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Nominal Prices, Retail Investor Participation, and Return Momentum
16 references·0 citing·32 second hopsampled
Nominal Prices, Retail Investor Participation, and Return Momentum (2022)Nominal Prices, Retail Investor Participa…A five-factor asset pricing model (2014)A five-factor asset pricing m…Size, value, and momentum in international stock returns (2012)Size, value, and momentum in …Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…Who Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Culture's Consequences: Comparing Values, Behaviors, Institutions, and Organizations Across NationsCulture's Consequences: Comparing Values, Behaviors, Institutions, and Organizations Across Nations (Second Edition), by HofstedeGeert. Thousand Oaks, CA: Sage, 2001 (2002)Culture's Consequences: Compa…Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Forecasting crashes: trading …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…A model of investor sentiment / (1997)A model of investor sentiment…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Culture and the Self: Implications for Cognition, Emotion, and Motivation (1991)Individualism and collectivism (1996)Rethinking individualism and collectivism: Evaluation of theoretical assumptions and meta-analyses. (2002)Upper Echelons Theory: An Update (2007)The weirdest people in the world? (2010)Dimensionalizing Cultures: The Hofstede Model in Context (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Continuous Auctions and Insider Trading (1985)Illusion and well-being: A social psychological perspective on mental health. (1988)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)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)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Judgment under Uncertainty: Heuristics and Biases (1975)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Prospect theory: An analysis of decision under risk (1988)Media Coverage and the Cross‐section of Stock Returns (2009)In Search of Attention (2011)Adoption of CSR and Sustainability Reporting Standards: Economic Analysis and Review (2019)Digesting Anomalies: An Investment Approach (2012)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 2002Culture's Consequences: Comparing Values, Behaviors, Institutions, and Organizations Across NationsCulture's Consequences: Comparing Values, Behaviors, Institutions, and Organizations Across Nations (Second Edition), by HofstedeGeert. Thousand Oaks, CA: Sage, 200121,687 cited
  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,841 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,834 cited
  • 1997A model of investor sentiment /4,073 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.13,097 cited
  • 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices2,012 cited

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Size, value, and momentum in international stock returns
1,837 cited
  • 1998International Momentum Strategies1,813 cited
  • 2009Who Gambles in the Stock Market?1,808 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,677 cited
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