Are Momentum Profits Robust to Trading Costs?

Common risk factors in the returns on stocks and bonds

1993 • 26,177 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

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

Liquidity Risk and Expected Stock Returns

2003 • 5,324 citations

The Limits of Arbitrage

1997 • 4,594 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

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

2000 • 2,607 citations

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

2001 • 2,559 citations

Evidence of Predictable Behavior of Security Returns

1990 • 2,552 citations

Price, trade size, and information in securities markets

1987 • 2,249 citations

International Momentum Strategies

1998 • 1,862 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Commonality in liquidity

2000 • 1,683 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Price Momentum and Trading Volume

2000 • 1,512 citations

Optimal control of execution costs

1998 • 1,123 citations

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

2001 • 1,005 citations

Inferring Trade Direction from Intraday Data

1991 • 989 citations

Measuring abnormal performance

1992 • 864 citations

Characteristics of Risk and Return in Risk Arbitrage

2001 • 736 citations

Transactions costs and investment style: an inter-exchange analysis of institutional equity trades

1997 • 658 citations

The illusory nature of momentum profits

2003 • 647 citations

The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

1996 • 645 citations

Stocks are special too: an analysis of the equity lending market

2002 • 589 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Transaction costs and the small firm effect

1983 • 461 citations

An ordered probit analysis of transaction stock prices

1992 • 454 citations

Problems in measuring portfolio performance An application to contrarian investment strategies

1995 • 402 citations

Trading patterns, bid-ask spreads, and estimated security returns

1989 • 309 citations

Predicting Equity Liquidity

2002 • 192 citations

Trading Cost: The Critical Link Between Investment Information and Results

1983 • 171 citations

Estimating the profits from trading strategies

1996 • 150 citations

Another look at time-varying risk and return in a long-horizon contrarian strategy

1993 • 73 citations

Liquidity Risk and Expected Stock Returns

2001 • 71 citations

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

1999 • 39 citations

The Invisible Costs of Trading

1994 • 34 citations

Macromomentum: Evidence of Predictability in International Equity Markets

2001 • 28 citations

Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints

2001 • 28 citations

Price Impact Costs and the Limit of Arbitrage

2001 • 16 citations

The Seasonality of Momemtum: Analysis of Tradability

2002 • 13 citations