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Heterogeneous Beliefs and Momentum Profits
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Heterogeneous Beliefs and Momentum Profits (2009)Heterogeneous Beliefs and Momentum ProfitsInformation Uncertainty and Stock Returns (2006)Information Uncertainty and S…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Price Momentum and Trading Volume (2000)Price Momentum and Trading Vo…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…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…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)An analysis of intertemporal …Expected stock returns and volatility (1987)Expected stock returns and vo…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A model of investor sentiment /A model of investor sentiment…Do Investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market (2020)Do Investors exaggerate corpo…What does investors' online divergence of opinion tell us about stock returns and trading volume? (2018)What does investors' online d…Short-term Momentum (2018)Short-term MomentumMomentum strategies for Islamic stocks (2016)Momentum strategies for Islam…Information percolation, momentum and reversal (2016)Information percolation, mome…A Mind Is a Terrible Thing to Change: Confirmatory Bias in Financial Markets (2016)A Mind Is a Terrible Thing to…The Beauty Contest and Short‐Term Trading (2015)The Beauty Contest and Short‐…Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal (2015)Price Reaction to Information…Corporate social responsibility: what motivates management to disclose? (2015)Corporate social responsibili…Strategic Cross-Trading in the U.S. Stock Market (2013)Strategic Cross-Trading in th…Does revenue momentum drive or ride earnings or price momentum? (2013)Does revenue momentum drive o…Why Does Financial Strength Forecast Stock Returns? Evidence from Subsequent Demand by Institutional Investors (2012)Why Does Financial Strength F…Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics (2012)Sources of Momentum Profits: …Forecasting the forecasts of others: Implications for asset pricing (2012)Forecasting the forecasts of …Momentum (2011)MomentumIndividualism and Momentum Around the World (2005)Individualism and Momentum Ar…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)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)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Continuous Auctions and Insider Trading (1985)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)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)Capital markets research in accounting (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1987Expected stock returns and volatility4,147 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 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.12,865 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 2006Information Uncertainty and Stock Returns

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1,810 cited
  • 1989An analysis of intertemporal and cross-sectional determinants of earnings response coefficients1,685 cited
  • 2000Price Momentum and Trading Volume1,593 cited
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