- Amihud, Y., 2002, Illiquidity and stock returns: cross‐section and time‐series effects, Journal of Financial Markets 5, 31–56.
Paper not yet in RePEc: Add citation now
Antoniou, C., J. A. Doukas, and A. Subrahmanyam, 2013, Cognitive dissonance, sentiment, and momentum, Journal of Financial and Quantitative Analysis 48, 245–275.
Asem, E., and G. Y. Tian, 2010, Market dynamics and momentum profits, Journal of Financial and Quantitative Analysis 45, 1549–1562.
- Avramov, D., S. Cheng, and A. Hameed, 2016, Time‐varying liquidity and momentum profits, Journal of Financial and Quantitative Analysis 51, 1897–1923.
Paper not yet in RePEc: Add citation now
Badrinath, S. G., and S. Wahal, 2002, Momentum trading by institutions, The Journal of Finance 57, 2449–2478.
- Baker, M., and J. Wurgler, 2006, Investor sentiment and the cross‐section of stock returns, The Journal of Finance 61, 1645–1680.
Paper not yet in RePEc: Add citation now
Baker, M., and J. Wurgler, 2007, Investor sentiment in the stock market, Journal of Economic Perspectives 21, 129–151.
Ball, R., and E. Bartov, 1996, How naive is the stock market’s use of nings information?, Journal of Accounting and Economics 21, 319–337.
Ball, R., and P. Brown, 1968, An empirical evaluation of accounting income numbers, Journal of Accounting Resch 6, 159–178.
Baltzer, M., S. Jank, and E. Smajlbegovic, 2019, Who trades on momentum?, Journal of Financial Markets 42, 56–74.
Barberis, N., A. Shleifer, and R. Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307–343.
- Barron, O., O. Kim, S. Lim, and D. Stevens, 1998, Using analysts’ forecasts to measure properties of analysts’ information environment, The Accounting Review 73, 421–433.
Paper not yet in RePEc: Add citation now
Barroso, P., and P. Santa‐Clara, 2015, Momentum has its moments, Journal of Financial Economics 116, 111–120.
Barry, C. B., and S. J. Brown, 1985, Differential information and security market equilibrium, Journal of Financial and Quantitative Analysis 20, 407–422.
- Benson, K., P. M. Clarkson, T. Smith, and I. Tutticci, 2015, A review of accounting resch in the Asia Pacific region, Australian Journal of Management 40, 36–88.
Paper not yet in RePEc: Add citation now
- Benson, K., R. Faff, and T. Smith, 2014, Fifty ys of finance resch in the Asia Pacific Basin, Accounting and Finance 54, 335–363.
Paper not yet in RePEc: Add citation now
Brock, W., J. Lakonishok, and B. LeBaron, 1992, Simple technical trading rules and the stochastic properties of stock returns, The Journal of Finance 47, 1731–1764.
- Brown, D. P., and R. H. Jennings, 1989, On technical analysis, The Review of Financial Studies 2, 527–551.
Paper not yet in RePEc: Add citation now
Byun, S. J., S. S. Lim, and S. H. Yun, 2016, Continuing overreaction and stock return predictability, Journal of Financial and Quantitative Analysis 51, 2015–2046.
- Chan, K., A. Hameed, and W. Tong, 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
Chan, L. K., N. Jegadeesh, and J. Lakonishok, 1996, Momentum strategies, The Journal of Finance 51, 1681–1713.
Chen, H.‐Y., P.‐H. Chou, and C.‐H. Hsieh, 2018, Persistency of the momentum effect, European Financial Management 24, 856–892.
Chen, Y., and H. Zhao, 2012, Informed trading, information uncertainty, and price momentum, Journal of Banking and Finance 36, 2095–2109.
Chen, Z., and B. Yang, 2019, In sch of preference shock risks: evidence from longevity risks and momentum profits, Journal of Financial Economics 133, 225–249.
Chordia, T., A. Subrahmanyam, and Q. Tong, 2014, Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?, Journal of Accounting and Economics 58, 41–58.
- Chordia, T., and L. Shivakumar, 2002, Momentum, business cycle, and time‐varying expected returns, The Journal of Finance 57, 985–1019.
Paper not yet in RePEc: Add citation now
- Chordia, T., and L. Shivakumar, 2006, Nings and price momentum, Journal of Financial Economics 80, 627–656.
Paper not yet in RePEc: Add citation now
Chui, A. C. W., S. Titman, and K. C. J. Wei, 2010, Individualism and momentum around the world, The Journal of Finance 65, 361–392.
Cooper, M. J., R. C. Gutierrez, and A. Hameed, 2004, Market states and momentum, The Journal of Finance 59, 1345–1365.
Da, Z., U. G. Gurun, and M. Warachka, 2014, Frog in the pan: continuous information and momentum, The Review of Financial Studies 27, 2171–2218.
- Daniel, K., and T. Moskowitz, 2016, Momentum crashes, Journal of Financial Economics 122, 221–247.
Paper not yet in RePEc: Add citation now
Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, Investor psychology and security market under‐ and over‐reactions, The Journal of Finance 53, 1839–1885.
Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 2001, Overconfidence, arbitrage, and equilibrium asset pricing, The Journal of Finance 56, 921–965.
Diether, K. B., C. J. Malloy, and A. Scherbina, 2002, Difference of opinion and the cross section of stock returns, The Journal of Finance 57, 2113–2141.
Fama, E. F., and K. R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.
Garcia‐Feijoo, L., G. R. Jensen, and T. K. Jensen, 2018, Momentum and funding conditions, Journal of Banking and Finance 88, 312–329.
