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The illusory nature of momentum profits · Study

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ArticleThe illusory nature of momentum profits

David A. Lesmond2003

OA

Articlegreen2003

The illusory nature of momentum profits

David A. Lesmond · Michael J. Schill · Chunsheng Zhou

657 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 657 citations exist upstream.

References

1983Limited-dependent and qualitative variables in econometrics 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1996Multifactor Explanations of Asset Pricing Anomalies 1998Investor Psychology and Security Market Under‐ and Overreactions 1991Efficient Capital Markets: II 1995The Limits of Arbitrage n.d.A model of investor sentiment /1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

Cited by

2017The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns 2015A Taxonomy of Anomalies and Their Trading Costs 2004Are Momentum Profits Robust to Trading Costs?2010Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets 2012Currency momentum strategies 2003Arbitrage risk and the book-to-market anomaly 2003Trade Execution Costs and Market Quality after Decimalization 2010The world price of liquidity risk

Details

Year2003

Typearticle

Published2003-09-03

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations657

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/s0304-405x(03)00206-x

openalex_workW3124694934

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