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Do Winners Perform Better Than Losers? A Stochastic Dominance Approach
16 references·2 citing·37 second hop
Do Winners Perform Better Than Losers? A Stochastic Dominance Approach (2006)Do Winners Perform Better Than Losers? A …Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality (2000)Statistical Inference for Sto…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…International Momentum Strategies (1998)International Momentum Strate…An Anatomy of Trading Strategies (1998)An Anatomy of Trading Strateg…Emerging equity market volatility (1997)Emerging equity market volati…Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior (1995)Momentum Investment Strategie…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…A model of investor sentiment /A model of investor sentiment…Review on behavioral economics and behavioral finance (2020)Review on behavioral economic…Stochastic dominance analysis of CTA funds (2012)Stochastic dominance analysis…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Continuous Auctions and Insider Trading (1985)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)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)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Fairness and Retaliation: The Economics of Reciprocity (2000)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)Judgment under Uncertainty: Heuristics and Biases (1974)Common risk factors in the returns on stocks and bonds (1993)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Multifactor Explanations of Asset Pricing Anomalies (1996)Value and Momentum Everywhere (2013)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)
this work references cited by second hop

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 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
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1998International Momentum Strategies1,813 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2000Price Momentum and Trading Volume1,593 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 1995Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior1,177 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2000Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality

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870 cited
  • 1998An Anatomy of Trading Strategies858 cited
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    • 2012Stochastic dominance analysis of CTA funds29 cited
    • 2020Review on behavioral economics and behavioral finance25 cited