SEARCH

SEARCH BY CITATION

Cited in:

CrossRef

This article has been cited by:

  1. 1
    Laura Xiaolei Liu, Lu Zhang, A Neoclassical Interpretation of Momentum, Journal of Monetary Economics, 2014,

    CrossRef

  2. 2
    Rui Albuquerque, Jianjun Miao, Advance information and asset prices, Journal of Economic Theory, 2014, 149, 236

    CrossRef

  3. 3
    Hong-Yi Chen, Sheng-Syan Chen, Chin-Wen Hsin, Cheng-Few Lee, Does revenue momentum drive or ride earnings or price momentum?, Journal of Banking & Finance, 2014, 38, 166

    CrossRef

  4. 4
    P. Nyberg, S. Poyry, Firm Expansion and Stock Price Momentum, Review of Finance, 2014, 18, 4, 1465

    CrossRef

  5. 5
    Z. Da, U. G. Gurun, M. Warachka, Frog in the Pan: Continuous Information and Momentum, Review of Financial Studies, 2014, 27, 7, 2171

    CrossRef

  6. 6
    Matthias Hanauer, Is Japan Different? Evidence on Momentum and Market Dynamics, International Review of Finance, 2014, 14, 1
  7. 7
    Steven J. Jordan, Is momentum a self-fulfilling prophecy?, Quantitative Finance, 2014, 14, 4, 737

    CrossRef

  8. 8
    Seung Mo Choi, Hwagyun Kim, Momentum Effect as Part of a Market Equilibrium, Journal of Financial and Quantitative Analysis, 2014, 49, 01, 107

    CrossRef

  9. 9
    Mike Qinghao Mao, K.C. John Wei, Price and earnings momentum: An explanation using return decomposition, Journal of Empirical Finance, 2014,

    CrossRef

  10. 10
    Jungshik Hur, Vivek Singh, Reexamining momentum profits: Underreaction or overreaction to firm-specific information?, Review of Quantitative Finance and Accounting, 2014,

    CrossRef

  11. 11
    Kyung-In Park, Dongcheol Kim, Sources of momentum profits in international stock markets, Accounting & Finance, 2014, 54, 2
  12. 12
    V. DeMiguel, F. J. Nogales, R. Uppal, Stock Return Serial Dependence and Out-of-Sample Portfolio Performance, Review of Financial Studies, 2014, 27, 4, 1031

    CrossRef

  13. 13
    Koresh Galil, Offer Moshe Shapir, Dan Amiram, Uri Ben-Zion, The determinants of CDS spreads, Journal of Banking & Finance, 2014, 41, 271

    CrossRef

  14. 14
    Soo-Hyun Kim, Hyoung-Goo Kang, A new strategy using term-structure dynamics of commodity futures, Finance Research Letters, 2013,

    CrossRef

  15. 15
    D. Vayanos, P. Woolley, An Institutional Theory of Momentum and Reversal, Review of Financial Studies, 2013, 26, 5, 1087

    CrossRef

  16. 16
    Constantinos Antoniou, John A. Doukas, Avanidhar Subrahmanyam, Cognitive Dissonance, Sentiment, and Momentum, Journal of Financial and Quantitative Analysis, 2013, 48, 01, 245

    CrossRef

  17. 17
    Paulo Maio, Intertemporal CAPM with Conditioning Variables, Management Science, 2013, 59, 1, 122

    CrossRef

  18. You have free access to this content18
    Chris Stivers, Licheng Sun, Market Cycles and the Performance of Relative Strength Strategies, Financial Management, 2013, 42, 2
  19. 19
    Alexandros Kontonikas, Alexandros Kostakis, On Monetary Policy and Stock Market Anomalies, Journal of Business Finance & Accounting, 2013, 40, 7-8
  20. 20
    Sunil Wahal, M. Deniz Yavuz, Style investing, comovement and return predictability, Journal of Financial Economics, 2013, 107, 1, 136

    CrossRef

  21. 21
    Soosung Hwang, Alexandre Rubesam, The disappearance of momentum, The European Journal of Finance, 2013, 1

    CrossRef

  22. 22
    CLIFFORD S. ASNESS, TOBIAS J. MOSKOWITZ, LASSE HEJE PEDERSEN, Value and Momentum Everywhere, The Journal of Finance, 2013, 68, 3
  23. 23
    Li Pan, Ya Tang, Jianguo Xu, Weekly momentum by return interval ranking, Pacific-Basin Finance Journal, 2013, 21, 1, 1191

