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Momentum: Evidence and insights 30 years later
16 references·0 citing·26 second hopsampled
Momentum: Evidence and insights 30 years later (2023)Momentum: Evidence and insights 30 years …Replicating Anomalies (2018)Replicating AnomaliesMomentum crashes (2016)Momentum crashesDoes Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…Value and Momentum Everywhere (2013)Value and Momentum EverywhereIndividualism and Momentum around the World (2010)Individualism and Momentum ar…Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)Do Market Efficiency Measures…Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Momentum Investing and Busine…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…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…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Momentum Strategies (1996)Momentum StrategiesReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)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)Culture and the Self: Implications for Cognition, Emotion, and Motivation (1991)Investor sentiment and stock returns: Some international evidence (2009)When firms talk, do investors listen? The role of trust in stock market reactions to corporate earnings announcements (2013)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Mispricing Factors (2016)Choosing factors (2018)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (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)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Investor Psychology and Asset Pricing (2001)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 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
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 1998International Momentum Strategies1,813 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 2010Individualism and Momentum around the World1,312 cited
  • 1996Momentum Strategies1,275 cited
  • 2018Replicating Anomalies1,068 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2003Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole

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955 cited
  • 2016Momentum crashes883 cited
  • 2010Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets555 cited
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