Who trades on momentum?

Amann, 2012 An, 2016, Asset pricing when traders sell extreme winners and losers, Rev. Financ. Stud., 29, 823 Andrei, 2017, Information percolation, momentum, and reversal, J. Financ. Econ., 123, 617, 10.1016/j.jfineco.2016.05.012 Antoniou, 2013, Cognitive dissonance, sentiment, and momentum, J. Financ. Quant. Anal., 48, 245, 10.1017/S0022109012000592 Asness, 2013, Value and momentum everywhere, J. Finance, 68, 929, 10.1111/jofi.12021 Badrinath, 2002, Momentum trading by institutions, J. Finance, 57, 2449, 10.1111/1540-6261.00502 Barber, 2009, Just how much do individual investors lose by trading?, Rev. Financ. Stud., 22, 609, 10.1093/rfs/hhn046 Barber, 2009, Do retail trades move markets?, Rev. Financ. Stud., 22, 151, 10.1093/rfs/hhn035 Barber, 2009, Systematic noise, J. Financ. Market., 12, 547, 10.1016/j.finmar.2009.03.003 Barberis, 1998, A model of investor sentiment, J. Financ. Econ., 49, 307, 10.1016/S0304-405X(98)00027-0 Barroso, 2015, Momentum has its moments, J. Financ. Econ., 116, 111, 10.1016/j.jfineco.2014.11.010 Ben-David, 2012, Are investors really reluctant to realize their losses? Trading responses to past returns and the disposition effect, Rev. Financ. Stud., 25, 2485, 10.1093/rfs/hhs077 Bennett, 2003, Greener pastures and the impact of dynamic institutional preferences, Rev. Financ. Stud., 16, 1203, 10.1093/rfs/hhg040 Betermier, 2017, Who are the value and growth investors, J. Finance, 72, 5, 10.1111/jofi.12473 Brückner, 2015 Calvet, 2009, Fight or flight? portfolio rebalancing by individual investors, Q. J. Econ., 124, 301, 10.1162/qjec.2009.124.1.301 Campbell, 2014 Choe, 1999, Do foreign investors destabilize stock markets? the Korean experience in 1997, J. Financ. Econ., 54, 227, 10.1016/S0304-405X(99)00037-9 Chordia, 2002, Momentum, business cycle, and time-varying expected returns, J. Finance, 57, 985, 10.1111/1540-6261.00449 Chui, 2010, Individualism and momentum around the world, J. Finance, 65, 361, 10.1111/j.1540-6261.2009.01532.x Conrad, 1998, An anatomy of trading strategies, Rev. Financ. Stud., 11, 489, 10.1093/rfs/11.3.489 Cooper, 2004, Market states and momentum, J. Finance, 59, 1345, 10.1111/j.1540-6261.2004.00665.x Dahlquist, 2001, Direct foreign ownership, institutional investors, and firm characteristics, J. Financ. Econ., 59, 413, 10.1016/S0304-405X(00)00092-1 Daniel, 1998, Investor psychology and security market under- and overreactions, J. Finance, 53, 1839, 10.1111/0022-1082.00077 Daniel, 2012 Daniel, 2016, Momentum crashes, J. Financ. Econ., 122, 1, 10.1016/j.jfineco.2015.12.002 Dasgupta, 2011, Institutional trade persistence and long-term equity returns, J. Finance, 66, 635, 10.1111/j.1540-6261.2010.01644.x Dasgupta, 2011, The price impact of institutional herding, Rev. Financ. Stud., 24, 892, 10.1093/rfs/hhq137 De Long, 1990, Positive feedback investment strategies and destabilizing rational speculation, J. Finance, 45, 379, 10.1111/j.1540-6261.1990.tb03695.x Del Guercio, 1996, The distorting effect of the prudent-man laws on institutional equity investments, J. Financ. Econ., 40, 31, 10.1016/0304-405X(95)00841-2 Falkenstein, 1996, Preferences for stock characteristics as revealed by mutual fund portfolio holdings, J. Finance, 51, 111, 10.1111/j.1540-6261.1996.tb05204.x Fama, 2012, Size, value, and momentum in international stock returns, J. Financ. Econ., 105, 457, 10.1016/j.jfineco.2012.05.011 Fama, 1973, Risk, return, and equilibrium: empirical tests, J. Polit. Econ., 81, 607, 10.1086/260061 Gompers, 2001, Institutional investors and equity prices, Q. J. Econ., 116, 229, 10.1162/003355301556392 Griffin, 2003, The dynamics of institutional and individual trading, J. Finance, 58, 2285, 10.1046/j.1540-6261.2003.00606.x Griffin, 2003, Momentum investing and business cycle risk: evidence from pole to