Discussion of "Momentum and autocorrelation in stock returns"

被引：17

作者：

Chen, J

Hong, H ^{[1
]}

机构：

[1] Stanford Univ, Grad Sch Business, Dept Finance, Stanford, CA 94305 USA

[2] Stanford Univ, Stanford, CA 94305 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2002年 / 15卷 / 02期

关键词：

D O I：

10.1093/rfs/15.2.565

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：565 / 573

页数：9

共 15 条

[1]

Asness C.S., 2000, Predicting stock returns using industry-relative rm characteristics

[2] A model of investor sentiment [J].

Barberis, N ;

Shleifer, A ;

Vishny, R .

JOURNAL OF FINANCIAL ECONOMICS, 1998, 49 (03) :307-343

[3] Pharmacotherapeutic education through problem based learning and its impact on cognitive and motivational attitude of Indian students [J].

Chandra, D ;

Sharma, S ;

Sethi, G ;

Dkhar, S .

EUROPEAN JOURNAL OF CLINICAL PHARMACOLOGY, 1996, 51 (01) :1-5

[4] An anatomy of trading strategies [J].

Conrad, J ;

Kaul, G .

REVIEW OF FINANCIAL STUDIES, 1998, 11 (03) :489-519

[5] Multifactor explanations of asset pricing anomalies [J].

Fama, EF ;

French, KR .

JOURNAL OF FINANCE, 1996, 51 (01) :55-84

[6] Understanding the nature of the risks and the source of the rewards to momentum investing [J].

Grundy, BD ;

Martin, JS .

REVIEW OF FINANCIAL STUDIES, 2001, 14 (01) :29-78

[7] Commonality in the determinants of expected stock returns [J].

Haugen, RA ;

Baker, NL .

JOURNAL OF FINANCIAL ECONOMICS, 1996, 41 (03) :401-439

[8] Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies [J].

Hong, H ;

Lim, T ;

Stein, JC .

JOURNAL OF FINANCE, 2000, 55 (01) :265-295

[9] A unified theory of underreaction, momentum trading, and overreaction in asset markets [J].

Hong, H ;

Stein, JC .

JOURNAL OF FINANCE, 1999, 54 (06) :2143-2184

[10] RETURNS TO BUYING WINNERS AND SELLING LOSERS - IMPLICATIONS FOR STOCK-MARKET EFFICIENCY [J].

JEGADEESH, N ;

TITMAN, S .

JOURNAL OF FINANCE, 1993, 48 (01) :65-91

← 1 2 →