Momentum and Autocorrelation in Stock Returns
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/15/2/533/5463538/150533.pdf
Reference26 articles.
1. Parallels Between the Cross-Sectional Predictability of Stock and Country Returns
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. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings
4. Bhojraj S. Swaminathan B. , 2001, “Macromomentum: Evidence of Predictability in International Equity Markets,” working paper, Cornell University.
5. A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns
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