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

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

Multifactor Explanations of Asset Pricing Anomalies

1996 • 6,381 citations

Investor Psychology and Security Market Under‐ and Overreactions

1998 • 5,459 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 5,293 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

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1

1998 • 2,437 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

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

1990 • 2,121 citations

Constraints on short-selling and asset price adjustment to private information

1987 • 1,865 citations

International Momentum Strategies

1998 • 1,862 citations

Do Brokerage Analysts' Recommendations Have Investment Value?

1996 • 1,810 citations

Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?

1989 • 1,791 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Firm characteristics and analyst following

1989 • 1,593 citations

POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM

1989 • 1,578 citations

Liquidity and Market Structure

1988 • 1,528 citations

Momentum Strategies

1996 • 1,172 citations

Commonality in the determinants of expected stock returns

1996 • 1,069 citations

Rationality and Analysts' Forecast Bias

2001 • 1,011 citations

Self-Selection and Analyst Coverage

1997 • 948 citations

Local Return Factors and Turnover in Emerging Stock Markets

1999 • 900 citations

An Anatomy of Trading Strategies

1998 • 886 citations

Advances in Behavioral Finance.

1995 • 835 citations

Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?

1999 • 776 citations

Investment analysis and price formation in securities markets

1995 • 756 citations

Investment Analysis and the Adjustment of Stock Prices to Common Information

1993 • 675 citations

Stock Prices and the Supply of Information

1991 • 584 citations

NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

1954 • 542 citations

Investor Reaction to Salient News in Closed‐End Country Funds

1998 • 442 citations

Stock Prices and the Supply of Information

1991 • 198 citations

The impact of trading commission incentives on stock coverage and earnings forecast decisions by security analysts

1996 • 7 citations

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

1998 • 5 citations

Deleted Work

1955 • 0 citations