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Residual momentum
16 references·15 citing·27 second hopsampled
Residual momentum (2011)Residual momentumMomentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Momentum Investing and Busine…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…Momentum, Business Cycle, and Time‐varying Expected Returns (2002)Momentum, Business Cycle, and…Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Local Return Factors and Turnover in Emerging Stock Markets (1999)Local Return Factors and Turn…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…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Industry costs of equity (1997)Industry costs of equityReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Open Source Cross-Sectional Asset Pricing (2021)Open Source Cross-Sectional A…Anomalies in the China A-share market (2021)Anomalies in the China A-shar…Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns (2020)Where have the profits gone? …What Can Explain Momentum? Evidence From Decomposition (2020)What Can Explain Momentum? Ev…Momentum investing: a systematic literature review and bibliometric analysis (2020)Momentum investing: a systema…Does it pay to follow anomalies research? Machine learning approach with international evidence (2020)Does it pay to follow anomali…Enhanced Momentum Strategies (2019)Enhanced Momentum StrategiesFive Concerns with the Five-Factor Model (2018)Five Concerns with the Five-F…The Idiosyncratic Momentum Anomaly (2017)The Idiosyncratic Momentum An…Residual momentum in Japan (2017)Residual momentum in JapanMomentum spillover from stocks to corporate bonds (2017)Momentum spillover from stock…Two Centuries of Price-Return Momentum (2016)Two Centuries of Price-Return…The cross-section of stock returns in frontier emerging markets (2012)The cross-section of stock re…Managing the Risk of Momentum (2012)Managing the Risk of MomentumShort-Term Residual Reversal (2011)Short-Term Residual ReversalCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)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: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Asset Pricing (2001)Value and Momentum Everywhere (2013)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)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)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1997Industry costs of equity5,793 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 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.12,865 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 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
  • 1998International Momentum Strategies1,813 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2003

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
955 cited
  • 1999Local Return Factors and Turnover in Emerging Stock Markets839 cited
  • 2002Momentum, Business Cycle, and Time‐varying Expected Returns812 cited
  • Cited by

    • 2012The cross-section of stock returns in frontier emerging markets116 cited
    • 2016Two Centuries of Price-Return Momentum105 cited
    • 2017The Idiosyncratic Momentum Anomaly84 cited
    • 2021Anomalies in the China A-share market62 cited
    • 2020Does it pay to follow anomalies research? Machine learning approach with international evidence60 cited
    • 2017Residual momentum in Japan58 cited
    • 2012Managing the Risk of Momentum44 cited
    • 2020Momentum investing: a systematic literature review and bibliometric analysis42 cited
    • 2011Short-Term Residual Reversal42 cited
    • 2017Momentum spillover from stocks to corporate bonds42 cited
    • 2021Open Source Cross-Sectional Asset Pricing40 cited
    • 2020Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns40 cited
    • 2019Enhanced Momentum Strategies40 cited
    • 2020What Can Explain Momentum? Evidence From Decomposition31 cited
    • 2018Five Concerns with the Five-Factor Model29 cited