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Industry Herding and the Profitability of Momentum Strategies During Market Crises
16 references·0 citing·32 second hopsampled
Industry Herding and the Profitability of Momentum Strategies During Market Crises (2018)Industry Herding and the Profitability of…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…An examination of herd behavior in equity markets: An international perspective (2000)An examination of herd behavi…Herding and Feedback Trading by Institutional and Individual Investors (1999)Herding and Feedback Trading …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…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Rational herding in financial economics (1996)Rational herding in financial…Returns 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…The impact of institutional trading on stock prices (1992)The impact of institutional t…A Simple Model of Herd Behavior (1992)A Simple Model of Herd Behavi…The Noise Trader Approach to Finance (1990)The Noise Trader Approach to …Herd Behavior and Investment (1988)Herd Behavior and InvestmentA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The General Theory of Employment (1937)Network Externalities, Competition, and Compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Limits of Arbitrage (1995)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Continuous Auctions and Insider Trading (1985)Illusion and well-being: A social psychological perspective on mental health. (1988)A model of investor sentiment / (1997)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)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)Investor Psychology and Asset Pricing (2001)Using Online Conversations to Study Word-of-Mouth Communication (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)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)Capital markets research in accounting (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1992A Simple Model of Herd Behavior6,511 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,841 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,542 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990The Noise Trader Approach to Finance1,659 cited
  • 1999Herding and Feedback Trading by Institutional and Individual Investors1,587 cited
  • 2000An examination of herd behavior in equity markets: An international perspective1,425 cited

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  • 1996Rational herding in financial economics1,315 cited
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