Momentum, contrarian, and the January seasonality

Journal of Banking & Finance - Tập 36 - Trang 2757-2769 - 2012
Yaqiong Yao1
1Department of Finance, The University of Melbourne, Parkville, Victoria 3010, Australia

Tài liệu tham khảo

Antoniou, 2007, Profitability of momentum strategies in international markets: the role of business cycle variables and behavioral biases, Journal of Banking and Finance, 31, 955, 10.1016/j.jbankfin.2006.08.001 Asness, C., Moskowitz, T., Pedersen, L.H., 2009. Value and Momentum Everywhere. Working Paper, New York University. Barberis, 1998, A model of investor sentiment, Journal of Financial Economics, 49, 307, 10.1016/S0304-405X(98)00027-0 Blume, 1983, Biases in computed returns: an application to the size effect, Journal of Financial Economics, 12, 387, 10.1016/0304-405X(83)90056-9 Chan, 1986, Can tax-loss selling explain the January seasonal in stock returns?, Journal of Finance, 41, 1115, 10.1111/j.1540-6261.1986.tb02534.x Chan, 1996, Momentum strategies, Journal of Finance, 51, 1681, 10.1111/j.1540-6261.1996.tb05222.x Chordia, 2002, Momentum, business cycle, and time-varying expected returns, Journal of Finance, 57, 985, 10.1111/1540-6261.00449 Daniel, 1998, Investor psychology and security market under- and overreactions, Journal of Finance, 53, 1839, 10.1111/0022-1082.00077 De Bondt, 1985, Does the stock market overreact?, Journal of Finance, 40, 793, 10.1111/j.1540-6261.1985.tb05004.x De Bondt, 1987, Further evidence on investor overreaction and stock market seasonality, Journal of Finance, 42, 557, 10.1111/j.1540-6261.1987.tb04569.x De Groot, 2012, Another look at trading costs and short-term reversal profits, Journal of Banking and Finance, 36, 371, 10.1016/j.jbankfin.2011.07.015 De Long, 1990, Noise trader risk in financial markets, Journal of Political Economy, 98, 703, 10.1086/261703 Fama, 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics, 49, 283, 10.1016/S0304-405X(98)00026-9 Fama, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance, 51, 55, 10.1111/j.1540-6261.1996.tb05202.x Galariotis, 2010, What should we know about momentum investing? The case of the Australian Security Exchange, Pacific-Basin Finance Journal, 18, 369, 10.1016/j.pacfin.2010.04.001 Griffin, 2003, Momentum investing and business cycle risk: evidence from pole to pole, Journal of Finance, 53, 2515, 10.1046/j.1540-6261.2003.00614.x Griffin, 2005, Global momentum strategies: a portfolio perspective, Journal of Portfolio Management, 31, 23, 10.3905/jpm.2005.470576 Grinblatt, 2004, Predicting stock price movements from past returns: the role of consistency and tax-loss selling, Journal of Financial Economics, 71, 541, 10.1016/S0304-405X(03)00176-4 Grundy, 2001, Understanding the nature of the risks and the source of the rewards to momentum investing, Review of Financial Studies, 14, 29, 10.1093/rfs/14.1.29 Heston, 2008, Seasonality in the cross-section of stock returns, Journal of Financial Economics, 87, 418, 10.1016/j.jfineco.2007.02.003 Jegadeesh, 1990, Evidence of predictable behavior of security returns, Journal of Finance, 45, 881, 10.1111/j.1540-6261.1990.tb05110.x Jegadeesh, 1993, Returns to buying winners and selling losers: implications for stock market efficiency, Journal of Finance, 48, 65, 10.1111/j.1540-6261.1993.tb04702.x Kang, 2011, Macroeconomic risk and the cross-section of stock returns, Journal of Banking and Finance, 35, 3158, 10.1016/j.jbankfin.2011.04.012 Keim, 1983, Size-related anomalies and stock returns seasonality: further empirical evidence, Journal of Financial Economics, 12, 13, 10.1016/0304-405X(83)90025-9 Lehmann, 1990, Fads, martingales and market efficiency, Quarterly Journal of Economics, 105, 1, 10.2307/2937816 Li, 2008, Momentum profits and time-varying unsystematic risk, Journal of Banking and Finance, 32, 541, 10.1016/j.jbankfin.2007.03.014 Moskowitz, T., Ooi, Y.H., Pedersen, L.H., 2011. Time series momentum. Journal of Financial Economics (forthcoming). Ng, 2004, Institutional trading and the turn-of-the-year effect, Journal of Financial Economics, 74, 343, 10.1016/j.jfineco.2003.05.009 Novy-Marx, R., 2011. Is momentum really momentum? Journal of Financial Economics (forthcoming). Pastor, 2003, Liquidity risk and expected stock returns, Journal of Political Economy, 111, 642, 10.1086/374184 Rozeff, 1976, Capital market seasonality: the case of stock returns, Journal of Financial Economics, 3, 379, 10.1016/0304-405X(76)90028-3 Sagi, 2007, Firm-specific attributes and the cross-section of momentum, Journal of Financial Economics, 84, 389, 10.1016/j.jfineco.2006.02.002 Starks, 2006, Tax-loss selling and the January effect: evidence from municipal bond closed-end funds, Journal of Finance, 61, 3049, 10.1111/j.1540-6261.2006.01011.x Sun, 2010, Risk and the January effect, Journal of Banking and Finance, 34, 965, 10.1016/j.jbankfin.2009.10.005 Van Dijk, 2011, Is size dead? A review of the size effect in equity returns, Journal of Banking and Finance, 35, 3263, 10.1016/j.jbankfin.2011.05.009 Wang, 2011, Risk adjustment and momentum sources, Journal of Banking and Finance, 35, 1427, 10.1016/j.jbankfin.2010.10.021