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Are Momentum Profits Robust to Trading Costs?
16 references·10 citing·22 second hop
Are Momentum Profits Robust to Trading Costs? (2002)Are Momentum Profits Robust to Trading Co…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Profitability 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…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns 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…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Mean reversion in stock prices (1988)Mean reversion in stock pricesPrice, trade size, and information in securities markets (1987)Price, trade size, and inform…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Momentum, Reversals, and Fund Manager Overconfidence (2016)Momentum, Reversals, and Fund…Option Trading Costs Are Lower than You Think (2015)Option Trading Costs Are Lowe…What Do Stock Markets Tell Us About Exchange Rates? (2014)What Do Stock Markets Tell Us…Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics (2010)Sources of Momentum Profits: …Momentum in Corporate Bond Returns (2010)Momentum in Corporate Bond Re…Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets (2009)Momentum Cycles and Limits to…An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information and Liquidity (2009)An Anatomy of Pairs Trading: …Mutual Funds and the Market for Liquidity (2005)Mutual Funds and the Market f…Corporate Innovation, Price Momentum, and Equity Returns (2005)Corporate Innovation, Price M…Momentum strategies: some bootstrap tests (2004)Momentum strategies: some boo…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)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)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)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)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 General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Illiquidity and stock returns: cross-section and time-series effects (2002)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
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
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 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
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991

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Measuring the Information Content of Stock Trades
1,868 cited

Cited by

  • 2009An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information and Liquidity59 cited
  • 2004Momentum strategies: some bootstrap tests37 cited
  • 2010Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics37 cited
  • 2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets33 cited
  • 2015Option Trading Costs Are Lower than You Think29 cited
  • 2010Momentum in Corporate Bond Returns28 cited
  • 2016Momentum, Reversals, and Fund Manager Overconfidence25 cited
  • 2005Mutual Funds and the Market for Liquidity24 cited
  • 2005Corporate Innovation, Price Momentum, and Equity Returns23 cited
  • 2014What Do Stock Markets Tell Us About Exchange Rates?22 cited