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Time-series and cross-sectional momentum strategies under alternative implementation strategies
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Time-series and cross-sectional momentum strategies under alternative implementation strategies (2016)Time-series and cross-sectional momentum …Value and Momentum Everywhere (2013)Value and Momentum EverywhereTime Series Momentum (2011)Time Series MomentumIndividualism and Momentum around the World (2010)Individualism and Momentum ar…INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)INDIVIDUAL EQUITY RETURN DATA…The 52‐Week High and Momentum Investing (2004)The 52‐Week High and Momentum…Market States and Momentum (2004)Market States and MomentumProfitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…Local Return Factors and Turnover in Emerging Stock Markets (1999)Local Return Factors and Turn…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…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)Market efficiency, long-term …International Momentum Strategies (1998)International Momentum Strate…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…A model of investor sentiment /A model of investor sentiment…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Economic Links and Predictable Returns (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Multifactor Explanations of Asset Pricing Anomalies (1996)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Market liquidity as a sentiment indicator (2004)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 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
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1998Market 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.12,572 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 1998International Momentum Strategies1,813 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 2000Price Momentum and Trading Volume1,593 cited
  • 2011Time Series Momentum1,470 cited
  • 2010Individualism and Momentum around the World1,312 cited
  • 2004Market States and Momentum

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995 cited
  • 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!893 cited
  • 1999Local Return Factors and Turnover in Emerging Stock Markets839 cited
  • 2004The 52‐Week High and Momentum Investing801 cited
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