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The death of the overreaction anomaly? A multifactor explanation of contrarian returns
16 references·0 citing·27 second hopsampled
The death of the overreaction anomaly? A multifactor explanation of contrarian returns (2009)The death of the overreaction anomaly? A …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Problems in measuring portfolio performance An application to contrarian investment strategies (1995)Problems in measuring portfol…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Long-Term Market Overreaction or Biases in Computed Returns? (1993)Long-Term Market Overreaction…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Measuring abnormal performance (1992)Measuring abnormal performanceSize, Seasonality, and Stock Market Overreaction (1990)Size, Seasonality, and Stock …Nonstationary expected returns (1989)Nonstationary expected returnsRisk aversion, uncertain information, and market efficiency (1988)Risk aversion, uncertain info…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…On the Contrarian Investment Strategy (1988)On the Contrarian Investment …Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Anomalies: The January Effect (1987)Anomalies: The January EffectDoes the Stock Market Overreact? (1985)Does the Stock Market Overrea…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Good News for Value Stocks: Further Evidence on Market Efficiency (1997)An Anatomy of Trading Strategies (1998)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)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)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Judgment Under Uncertainty: Heuristics and Biases. (1984)Investor Sentiment and the Cross‐Section of Stock Returns (2006)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1992Measuring abnormal performance840 cited
  • 1988On the Contrarian Investment Strategy540 cited
  • 1988Risk aversion, uncertain information, and market efficiency519 cited
  • 1993Long-Term Market Overreaction or Biases in Computed Returns?488 cited
  • 1989Nonstationary expected returns475 cited
  • 1987Anomalies: The January Effect390 cited
  • 1990Size, Seasonality, and Stock Market Overreaction376 cited
  • 1995Problems in measuring portfolio performance An application to contrarian investment strategies

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