    CrossRef

  24. 24
    D. Lou, A Flow-Based Explanation for Return Predictability, Review of Financial Studies, 2012, 25, 12, 3457

    CrossRef

  25. 25
    Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf, Currency momentum strategies, Journal of Financial Economics, 2012, 106, 3, 660

    CrossRef

  26. 26
    Igor Makarov, Oleg Rytchkov, Forecasting the forecasts of others: Implications for asset pricing, Journal of Economic Theory, 2012, 147, 3, 941

    CrossRef

  27. 27
    Markus Leippold, Harald Lohre, International price and earnings momentum, The European Journal of Finance, 2012, 18, 6, 535

    CrossRef

  28. 28
    Robert Novy-Marx, Is momentum really momentum?, Journal of Financial Economics, 2012, 103, 3, 429

    CrossRef

  29. 29
    Ming-Chi Chen, Chi-Lu Peng, So-De Shyu, Jhih-Hong Zeng, Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance, The Journal of Real Estate Finance and Economics, 2012, 45, 2, 364

    CrossRef

  30. 30
    K. Jeremy Ko, Zhijian (James) Huang, Persistence of Beliefs in an Investment Experiment, Quarterly Journal of Finance, 2012, 02, 01, 1250005

    CrossRef

  31. 31
    Tobias J. Moskowitz, Yao Hua Ooi, Lasse Heje Pedersen, Time series momentum, Journal of Financial Economics, 2012, 104, 2, 228

    CrossRef

  32. 32
    Oliver Boguth, Murray Carlson, Adlai Fisher, Mikhail Simutin, Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas, Journal of Financial Economics, 2011, 102, 2, 363

    CrossRef

  33. 33
    LORENZO GARLAPPI, HONG YAN, Financial Distress and the Cross-section of Equity Returns, The Journal of Finance, 2011, 66, 3
  34. 34
    Anurag Banerjee, Chi-Hsiou Hung, Informed momentum trading versus uninformed “naive” investors strategies, Journal of Banking & Finance, 2011, 35, 11, 3077

    CrossRef

  35. 35
    Martin T. Bohl, Christian A. Salm, Michael Schuppli, Price discovery and investor structure in stock index futures, Journal of Futures Markets, 2011, 31, 3
  36. 36
    Jun Wang, Yangru Wu, Risk adjustment and momentum sources, Journal of Banking & Finance, 2011, 35, 6, 1427

    CrossRef

  37. 37
    Chris Stivers, Licheng Sun, Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums, Journal of Financial and Quantitative Analysis, 2010, 45, 04, 987

    CrossRef

  38. 38
    R. David McLean, Idiosyncratic Risk, Long-Term Reversal, and Momentum, Journal of Financial and Quantitative Analysis, 2010, 45, 04, 883

    CrossRef

  39. You have free access to this content39
    ANDY C.W. CHUI, SHERIDAN TITMAN, K.C. JOHN WEI, Individualism and Momentum around the World, The Journal of Finance, 2010, 65, 1
  40. 40
    Ebenezer Asem, Gloria Y. Tian, Market Dynamics and Momentum Profits, Journal of Financial and Quantitative Analysis, 2010, 45, 06, 1549

    CrossRef

  41. 41
    Jungshik Hur, Mahesh Pritamani, Vivek Sharma, Momentum and the Disposition Effect: The Role of Individual Investors, Financial Management, 2010, 39, 3
  42. 42
    Li Gu, Dayong Huang, Sales order backlogs and momentum profits, Journal of Banking & Finance, 2010, 34, 7, 1564

    CrossRef

  43. 43
    Abul Shamsuddin, Jae H. Kim, Short-Horizon Return Predictability in International Equity Markets, Financial Review, 2010, 45, 2
  44. 44
    Xiuqing Ji, Christos I. Giannikos, The profitability, seasonality and source of industry momentum, Applied Financial Economics, 2010, 20, 17, 1337

    CrossRef

  45. 45
    Szu-Yin Kathy Hung, John L. Glascock, Volatilities and Momentum Returns in Real Estate Investment Trusts, The Journal of Real Estate Finance and Economics, 2010, 41, 2, 126

    CrossRef

  46. 46
    George Bulkley, Vivekanand Nawosah, Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?, Journal of Financial and Quantitative Analysis, 2009, 44, 04, 777

    CrossRef

  47. 47
    Michela Verardo, Heterogeneous Beliefs and Momentum Profits, Journal of Financial and Quantitative Analysis, 2009, 44, 04, 795