- George, T. J., and C.‐Y. Hwang, 2004, The 52‐week high and momentum investing, The Journal of Finance 59, 2145–2176.
Paper not yet in RePEc: Add citation now
Glosten, L. R., R. Jagannathan, and D. E. Runkle, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, The Journal of Finance 48, 1779–1801.
Goetzmann, W. N., and S. Huang, 2018, Momentum in imperial Russia, Journal of Financial Economics 130, 579–591.
Griffin, J. M., X. Ji, and J. S. Martin, 2003, Momentum investing and business cycle risk: evidence from pole to pole, The Journal of Finance 58, 2515–2547.
- Griffin, J. M., X. Ji, and J. S. Martin, 2005, Global momentum strategies, Journal of Portfolio Management 31, 23–39.
Paper not yet in RePEc: Add citation now
Han, Y., G. Zhou, and Y. Zhu, 2016, A trend factor: any economic gains from using information over investment horizons?, Journal of Financial Economics 122, 352–375.
- Han, Y., K. Yang, and G. Zhou, 2013, A new anomaly: the cross‐sectional profitability of technical analysis, Journal of Financial and Quantitative Analysis 48, 1433–1461.
Paper not yet in RePEc: Add citation now
Hirshleifer, D., 2001, Investor psychology and asset pricing, The Journal of Finance 56, 1533–1597.
Hong, H., and J. C. Stein, 1999, A unified theory of underreaction, momentum trading, and overreaction in asset markets, The Journal of Finance 54, 2143–2184.
- Hou, K., L. Peng, and W. Xiong, 2009, A tale of two anomalies: the implications of investor attention for price and nings momentum. Available at: http://dx.doi.org/10.2139/ssrn.976394.
Paper not yet in RePEc: Add citation now
- Huang, D., H. Zhang, G. Zhou, and Y. Zhu, 2019, Twin momentum: fundamental trends matter. Available at: http://dx.doi.org/10.2139/ssrn.2894068.
Paper not yet in RePEc: Add citation now
- Imhoff, E., and G. Lobo, 1992, The effect of ex ante nings uncertainty on nings response coefficients, The Accounting Review 67, 427–439.
Paper not yet in RePEc: Add citation now
Israel, R., and T. J. Moskowitz, 2013, The role of shorting, firm size, and time on market anomalies, Journal of Financial Economics 108, 275–301.
Jegadeesh, N., 1990, Evidence of predictable behavior of security returns, The Journal of Finance 45, 881–898.
Jegadeesh, N., and S. Titman, 1993, Returns to buying winners and selling losers: implications for stock market efficiency, The Journal of Finance 43, 65–91.
Jegadeesh, N., and S. Titman, 2001, Profitability of momentum strategies: an evaluation of alternative explanations, The Journal of Finance 56, 699–720.
Ji, X., J. S. Martin, and Y. Yao, 2017, Macroeconomic risk and seasonality in momentum profits, Journal of Financial Markets 36, 76–90.
- Jiang, G., C. M. C. Lee, and Y. Zhang, 2005, Information uncertainty and expected returns, Review of Accounting Studies 10, 185–221.
Paper not yet in RePEc: Add citation now
Kahneman, D., and A. Tversky, 1979, Prospect theory: an analysis of decision under risk, Econometrica 47, 263–292.
- Kahneman, D., P. Slovic, and A. Tversky, 1982, Judgment under Uncertainty: Heuristics and Biases (Cambridge University Press, New York).
Paper not yet in RePEc: Add citation now
- Lam, F. Y. E. C., and K. C. J. Wei, 2011, Limits‐to‐arbitrage, investment frictions, and the asset growth anomaly, Journal of Financial Economics 102, 127–149.
Paper not yet in RePEc: Add citation now
- Lang, M., and R. J. Lundholm, 1996, Corporate disclosure policy and analyst behavior, The Accounting Review 71, 467–492.
Paper not yet in RePEc: Add citation now
Li, L., and V. Galvani, 2018, Market states, sentiment, and momentum in the corporate bond market, Journal of Banking and Finance 89, 249–265.
Lo, A. W., and A. C. MacKinlay, 1990, When are contrarian profits due to stock market overreaction?, The Review of Financial Studies 3, 175–205.
Lo, A. W., H. Mamaysky, and J. Wang, 2000, Foundations of technical analysis: computational algorithms, statistical inference, and empirical implementation, The Journal of Finance 55, 1705–1770.
Mortal, S. C., and M. J. Schill, 2018, The role of firm investment in momentum and reversal, Journal of Empirical Finance 48, 255–278.
Moskowitz, T. J., and M. Grinblatt, 1999, Do industries explain momentum?, The Journal of Finance 54, 1249–1290.
Neely, C. J., D. E. Rapach, J. Tu, and G. Zhou, 2014, Forecasting the equity risk premium: the role of technical indicators, Management Science 60, 1772–1791.
Newey, W., and K. West, 1987, A simple, positive semi‐definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703–708.
- Rouwenhorst, K. G., 1998, International momentum strategies, The Journal of Finance 53, 267–284.
Paper not yet in RePEc: Add citation now
- Sagi, J. S., and M. S. Seasholes, 2007, Firm‐specific attributes and the cross‐section of momentum, Journal of Financial Economics 84, 389–434.
Paper not yet in RePEc: Add citation now
Stambaugh, R. F., J. Yu, and Y. Yuan, 2012, The short of it: investor sentiment and anomalies, Journal of Financial Economics 104, 288–302.
Wang, K. Q., and J. Xu, 2015, Market volatility and momentum, Journal of Empirical Finance 30, 79–91.
Zhang, X. F., 2006, Information uncertainty and stock returns, The Journal of Finance 61, 105–137.