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Momentum trading, mean reversal and overreaction in Chinese stock market
16 references·14 citing·30 second hop
Momentum trading, mean reversal and overreaction in Chinese stock market (2010)Momentum trading, mean reversal and overr…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…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…International Momentum Strategies (1998)International Momentum Strate…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…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…A model of investor sentiment /A model of investor sentiment…Anomalies in the China A-share market (2021)Anomalies in the China A-shar…The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50 (2020)The profitability of Bollinge…The contrarian strategy of institutional investors in Chinese stock market (2020)The contrarian strategy of in…Overreaction effect: evidence from an emerging market (Shanghai stock market) (2020)Overreaction effect: evidence…Investment horizons, cash flow news, and the profitability of momentum and reversal strategies in the Chinese stock market (2019)Investment horizons, cash flo…Profitability of reversal strategies: A modified version of the Carhart model in China (2017)Profitability of reversal str…Momentum returns, market states, and market dynamics: Is China different? (2017)Momentum returns, market stat…Momentum anomaly: evidence from the Indian stock market (2017)Momentum anomaly: evidence fr…Anomalies in Chinese A-Shares (2017)Anomalies in Chinese A-SharesStar Analysts, Overreaction, and Synchronicity: Evidence from China and the United States (2016)Star Analysts, Overreaction, …Has momentum lost its momentum? (2015)Has momentum lost its momentu…Cross-sectional stock return predictability in China (2015)Cross-sectional stock return …Momentum returns and information uncertainty: Evidence from China (2014)Momentum returns and informat…Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period (2014)Financial liberalisation and …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Noise Trader Risk in Financial Markets (1990)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Continuous Auctions and Insider Trading (1985)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: II (1991)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)
this work references cited by second hop

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 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
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 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.12,865 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality2,374 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited

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1988
Mean reversion in stock prices
1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1998International Momentum Strategies1,813 cited
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    • 2017Anomalies in Chinese A-Shares53 cited
    • 2017Momentum returns, market states, and market dynamics: Is China different?51 cited
    • 2014Momentum returns and information uncertainty: Evidence from China40 cited
    • 2014Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period38 cited
    • 2020The contrarian strategy of institutional investors in Chinese stock market35 cited
    • 2015Has momentum lost its momentum?33 cited
    • 2016Star Analysts, Overreaction, and Synchronicity: Evidence from China and the United States31 cited
    • 2019Investment horizons, cash flow news, and the profitability of momentum and reversal strategies in the Chinese stock market31 cited
    • 2020The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 5030 cited
    • 2020Overreaction effect: evidence from an emerging market (Shanghai stock market)25 cited
    • 2017Profitability of reversal strategies: A modified version of the Carhart model in China24 cited
    • 2017Momentum anomaly: evidence from the Indian stock market23 cited