Momentum, Business Cycle, and Time‐varying Expected Returns

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

The Cross‐Section of Expected Stock Returns

1992 • 15,031 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

Efficient Capital Markets: II

1991 • 5,145 citations

Agency Costs, Net Worth, and Business Fluctuations.

1989 • 4,683 citations

Credit Cycles

1997 • 4,268 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Asset returns and inflation

1977 • 2,770 citations

Stock Returns, Real Activity, Inflation, and Money

1981 • 2,625 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

Monetary Policy, Business Cycles, and the Behavior of Small Manufacturing Firms

1994 • 2,494 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

Investor Psychology and Asset Pricing

2001 • 2,326 citations

International Momentum Strategies

1998 • 1,862 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Do Industries Explain Momentum?

1999 • 1,779 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

When Are Contrarian Profits Due to Stock Market Overreaction?

1990 • 1,732 citations

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

1997 • 1,718 citations

Optimal Investment, Growth Options, and Security Returns

1999 • 1,525 citations

Price Momentum and Trading Volume

2000 • 1,512 citations

Momentum Strategies

1996 • 1,172 citations

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

2001 • 1,005 citations

Overconfidence, Arbitrage, and Equilibrium Asset Pricing

2001 • 982 citations

An Anatomy of Trading Strategies

1998 • 886 citations

Firm Size and Cyclical Variations in Stock Returns

2000 • 664 citations

Book-to-market ratios as predictors of market returns

1998 • 573 citations

Overreaction, Delayed Reaction, and Contrarian Profits

1995 • 436 citations

Tests of the Relations Among Marketwide Factors, Firm‐Specific Variables, and Stock Returns Using a Conditional Asset Pricing Model

1996 • 64 citations

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

1999 • 39 citations