Nothing Special   »   [go: up one dir, main page]
create a website
Profitability of CAPM Momentum Strategies in the US Stock Market. (2017). HE, QING ; CHONG, Terence Tai Leung ; Siu, Jonathan T ; Sang, Hugo Tak .
In: MPRA Paper.
RePEc:pra:mprapa:80563.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 18

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Barberis, N., Shleifer, A., and Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307-343.

  2. Chan, K. C., Hameed, A., and Tong, W. (2000). Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis, 35, 153-172.
    Paper not yet in RePEc: Add citation now

  3. Chong, T. T. L., and Ip, H.T.S. (2009). Do momentum-based strategies work in emerging currency markets. Pacific-Basin Finance Journal, 17, 479-493.

  4. Chordia, T., and Shivakumar, L. (2002). Momentum, business cycle and timevarying expected returns. Journal of Finance, 57, 985-1019.

  5. Daniel, K., and Titman, S. (1999). Market efficiency in an irrational world. Financial Analyst Journal, 55, 28-40.
    Paper not yet in RePEc: Add citation now

  6. Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. Journal of Finance, 53(6), 1839-1885.

  7. Fama, E., and French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 2-56.

  8. Fama, E., and French, K. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51, 55-84.

  9. Grinblatt, M., and Moskowitz, T. (1999). Do industries explain momentum? Journal of Finance, 54, 1249-1290.

  10. Grinblatt, M., and Moskowitz, T. (2003). An analysis of covariance risk and pricing anomalies. Review of Financial Studies, 16(2), 417-457.

  11. Grundy, B.D., and Martin, J.S. (2001). Understanding the nature of the risks and the source of the rewards to momentum investing. Review of Financial Studies, 14(1), 29-78.

  12. Hong, H., and Stein, J.C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54(6), 2143-2184.

  13. Jegadeesh, N., and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65-91.

  14. Jegadeesh, N., and Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56(2), 699-720.

  15. Jegadeesh, N., and Titman, S. (2002). Cross-sectional and time-series determinants of momentum returns. Review of Financial Studies, 15, 143-157.

  16. Lewellen, J. (2002). Momentum and autocorrelation in stock returns. Review of Financial Studies, 15, 533-564.

  17. Sagi, J.S., and Seasholes, M.S. (2007). Firm-specific attributes and the cross section of momentum. Journal of Financial Economics, 84, 389-434.

  18. Sharpe, W. F. (1994). The Sharpe ratio. Journal of Portfolio Management, 21(1), 49-58.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model. (2015). Ni, Zhong-Xin ; Xue, Wen-Jun ; Wang, Da-Zhong .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:50:y:2015:i:c:p:266-274.

    Full description at Econpapers || Download paper

  2. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

    Full description at Econpapers || Download paper

  3. Stock return autocorrelations revisited: A quantile regression approach. (2012). Baur, Dirk ; Dimpfl, Thomas ; Jung, Robert C..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:254-265.

    Full description at Econpapers || Download paper

  4. The Role of Correlated Trading in Setting REIT Prices. (2010). Lee, Ming-Long ; Chiang, Kevin .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:41:y:2010:i:3:p:320-338.

    Full description at Econpapers || Download paper

  5. Momentum and Contrarian Stock-Market Indices. (2008). Hill, Robert ; Eggins, Jon.
    In: Discussion Papers.
    RePEc:swe:wpaper:2008-07.

    Full description at Econpapers || Download paper

  6. Aggregation Reversals and the Social Formation of Beliefs. (2007). Sacerdote, Bruce ; Glaeser, Edward.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13031.

    Full description at Econpapers || Download paper

  7. Adaptive Expectations and Stock Market Crashes. (2007). Frankel, David M..
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:12817.

    Full description at Econpapers || Download paper

  8. Overconfidence in financial markets and consumption over the life cycle. (2007). Huang, Kevin ; Caliendo, Frank ; Kevin x. d. Huang, ; Kevin X. D. Huang, ; KevinX. D. Huang, .
    In: Working Papers.
    RePEc:fip:fedpwp:07-3.

