SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Streaks in Earnings Surprises and the Cross-Section of Stock Returns
16 references·13 citing·29 second hop
Streaks in Earnings Surprises and the Cross-Section of Stock Returns (2012)Streaks in Earnings Surprises and the Cro…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Investor Inattention and Friday Earnings Announcements (2009)Investor Inattention and Frid…Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Driven to Distraction: Extran…Economic Links and Predictable Returns (2008)Economic Links and Predictabl…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Market Rewards Associated with Patterns of Increasing Earnings (1999)Market Rewards Associated wit…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…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…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…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A model of investor sentiment /A model of investor sentiment…To read or to listen? Does disclosure delivery mode impact investors' reactions to managers' tone language? (2023)To read or to listen? Does di…Hedge Fund Flows and Performance Streaks:How Investors Weigh Information (2022)Hedge Fund Flows and Performa…The impact of heuristic and herding biases on portfolio construction and performance: the case of Greece (2021)The impact of heuristic and h…Open Source Cross-Sectional Asset Pricing (2021)Open Source Cross-Sectional A…Predicting Outcomes in a Sequence of Binary Events: Belief Updating and Gambler’s Fallacy Reasoning (2020)Predicting Outcomes in a Sequ…A review of the Post-Earnings-Announcement Drift (2020)A review of the Post-Earnings…Common Factors in Equity Option Returns (2018)Common Factors in Equity Opti…A Visible (Hot) Hand? Expert Players Bet on the Hot Hand and Win (2018)A Visible (Hot) Hand? Expert …The Trend in Firm Profitability and the Cross-Section of Stock Returns (2017)The Trend in Firm Profitabili…A Visible Hand? Betting on the Hot Hand in Gilovich, Vallone, and Tversky (1985) (2017)A Visible Hand? Betting on th…Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers (Partially Revised Draft) (2016)Surprised by the Gambler's an…Predicting Lotto Numbers (2011)Predicting Lotto NumbersDissecting the Profitability Premium (2010)Dissecting the Profitability …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachMean reversion in stock prices (1988)Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)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)Investor Psychology and Asset Pricing (2001)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Judgment under Uncertainty: Heuristics and Biases (1974)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1975)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • n.d.A model of investor sentiment /4,073 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
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 2009Investor Inattention and Friday Earnings Announcements1,740 cited
  • 2009Driven to Distraction: Extraneous Events and Underreaction to Earnings News1,539 cited
  • 2008Economic Links and Predictable Returns1,411 cited
  • 1996

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

Momentum Strategies
1,275 cited
  • 1997The Delisting Bias in CRSP Data1,057 cited
  • 1999Market Rewards Associated with Patterns of Increasing Earnings909 cited
  • Cited by

    • 2020A review of the Post-Earnings-Announcement Drift77 cited
    • 2017The Trend in Firm Profitability and the Cross-Section of Stock Returns66 cited
    • 2010Dissecting the Profitability Premium60 cited
    • 2021The impact of heuristic and herding biases on portfolio construction and performance: the case of Greece45 cited
    • 2022Hedge Fund Flows and Performance Streaks:How Investors Weigh Information41 cited
    • 2021Open Source Cross-Sectional Asset Pricing40 cited
    • 2023To read or to listen? Does disclosure delivery mode impact investors' reactions to managers' tone language?28 cited
    • 2018Common Factors in Equity Option Returns26 cited
    • 2011Predicting Lotto Numbers5 cited
    • 2018A Visible (Hot) Hand? Expert Players Bet on the Hot Hand and Win5 cited
    • 2017A Visible Hand? Betting on the Hot Hand in Gilovich, Vallone, and Tversky (1985)3 cited
    • 2020Predicting Outcomes in a Sequence of Binary Events: Belief Updating and Gambler’s Fallacy Reasoning1 cited
    • 2016Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers (Partially Revised Draft)0 cited