Discussion of “Momentum and Autocorrelation in Stock Returns”: Table 1
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/15/2/565/5463705/150565.pdf
Reference16 articles.
1. Asness C. S. Porter R. B. Stevens R. L. , 2000, “Predicting Stock Returns Using Industry-Relative Firm Characteristics,” working paper, University of Florida.
2. 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
3. An Anatomy of Trading Strategies
4. Investor Psychology and Security Market Under- and Overreactions
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