    Full description at Econpapers || Download paper

  9. Bulls, Bears and Excess Volatility: can currency intervention help?. (2007). Zhang, Lei ; Miller, Marcus ; Corrado, Luisa.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0708.

    Full description at Econpapers || Download paper

  10. Highs and Lows: A Behavioral and Technical Analysis. (2006). Mizrach, Bruce ; Weerts, Susan .
    In: Departmental Working Papers.
    RePEc:rut:rutres:200610.

    Full description at Econpapers || Download paper

  11. Information Cascades: Evidence from An Experiment with Financial Market Professionals. (2006). list, john ; Alevy, Jonathan ; Haigh, Michael S..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12767.

    Full description at Econpapers || Download paper

  12. Brüssel, Frankfurt oder Basel - Wo muss das Problem steigender Staatsschulden in der Europäischen Währungsunion gelöst werden?. (2006). Paulus, Philipp .
    In: Otto-Wolff-Institut Discussion Paper Series.
    RePEc:kln:owiwdp:dp_01_2006.

    Full description at Econpapers || Download paper

  13. Institutional and Individual Sentiment: Smart Money and Noise Trader Risk. (2006). Schmeling, Maik.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-337.

    Full description at Econpapers || Download paper

  14. A Prospect-Theoretical Interpretation of Momentum Returns. (2006). Schmeling, Maik ; Menkhoff, Lukas.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-335.

    Full description at Econpapers || Download paper

  15. High-Order Consumption Moments and Asset Pricing. (2005). Semenov, Andrei .
    In: Working Papers.
    RePEc:yca:wpaper:2003_4.

    Full description at Econpapers || Download paper

  16. Structural VAR identification in asset markets using short-run market inefficiencies. (2005). Isiklar, Gultekin.
    In: Econometrics.
    RePEc:wpa:wuwpem:0501001.

    Full description at Econpapers || Download paper

  17. Firm characteristics, market conditions, and the pattern of performance after seasoned equity offers. (2005). Price, Kelly ; Bayless, Mark ; Smoller, Margaret Monroe.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:9:p:611-622.

    Full description at Econpapers || Download paper

  18. Persuasion in Finance. (2005). Shleifer, Andrei ; Mullainathan, Sendhil.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11838.

    Full description at Econpapers || Download paper

  19. Investor Inattention, Firm Reaction, and Friday Earnings Announcements. (2005). DellaVigna, Stefano ; Pollet, Joshua ; Della Vigna, Stefano .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11683.

    Full description at Econpapers || Download paper

  20. Attention, Demographics, and the Stock Market. (2005). DellaVigna, Stefano ; Pollet, Joshua M. ; Della Vigna, Stefano .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11211.

    Full description at Econpapers || Download paper

  21. Asset Mispricing Due to Cognitive Dissonance. (2005). Drees, Burkhard ; Eckwert, Bernhard.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2005/009.

    Full description at Econpapers || Download paper

  22. From the horses mouth: gauging conditional expected stock returns from investor surveys. (2005). Sharpe, Steven ; Amromin, Gene.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-26.

    Full description at Econpapers || Download paper

  23. The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew.. (2005). Ying, John ; Sternberg, Joel S..
    In: Working Papers.
    RePEc:dlw:wpaper:05-12.

    Full description at Econpapers || Download paper

  24. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?. (2005). Uppal, Raman ; Kurshev, Alexander ; Dumas, Bernard J.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5367.

    Full description at Econpapers || Download paper

  25. Liquidity Risk, Leverage and Long-Run IPO Returns. (2005). Norli, Oyvind ; Eckbo, B..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4832.

    Full description at Econpapers || Download paper

  26. The Gamblers and Hot-Hand Fallacies In a Dynamic-Inference Model. (2005). Vayanos, Dimitri ; Rabin, Matthew.
    In: Levine's Bibliography.
    RePEc:cla:levrem:122247000000000972.