    CrossRef

  48. 48
    S. Banerjee, R. Kaniel, I. Kremer, Price Drift as an Outcome of Differences in Higher-Order Beliefs, Review of Financial Studies, 2009, 22, 9, 3707

    CrossRef

  49. 49
    Tong Yao, Dynamic Factors and the Source of Momentum Profits, Journal of Business & Economic Statistics, 2008, 26, 2, 211

    CrossRef

  50. 50
    Szu-Yin Kathy Hung, John L. Glascock, Momentum Profitability and Market Trend: Evidence from REITs, The Journal of Real Estate Finance and Economics, 2008, 37, 1, 51

    CrossRef

  51. 51
    Matteo P. Arena, K. Stephen Haggard, Xuemin (Sterling) Yan, Price Momentum and Idiosyncratic Volatility, Financial Review, 2008, 43, 2
  52. 52
    Begoña Font-Belaire, Alfredo Juan Grau-Grau, Los factores tamaño,book-to-marketymomentumen el mercado de capitales español: explicaciones racionales y efecto en la formación del precio, Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 2007, 36, 135, 509

    CrossRef

  53. 53
    Dennis R. Capozza, Ryan D. Israelsen, Predictability in Equilibrium: The Price Dynamics of Real Estate Investment Trusts, Real Estate Economics, 2007, 35, 4
  54. 54
    Rodney D. Boehme, Bartley R. Danielsen, Stock-Split Post-Announcement Returns: Underreaction or Market Friction?, Financial Review, 2007, 42, 4
  55. 55
    DAPHNE LUI, STANIMIR MARKOV, ANE TAMAYO, What Makes a Stock Risky? Evidence from Sell-Side Analysts' Risk Ratings, Journal of Accounting Research, 2007, 45, 3
  56. You have free access to this content56
    MARTIN LETTAU, JESSICA A. WACHTER, Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium, The Journal of Finance, 2007, 62, 1
  57. 57
    CHRISTOPHER W. ANDERSON, LUIS GARCIA-FEIJÓO, Empirical Evidence on Capital Investment, Growth Options, and Security Returns, The Journal of Finance, 2006, 61, 1
  58. 58
    L. X. Liu, L. Zhang, Momentum Profits, Factor Pricing, and Macroeconomic Risk, Review of Financial Studies, 2006, 21, 6, 2417

    CrossRef

  59. 59
    Clara Vega, Stock price reaction to public and private information, Journal of Financial Economics, 2006, 82, 1, 103

    CrossRef

  60. 60
    Claude B. Erb, Campbell R. Harvey, The Strategic and Tactical Value of Commodity Futures, Financial Analysts Journal, 2006, 62, 2, 69

    CrossRef

  61. 61
    RAVI BANSAL, ROBERT F. DITTMAR, CHRISTIAN T. LUNDBLAD, Consumption, Dividends, and the Cross Section of Equity Returns, The Journal of Finance, 2005, 60, 4
  62. 62
    Ding Du, Karen Denning, Industry momentum and common factors, Finance Research Letters, 2005, 2, 3, 107

    CrossRef

  63. 63
    George Li, Information Quality, Learning, and Stock Market Returns, Journal of Financial and Quantitative Analysis, 2005, 40, 03, 595

    CrossRef

  64. 64
    GREGORY R. DURHAM, MICHAEL G. HERTZEL, J. SPENCER MARTIN, The Market Impact of Trends and Sequences in Performance: New Evidence, The Journal of Finance, 2005, 60, 5
  65. 65
    MURRAY CARLSON, ADLAI FISHER, RON GIAMMARINO, Corporate Investment and Asset Price Dynamics: Implications for the Cross-section of Returns, The Journal of Finance, 2004, 59, 6
  66. 66
    TIMOTHY C. JOHNSON, Forecast Dispersion and the Cross Section of Expected Returns, The Journal of Finance, 2004, 59, 5
  67. 67
    Hsiu-Lang Chen, Werner De Bondt, Style momentum within the S&P-500 index, Journal of Empirical Finance, 2004, 11, 4, 483

    CrossRef

  68. 68
    Zhan Onayev, Robert Savickas, The Effect of Ex Ante Price on Momentum Profits, Journal of Behavioral Finance, 2004, 5, 1, 8

    CrossRef

  69. 69
    John M. Griffin, Xiuqing Ji, J. Spencer Martin, Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole, The Journal of Finance, 2003, 58, 6
  70. 70
    Hsiu-lang Chen, On Characteristics Momentum, Journal of Behavioral Finance, 2003, 4, 3, 137

    CrossRef