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The Predictability of Aggregate Stock Market Returns: Evidence Based on Glamour Stocks
16 references·4 citing·30 second hopsampled
The Predictability of Aggregate Stock Market Returns: Evidence Based on Glamour Stocks (2004)The Predictability of Aggregate Stock Mar…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 ArbitrageMyopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: H…On the psychology of prediction. (1973)On the psychology of predicti…A model of investor sentiment /A model of investor sentiment…Attention to climate change and eco-friendly financial-asset prices: A quantile ARDL approach (2024)Attention to climate change a…The determinants of increasing equity market comovement: economic or financial integration? (2010)The determinants of increasin…Growth or Glamour (2003)Growth or GlamourBad Beta, Good Beta (2003)Bad Beta, Good BetaDividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis, Forecasting, and Control (1995)Belief in the law of small numbers. (1971)Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)Telling more than we can know: Verbal reports on mental processes. (1977)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Market Liquidity and Funding Liquidity (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Common risk factors in the returns on stocks and bonds (1993)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)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The Framing of Decisions and the Psychology of Choice (1981)Development of NASA-TLX (Task Load Index): Results of Empirical and Theoretical Research (1988)Epistemic Injustice (2007)
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References

  • 1974Judgment under Uncertainty: Heuristics and Biases28,742 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1973On the psychology of prediction.6,201 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 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.1

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2,865 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
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    • 2010The determinants of increasing equity market comovement: economic or financial integration?24 cited