Stock and Bond Market Interaction: Does Momentum Spill Over?

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

1993 • 10,751 citations

ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*

1974 • 10,570 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

Investor Psychology and Security Market Under‐ and Overreactions

1998 • 5,459 citations

The Limits of Arbitrage

1997 • 4,594 citations

A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

1999 • 3,988 citations

Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

2000 • 2,607 citations

Evidence that stock prices do not fully reflect the implications of current earnings for future earnings

1990 • 2,121 citations

International Momentum Strategies

1998 • 1,862 citations

Do Industries Explain Momentum?

1999 • 1,779 citations

Price Momentum and Trading Volume

2000 • 1,512 citations

Momentum Strategies

1996 • 1,172 citations

Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing

2001 • 1,005 citations

The Effect of Bond Rating Agency Announcements on Bond and Stock Prices

1992 • 966 citations

An Anatomy of Trading Strategies

1998 • 886 citations

The effect of bond rating changes on common stock prices

1986 • 758 citations

Investment Analysis and the Adjustment of Stock Prices to Common Information

1993 • 675 citations

Trading Volume and Cross‐Autocorrelations in Stock Returns

2000 • 638 citations

Overreaction, Delayed Reaction, and Contrarian Profits

1995 • 436 citations

Speculative Dynamics

1991 • 426 citations

An Empirical Study of Bond Market Transactions

2000 • 352 citations

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

1999 • 269 citations

Short-Horizon Return Reversals and the Bid-Ask Spread

1995 • 240 citations

Price reversals

1990 • 220 citations

The Cross Section of Expected Firm (not equity) Returns

2000 • 24 citations