pole, J. Finance, 58, 2515, 10.1046/j.1540-6261.2003.00614.x Grinblatt, 2005, Prospect theory, mental accounting, and momentum, J. Financ. Econ., 78, 311, 10.1016/j.jfineco.2004.10.006 Grinblatt, 2000, The investment behavior and performance of various investor types: a study of Finland's unique data set, J. Financ. Econ., 55, 43, 10.1016/S0304-405X(99)00044-6 Grinblatt, 2001, What makes investors trade?, J. Finance, 56, 589, 10.1111/0022-1082.00338 Grinblatt, 1995, Momentum investment strategies, portfolio performance, and herding: a study of mutual fund behavior, Am. Econ. Rev., 85, 1088 Grundy, 2001, Understanding the nature of the risks and the source of the rewards to momentum investing, Rev. Financ. Stud., 14, 29, 10.1093/rfs/14.1.29 Hong, 1999, A unified theory of underreaction, momentum trading, and overreaction in asset markets, J. Finance, 54, 2143, 10.1111/0022-1082.00184 Ince, 2006, Individual equity return data from Thomson Datastream: handle with care!, J. Financ. Res., 29, 463, 10.1111/j.1475-6803.2006.00189.x Jegadeesh, 1990, Evidence of predictable behavior of security returns, J. 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, J. Finance, 48, 65, 10.1111/j.1540-6261.1993.tb04702.x Jegadeesh, 2001, Profitability of momentum strategies: an evaluation of alternative explanations, J. Finance, 56, 699, 10.1111/0022-1082.00342 Jegadeesh, 2011, Momentum, Ann. Rev. Financial Econ., 3, 493, 10.1146/annurev-financial-102710-144850 Karolyi, 2012, Understanding commonality in liquidity around the world, J. Financ. Econ., 105, 82, 10.1016/j.jfineco.2011.12.008 Lakonishok, 1992, The impact of institutional trading on stock prices, J. Financ. Econ., 32, 23, 10.1016/0304-405X(92)90023-Q Lehmann, 1990, Fads, martingales, and market efficiency, Q. J. Econ., 105, 1, 10.2307/2937816 Lewellen, 2011, Institutional investors and the limits of arbitrage, J. Financ. Econ., 102, 62, 10.1016/j.jfineco.2011.05.012 Lou, 2012, A flow-based explanation for return predictability, Rev. Financ. Stud., 25, 3457, 10.1093/rfs/hhs103 Lou, 2014 Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610 Nofsinger, 1999, Herding and feedback trading by institutional and individual investors, J. Finance, 54, 2263, 10.1111/0022-1082.00188 Odean, 1998, Are investors reluctant to realize their losses?, J. Finance, 53, 1775, 10.1111/0022-1082.00072 Odean, 1999, Do investors trade too much?, Am. Econ. Rev., 89, 1279, 10.1257/aer.89.5.1279 Petersen, 2009, Estimating standard errors in finance panel data sets: comparing approaches, Rev. Financ. Stud., 22, 435, 10.1093/rfs/hhn053 Rouwenhorst, 1998, International momentum strategies, J. Finance, 53, 267, 10.1111/0022-1082.95722 Schmidt, 2011 Shleifer, 2000 Sias, 2007, Reconcilable differences: momentum trading by institutions, Financ. Rev., 42, 1, 10.1111/j.1540-6288.2007.00159.x Sias, 2006, Changes in institutional ownership and stock returns: assessment and methodology, J. Bus., 79, 2869, 10.1086/508002 Sirri, 1998, Costly search and mutual fund flows, J. Finance, 53, 1589, 10.1111/0022-1082.00066 Stein, 2009, Presidential address: sophisticated investors and market efficiency, J. Finance, 64, 1517, 10.1111/j.1540-6261.2009.01472.x Thompson, 2011, Simple formulas for standard errors that cluster by both firm and time, J. Financ. Econ., 99, 1, 10.1016/j.jfineco.2010.08.016 Vayanos, 2013, An institutional theory of momentum and reversal, Rev. Financ. Stud., 26, 1087, 10.1093/rfs/hht014 Wang, 2015, Market volatility and momentum, J. Empir. Finance, 30, 79, 10.1016/j.jempfin.2014.11.009 Wermers, 1999, Mutual fund herding and the impact on stock prices, J. Finance, 54, 581, 10.1111/0022-1082.00118 Yan, 2009, Institutional investors and equity returns: are short-term institutions better informed?, Rev. Financ. Stud., 22, 893, 10.1093/revfin/hhl046