, momentum and reversal (2016)Information percolation, mome…What explains the dynamics of 100 anomalies? (2015)What explains the dynamics of…The Cross-section of Expected Stock Returns (2015)The Cross-section of Expected…Investor Sentiment, Beta, and the Cost of Equity Capital (2015)Investor Sentiment, Beta, and…Fact, Fiction, and Value Investing (2015)Fact, Fiction, and Value Inve…Do socially (ir)responsible investments pay? New evidence from international ESG data (2015)Do socially (ir)responsible i…Frog in the Pan: Continuous Information and Momentum (2014)Frog in the Pan: Continuous I…The role of shorting, firm size, and time on market anomalies (2012)The role of shorting, firm si…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)On Persistence in Mutual Fund Performance (1997)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)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)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)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 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
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 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
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2013

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Value and Momentum Everywhere
2,225 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1996Momentum Strategies1,275 cited
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    • 2017The effects of institutional investor objectives on firm valuation and governance254 cited
    • 2022Factor Momentum and the Momentum Factor231 cited
    • 2012The role of shorting, firm size, and time on market anomalies213 cited
    • 2017Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach197 cited
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    • 2015What explains the dynamics of 100 anomalies?168 cited
    • 2020On the performance of volatility-managed portfolios166 cited
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