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Market States and Momentum
16 references·16 citing·25 second hopsampled
Market States and Momentum (2002)Market States and MomentumProspect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…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…International Momentum Strategies (1998)International Momentum Strate…Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Evidence on the Characteristi…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyReturns 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…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…A model of investor sentiment /A model of investor sentiment…Has momentum lost its momentum? (2015)Has momentum lost its momentu…Taming Momentum Crashes: A Simple Stop-Loss Strategy (2014)Taming Momentum Crashes: A Si…Momentum Trading, Return Chasing, and Predictable Crashes (2014)Momentum Trading, Return Chas…The Global Relation between Financial Distress and Equity Returns (2012)The Global Relation between F…Tail Risk in Momentum Strategy Returns (2012)Tail Risk in Momentum Strateg…Blank Check Acquisitions (2012)Blank Check AcquisitionsTime-Varying Predictability in Mutual Fund Returns (2011)Time-Varying Predictability i…The Cross-Section of Stock Returns and Incentive Pay (2011)The Cross-Section of Stock Re…Currency Momentum Strategies (2011)Currency Momentum StrategiesThe effect of attention on buying behavior during a financial crisis: Evidence from the Taiwan stock exchange (2010)The effect of attention on bu…Sentiment and Momentum (2009)Sentiment and MomentumMomentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets (2009)Momentum Cycles and Limits to…Style Investing, Comovement and Return Predictability (2008)Style Investing, Comovement a…R2 and Price Inefficiency (2007)R2 and Price InefficiencyAre Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency (2007)Are Emerging Markets More Pro…Momentum Profits, Factor Pricing, and Macroeconomic Risk (2005)Momentum Profits, Factor Pric…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)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 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)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1998International Momentum Strategies1,813 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1997

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Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
1,665 cited

Cited by

  • 2005Momentum Profits, Factor Pricing, and Macroeconomic Risk118 cited
  • 2011The Cross-Section of Stock Returns and Incentive Pay76 cited
  • 2012Tail Risk in Momentum Strategy Returns71 cited
  • 2014Momentum Trading, Return Chasing, and Predictable Crashes50 cited
  • 2011Currency Momentum Strategies47 cited
  • 2007R2 and Price Inefficiency43 cited
  • 2012The Global Relation between Financial Distress and Equity Returns43 cited
  • 2007Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency37 cited
  • 2009Sentiment and Momentum34 cited
  • 2015Has momentum lost its momentum?33 cited
  • 2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets33 cited
  • 2008Style Investing, Comovement and Return Predictability27 cited
  • 2014Taming Momentum Crashes: A Simple Stop-Loss Strategy26 cited
  • 2012Blank Check Acquisitions24 cited
  • 2011Time-Varying Predictability in Mutual Fund Returns24 cited
  • 2010The effect of attention on buying behavior during a financial crisis: Evidence from the Taiwan stock exchange23 cited