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Stock and bond market interaction: Does momentum spill over?

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
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1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
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1997A 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.13,097 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.12,780 cited
1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited

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2000

Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

2,639 cited

2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,542 cited

1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited

1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited

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2014Factor Investing in the Corporate Bond Market171 cited
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2006Biases in Decomposing Holding-Period Portfolio Returns108 cited