Price Momentum and Trading Volume

Common risk factors in the returns on stocks and bonds

1993 • 26,177 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

Industry costs of equity

1997 • 5,967 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

Asset pricing and the bid-ask spread

1986 • 5,250 citations

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

1999 • 3,988 citations

Are Investors Reluctant to Realize Their Losses?

1998 • 3,653 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

Further Evidence On Investor Overreaction and Stock Market Seasonality

1987 • 2,330 citations

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

1990 • 2,212 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

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

1990 • 2,121 citations

International Momentum Strategies

1998 • 1,862 citations

Do Industries Explain Momentum?

1999 • 1,779 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Trading Volume and Serial Correlation in Stock Returns

1993 • 1,580 citations

Fads, Martingales, and Market Efficiency

1990 • 1,579 citations

Liquidity and stock returns: An alternative test

1998 • 1,341 citations

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC…

1998 • 1,284 citations

Momentum Strategies

1996 • 1,172 citations

Market Statistics and Technical Analysis: The Role of Volume

1994 • 1,063 citations

An Anatomy of Trading Strategies

1998 • 886 citations

Measuring abnormal performance

1992 • 864 citations

What is the Intrinsic Value of the Dow?

1999 • 728 citations

Nonstationary expected returns

1989 • 512 citations

Long‐Term Market Overreaction or Biases in Computed Returns?

1993 • 465 citations

Problems in measuring portfolio performance An application to contrarian investment strategies

1995 • 402 citations

Volume and Autocovariances in Short‐Horizon Individual Security Returns

1994 • 333 citations

The seasonal behavior of the liquidity premium in asset pricing

1993 • 321 citations

Volume for Winners and Losers: Taxation and Other Motives for Stock Trading

1986 • 309 citations

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

1998 • 147 citations

Trading Volume and Cross-Autocorrelations in Stock Returns

1999 • 146 citations

Trading Volume for Winners and Losers on the Tokyo Stock Exchange

1996 • 58 citations

The Earnings Expectations Life Cycle

1993 • 39 citations

Problems of European Reconstruction

1945 • 31 citations

Style Investing: Unique Insight Into Equity Management

1995 • 21 citations

Deleted Work

1955 • 0 citations