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The quality of governance and momentum profits: International evidence
16 references·0 citing·33 second hopsampled
The quality of governance and momentum profits: International evidence (2019)The quality of governance and momentum pr…Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…The Worldwide Governance Indicators: Methodology and Analytical Issues (2010)The Worldwide Governance Indi…Governance Matters VIII: Aggregate And Individual Governance Indicators 1996-2008 (2009)Governance Matters VIII: Aggr…International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter? (2006)International Differences in …Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…The effect of international institutional factors on properties of accounting earnings (2000)The effect of international i…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…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…A model of investor sentiment / (1997)A model of investor sentiment…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Judgment under Uncertainty: Heuristics and Biases (1975)Judgment under Uncertainty: H…Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: H…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)On the psychology of prediction. (1973)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)On Persistence in Mutual Fund Performance (1997)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Does the Stock Market Overreact? (1985)A five-factor asset pricing model (2014)Governance Matters IV : Governance Indicators For 1996-2004 (2005)Governance Matters VII: Aggregate And Individual Governance Indicators 1996-2007 (2008)Governance Matters VII: Aggregate and Individual Governance Indicators, 1996-2007 (2008)Institutions and social entrepreneurship: The role of institutional voids, institutional support, and institutional configurations (2014)Importance and vulnerability of the world’s water towers (2019)The impact of digital economy on energy transition across the globe: The mediating role of government governance (2022)An Empirical Evaluation of Accounting Income Numbers (1968)Legal Determinants of External Finance (1997)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Earnings management and investor protection: an international comparison (2003)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)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)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Development of NASA-TLX (Task Load Index): Results of Empirical and Theoretical Research (1988)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)
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References

  • 1974Judgment under Uncertainty: Heuristics and Biases28,742 cited
  • 1975Judgment under Uncertainty: Heuristics and Biases22,647 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
  • 2010The Worldwide Governance Indicators: Methodology and Analytical Issues5,744 cited
  • 1997A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2000The effect of international institutional factors on properties of accounting earnings3,198 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.13,097 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,542 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2009Governance Matters VIII: Aggregate And Individual Governance Indicators 1996-20081,843 cited
  • 2011

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The short of it: Investor sentiment and anomalies
1,781 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 2006International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?1,369 cited
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