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Monetary Momentum
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Monetary Momentum (2018)Monetary MomentumA five-factor asset pricing model (2014)A five-factor asset pricing m…Value and Momentum Everywhere (2013)Value and Momentum EverywhereThe Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Time Series Momentum (2011)Time Series MomentumDo Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Do Actions Speak Louder Than …Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Optimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Market Efficiency, Long-Term …A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets (1997)A Unified Theory of Underreac…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Noise Trader Approach to Finance (1990)The Noise Trader Approach to …An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…A model of investor sentiment /A model of investor sentiment…Price effects of unconventional monetary policy announcements on European securities markets (2021)Price effects of unconvention…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Using daily stock returns (1985)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (1965)Judgment under Uncertainty: Heuristics and Biases (1975)Continuous Auctions and Insider Trading (1985)The Impact of Social Structure on Economic Outcomes (2005)An Engine, Not a Camera (2006)The short of it: Investor sentiment and anomalies (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)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)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)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)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Editor's Choice Digesting Anomalies: An Investment ApproachDo Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 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
  • 2013Value and Momentum Everywhere2,225 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990The Noise Trader Approach to Finance1,636 cited
  • 2004Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements1,566 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 2011Time Series Momentum1,470 cited
  • 1997Market Efficiency, Long-Term Returns, and Behavioral Finance1,278 cited
  • 1997A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets1,041 cited

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  • 2012The Fundamentals of Commodity Futures Returns760 cited
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    • 2021Price effects of unconventional monetary policy announcements on European securities markets13 cited