Momentum and Autocorrelation in Stock Returns

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

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

1993 • 10,751 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

Investor Psychology and Security Market Under‐ and Overreactions

1998 • 5,459 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

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

1999 • 3,988 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Size and Book‐to‐Market Factors in Earnings and Returns

1995 • 3,145 citations

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

2001 • 2,559 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

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

1990 • 2,121 citations

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

1993 • 1,843 citations

A Variance Decomposition for Stock Returns

1991 • 1,817 citations

Do Industries Explain Momentum?

1999 • 1,779 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Multifactor Explanations of Asset Pricing Anomalies

1996 • 1,530 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

Size and Book-to-Market Factors in Earnings and Returns

1995 • 1,045 citations

Another Look at the Cross‐section of Expected Stock Returns

1995 • 1,009 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

Momentum, Business Cycle, and Time‐varying Expected Returns

2002 • 843 citations

Overreaction, Delayed Reaction, and Contrarian Profits

1995 • 436 citations

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

1994 • 392 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 336 citations

Another Look at the Cross-Section of Expected Stock Returns

1995 • 263 citations

Parallels Between the Cross-Sectional Predictability of Stock and Country Returns

1997 • 220 citations

Momentum, Business Cycle and Time Varying Expected Returns

2001 • 192 citations

Temporary Components of Stock Prices: A Skeptic's View

1993 • 187 citations

Temporary Components of Stock Prices: A Skeptic's View

1993 • 103 citations

Macromomentum: Evidence of Predictability in International Equity Markets

2001 • 28 citations

Temporary Movements In Stock Prices

2002 • 16 citations