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The momentum and reversal effects of investor sentiment on stock prices
16 references·1 citing·32 second hopsampled
The momentum and reversal effects of investor sentiment on stock prices (2020)The momentum and reversal effects of inve…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Arbitrage Asymmetry and the I…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Global, local, and contagious investor sentiment (2011)Global, local, and contagious…Investor sentiment and the mean–variance relation☆ (2010)Investor sentiment and the me…Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Investor Sentiment and Asset Valuation (2005)Investor Sentiment and Asset …Investor sentiment and the near-term stock market (2003)Investor sentiment and the ne…Stock market volatility, excess returns, and the role of investor sentiment (2002)Stock market volatility, exce…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…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…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Noise (1986)NoiseThe Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Value of “Brand” in the Chinese Stock Market: The Impact of Brand Attention on Stock Performance and the Moderation Role of Investor Sentiment (2022)The Value of “Brand” in the C…The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Illusion and well-being: A social psychological perspective on mental health. (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Judgment under Uncertainty: Heuristics and Biases (1974)The Cross-Section of Expected Stock Returns (1992)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Judgment under Uncertainty: Heuristics and Biases (1975)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Efficient Capital Markets: II (1991)Contrarian Investment, Extrapolation, and Risk (1994)In Search of Attention (2011)Policy Uncertainty and Corporate Investment (2015)
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References

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  • 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.12,942 cited
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  • 2011Global, local, and contagious investor sentiment1,039 cited
  • 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle944 cited
  • 2002

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Stock market volatility, excess returns, and the role of investor sentiment
700 cited
  • 2010Investor sentiment and the mean–variance relation☆694 cited
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    • 2022The Value of “Brand” in the Chinese Stock Market: The Impact of Brand Attention on Stock Performance and the Moderation Role of Investor Sentiment15 cited