    Full description at Econpapers || Download paper

  27. Behavioral Heterogeneity in Stock Prices. (2005). Hommes, Cars ; Boswijk, H. Peter ; Manzan, S..
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:05-12.

    Full description at Econpapers || Download paper

  28. Corporate Financing Decisions When Investors Take the Path of Least Resistance. (2004). Stein, Jeremy ; Baker, Malcolm ; Coval, Joshua .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10998.

    Full description at Econpapers || Download paper

  29. International Public Procurement Agreements - Problems of Implemetations in Switzerland. (2004). Kilchenmann, Christoph ; Frey, Rene L. ; Krautter, Nicolai .
    In: ifo DICE Report.
    RePEc:ces:ifodic:v:2:y:2004:i:3:p:31-37.

    Full description at Econpapers || Download paper

  30. Simple Forecasts and Paradigm Shifts. (2003). Stein, Jeremy ; Hong, Harrison.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10013.

    Full description at Econpapers || Download paper

  31. Evidence of predictability in the cross-section of bank stock returns. (2003). Patterson, Gary A. ; Jackson, William III ; Cooper, Michael J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:5:p:817-850.

    Full description at Econpapers || Download paper

  32. On the Trend Recognition and Forecasting Ability of Professional Traders. (2003). Weber, Martin ; Glaser, Markus ; Langer, Thomas .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3904.

    Full description at Econpapers || Download paper

  33. The Real Effects of Investor Sentiment. (2003). Sapienza, Paola ; Polk, Christopher.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3826.

    Full description at Econpapers || Download paper

  34. Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas. (2003). Tornell, Aaron.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:265.

    Full description at Econpapers || Download paper

  35. Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001). (2003). Tornell, Aaron.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:237.

    Full description at Econpapers || Download paper

  36. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

    Full description at Econpapers || Download paper

  37. Why Are Asset Returns Predictable?. (2002). Luders, Erik .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:670.

    Full description at Econpapers || Download paper

  38. An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). He, Xuezhong ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:84.

    Full description at Econpapers || Download paper

  39. The Disposition Effect and Momentum. (2002). han, bing ; Grinblatt, Mark.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8734.

    Full description at Econpapers || Download paper

  40. Momentum and Turnover: Evidence from the German Stock Market. (2002). Weber, Martin ; Glaser, Markus .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3353.

    Full description at Econpapers || Download paper

  41. Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data. (2001). Arnswald, Torsten.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4154.

    Full description at Econpapers || Download paper

  42. Bubbles, Human Judgment, and Expert Opinion. (2001). Shiller, Robert.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1303.

    Full description at Econpapers || Download paper

  43. Valuation Ratios and the Long-run Stock Market Outlook: An Update. (2001). Shiller, Robert ; Campbell, John.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1295.

    Full description at Econpapers || Download paper

  44. The Aftermarket Performance of Initial Public Offerings in Canada. (2001). Suret, Jean-Marc ; Kooli, Maher.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-52.

    Full description at Econpapers || Download paper

  45. Style Investing. (2000). Shleifer, Andrei ; Barberis, Nicholas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8039.

    Full description at Econpapers || Download paper

  46. Covariance Risk, Mispricing, and the Cross Section of Security Returns. (2000). Subrahmanyam, Avanidhar ; Hirshleifer, David ; DANIEL, KENT D..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7615.

    Full description at Econpapers || Download paper

  47. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. (1999). Titman, Sheridan ; Jegadeesh, Narasimhan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7159.

    Full description at Econpapers || Download paper

  48. Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies. (1998). Stein, Jeremy ; Hong, Harrison ; Lim, Terence.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6553.

    Full description at Econpapers || Download paper

  49. A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets. (1997). Stein, Jeremy ; Hong, Harrison.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6324.

    Full description at Econpapers || Download paper

  50. Inferring Arbitrage Activity from Return Correlations. (). Polk, Christopher ; Lou, Dong.
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp721.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-27 15:57:05 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.