Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

Judgment under Uncertainty: Heuristics and Biases

1974 • 24,440 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

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

Judgement under Uncertainty: Heuristics and Biases

1983 • 3,931 citations

The New Issues Puzzle

1995 • 3,411 citations

On estimating the expected return on the market

1980 • 2,932 citations

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

2000 • 2,607 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

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

1990 • 2,212 citations

Value versus Growth: The International Evidence

1998 • 2,126 citations

International Momentum Strategies

1998 • 1,862 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Do Industries Explain Momentum?

1999 • 1,779 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Price Momentum and Trading Volume

2000 • 1,512 citations

Characteristics, Covariances, and Average Returns: 1929 to 1997

2000 • 1,194 citations

Momentum Strategies

1996 • 1,172 citations

Underperformance in long-run stock returns following seasoned equity offerings

1995 • 1,079 citations

Conservatism in human information processing

1982 • 1,062 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

Long‐Term Market Overreaction or Biases in Computed Returns?

1993 • 465 citations

Characteristics, Covariances, and Average Returns: 1929-1997

1998 • 422 citations

Cross-Sectional and Time-Series Determinants of Momentum Returns

2002 • 271 citations

The Interaction of Value and Momentum Strategies

1997 • 269 citations

Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets

2001 • 256 citations

The New Finance.

2002 • 31 citations

Deleted Work

1955 • 0 citations