SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies
16 references·16 citing·25 second hopsampled
Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies (1998)Bad News Travels Slowly: Size, Analyst Co…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…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Do Brokerage Analysts' Recomm…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Firm characteristics and analyst following (1989)Firm characteristics and anal…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Anomalies across the globe: Once public, no longer existent? (2019)Anomalies across the globe: O…Crowdsourced Employer Reviews and Stock Returns (2018)Crowdsourced Employer Reviews…Are institutional investors with multiple blockholdings effective monitors? (2018)Are institutional investors w…Technological Links and Predictable Returns (2017)Technological Links and Predi…Institutional cross-ownership and corporate strategy: The case of mergers and acquisitions (2017)Institutional cross-ownership…Selective Publicity and Stock Prices (2012)Selective Publicity and Stock…Accounting anomalies and fundamental analysis: A review of recent research advances (2010)Accounting anomalies and fund…Measuring Investors' Opinion Divergence (2009)Measuring Investors' Opinion …High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence (2008)High Idiosyncratic Volatility…Momentum strategies in commodity futures markets (2007)Momentum strategies in commod…Volume, Opinion Divergence, and Returns: A Study of Post-Earnings Announcement Drift (2006)Volume, Opinion Divergence, a…A Trade-Based Analysis of Momentum (2006)A Trade-Based Analysis of Mom…Insider Trading Restrictions and Analysts' Incentives to Follow Firms (2005)Insider Trading Restrictions …Beyond Greed and Fear (2002)Beyond Greed and FearDoes Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing? (2001)Does Greater Firm-Specific Re…Market Efficiency in an Irrational World (1999)Market Efficiency in an Irrat…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)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)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 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
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1996Do Brokerage Analysts' Recommendations Have Investment Value?1,916 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?

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

1,707 cited
  • 1989Firm characteristics and analyst following1,535 cited
  • Cited by

    • 2002Beyond Greed and Fear528 cited
    • 2007Momentum strategies in commodity futures markets461 cited
    • 2010Accounting anomalies and fundamental analysis: A review of recent research advances460 cited
    • 1999Market Efficiency in an Irrational World458 cited
    • 2018Are institutional investors with multiple blockholdings effective monitors?416 cited
    • 2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence393 cited
    • 2012Selective Publicity and Stock Prices376 cited
    • 2018Crowdsourced Employer Reviews and Stock Returns333 cited
    • 2006Volume, Opinion Divergence, and Returns: A Study of Post-Earnings Announcement Drift307 cited
    • 2005Insider Trading Restrictions and Analysts' Incentives to Follow Firms290 cited
    • 2009Measuring Investors' Opinion Divergence260 cited
    • 2006A Trade-Based Analysis of Momentum242 cited
    • 2017Institutional cross-ownership and corporate strategy: The case of mergers and acquisitions239 cited
    • 2017Technological Links and Predictable Returns237 cited
    • 2001Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?231 cited
    • 2019Anomalies across the globe: Once public, no longer existent?226 cited