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Intraday time‐series momentum: Evidence from China
16 references·5 citing·39 second hop
Intraday time‐series momentum: Evidence from China (2019)Intraday time‐series momentum: Evidence f…Forecasting Stock Returns (2013)Forecasting Stock ReturnsTime Series Momentum (2011)Time Series MomentumPredicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Information Uncertainty and Stock Returns (2006)Information Uncertainty and S…Professional trader discipline and trade disposition (2005)Professional trader disciplin…The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (1999)Profitability of Momentum Str…Price discovery in the German equity index derivatives markets (1999)Price discovery in the German…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…On the Predictability of Stock Returns: An Asset-Allocation Perspective (1995)On the Predictability of Stoc…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both (2022)Intraday return predictabilit…Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism (2021)Intraday return predictabilit…Bitcoin intraday time series momentum (2021)Bitcoin intraday time series …Intraday return predictability: Evidence from commodity ETFs and their related volatility indices (2020)Intraday return predictabilit…Intraday momentum and return predictability: Evidence from the crude oil market (2020)Intraday momentum and return …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)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)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)On Persistence in Mutual Fund Performance (1997)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)The arbitrage theory of capital asset pricing (1976)The theory and practice of econometrics (1986)Asset Pricing at the Millennium (2000)Optimal Portfolio Choice with Parameter Uncertainty (2007)Manager sentiment and stock returns (2018)Judgment under Uncertainty: Heuristics and Biases (1975)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Does Academic Research Destroy Stock Return Predictability? (2015)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Retail Investor Sentiment and Return Comovements (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Individualism and Momentum around the World (2010)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2006Information Uncertainty and Stock Returns1,810 cited
  • 2011Time Series Momentum1,470 cited
  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited
  • 2013Forecasting Stock Returns634 cited
  • 1999Profitability of Momentum Strategies: An Evaluation of Alternative Explanations569 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
  • 2005Professional trader discipline and trade disposition374 cited
  • 1995On the Predictability of Stock Returns: An Asset-Allocation Perspective

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328 cited
  • 1999Price discovery in the German equity index derivatives markets298 cited
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    • 2020Intraday return predictability: Evidence from commodity ETFs and their related volatility indices27 cited
    • 2020Intraday momentum and return predictability: Evidence from the crude oil market25 cited