Do Industries Explain Momentum?

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

On Persistence in Mutual Fund Performance

1997 • 16,085 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

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

1993 • 10,751 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Industry costs of equity

1997 • 5,967 citations

Investor Psychology and Security Market Under‐ and Overreactions

1998 • 5,459 citations

Contrarian Investment, Extrapolation, and Risk

1994 • 4,396 citations

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

1999 • 3,988 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks

1997 • 2,812 citations

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

2000 • 2,607 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

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

1998 • 2,417 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

Persuasive evidence of market inefficiency

1985 • 2,037 citations

International Momentum Strategies

1998 • 1,862 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1997 • 1,718 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

Optimal Investment, Growth Options, and Security Returns

1999 • 1,525 citations

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

2001 • 1,005 citations

An Anatomy of Trading Strategies

1998 • 886 citations

Does industrial structure explain the benefits of international diversification?

1994 • 792 citations

Anomalies in relationships between securities' yields and yield-surrogates

1978 • 779 citations

The Pricing of Exchange Rate Risk in the Stock Market

1991 • 637 citations

Industrial Structure and the Comparative Behavior of International Stock Market Indices

1992 • 603 citations

Overreaction, Delayed Reaction, and Contrarian Profits

1995 • 436 citations

Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (…

1998 • 412 citations

A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns

1994 • 392 citations

Residual Risk, Trading Costs, and Commodity Futures Risk Premia:

1988 • 337 citations

Short-Horizon Return Reversals and the Bid-Ask Spread

1995 • 240 citations

Price reversals

1990 • 220 citations

Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies

1996 • 207 citations

Mean Reversion in Short-Horizon Expected Returns

1989 • 206 citations

Industry Returns and the Fisher Effect

1994 • 192 citations

A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions

1997 • 183 citations

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

1998 • 147 citations

The Power of Past Stock Returns to Explain Future Stock Returns

1995 • 78 citations

The Cross Section Of Expected Returns And Its Relation To Past Returns: New Evidence

1999 • 39 citations