SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Disposition Effect and Momentum
16 references·7 citing·30 second hopsampled
The Disposition Effect and Momentum (2002)The Disposition Effect and MomentumMental Accounting and Consumer Choice (2008)Mental Accounting and Consume…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Mental accounting matters (1999)Mental accounting mattersA 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…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A model of investor sentiment /A model of investor sentiment…The 52-week high strategy and information uncertainty (2011)The 52-week high strategy and…The 52-week high and momentum investing in international stock indexes (2007)The 52-week high and momentum…Taxes and Financing Decisions (2005)Taxes and Financing DecisionsInvestor Inattention, Firm Reaction, and Friday Earnings Announcements (2005)Investor Inattention, Firm Re…Investor Inattention, Firm Reaction, and Friday Earnings Announcements (2005)Investor Inattention, Firm Re…Corporate Innovation, Price Momentum, and Equity Returns (2005)Corporate Innovation, Price M…Coexistence of disposition investors and momentum traders in stock markets: experimental evidence (2003)Coexistence of disposition in…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis, Forecasting, and Control (1995)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Prospect Theory: An Analysis of Decision under Risk (1979)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)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)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)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 2008Mental Accounting and Consumer Choice3,415 cited
  • 1999Mental accounting matters3,344 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited

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

  • 2001Investor Psychology and Asset Pricing2,429 cited
  • Cited by

    • 2005Investor Inattention, Firm Reaction, and Friday Earnings Announcements46 cited
    • 2007The 52-week high and momentum investing in international stock indexes45 cited
    • 2003Coexistence of disposition investors and momentum traders in stock markets: experimental evidence44 cited
    • 2005Investor Inattention, Firm Reaction, and Friday Earnings Announcements38 cited
    • 2005Corporate Innovation, Price Momentum, and Equity Returns23 cited
    • 2011The 52-week high strategy and information uncertainty20 cited
    • 2005Taxes and Financing Decisions19 cited