|Reference: ||Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.|
Asness, Clifford S., 1995, The power of past stock returns to explain future stock returns, Working paper, Goldman Sachs Asset Management.
Asness, Clifford S., John M. Liew, and Ross L. Stevens, 1997, Parallels between the cross-sectional predictability of stock and country returns, Journal of Portfolio Management 23, 79-87.
Barberis, Nicholas, Ming Huang, and Tanos Santos, 2001, Prospect theory and asset prices, Quarterly Journal of Economics 116, 1-53.
Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307-343.
Bennett, James A., and Richard W. Sias, 2001, Can money flows predict stock returns? Financial Analysts Journal 57, 64-77.
Campbell, John Y., and John H. Cochrane, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205-251.
Chan, Louis K., Narasimhan Jedadeesh, and Josef Lakonishok, 1996, Momentum strategies, Journal of Finance 51, 1681-1713.
Chordia, Tarun, and Lakshmanan Shivakimar, 2002, Momentum, business cycle and time-varying expected return, Journal of Finance 57, 985-1019.
Chordia, Tarun, and Bhaskaran Swaminathan, 2000, Trading volume and cross-autocorrelations in stock returns, Journal of Finance 55, 913-935.
Connolly, Robert, and Chris Stivers, 2003, Momentum and reversals in equity-index returns during periods of abcdrmal turnover and return dispersion, Journal of Finance 58, 1521-1555.
Conrad, Jennifer S., Allaudeen Hameed, and Cathy Niden, 1994, Volume and autocovariances in short-horizon individual security returns, Journal of Finance 49, 1305-1330.
Conrad, Jennifer S., and Gautam Kaul, 1998, An anatomy of trading strategies, Review of Financial Studies 11, 489-519.
Cooper, Michael J., Roberto C. Gutierrez Jr., and Allaudeen Hameed, 2004, Market States and Momentum, Journal of Finance 59, 1345-1365.
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, Investor psychology and investor security market under-and overreactions, Journal of Finance 53, 1839-1886.
Datar, Vinay, Narayan Naik, and Robert Radcliffe, 1998, Liquidity and asset returns: An alternative test, Journal of Financial Markets 1, 203-220.
DeBondt, Werner F.M., and Richard Thaler, 1985, Does the stock market overreact? Journal of Finance 40, 793-808.
Ellis, Mark, and Dylan C. Thomas, 2004, Momentum and the FTSE 350, Journal of Asset Management 5, 25-36.
Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
George, Thomas J., and Chuan-Yang Hwang, 2004, The 52-week high and momentum investing, Journal of Finance 59, 2145-2176.
Gervais, Simon, and Terrance Odean, 2001, Learning to be overconfident, Review of Financial Studies 14, 1-27.
Grinblatt, Mark, and Tobias J. Moskowitz, 1999, Do industries explain momentum? Journal of Finance 54, 1249-1290.
Grinblatt, Mark, and Tobias J. Moskowitz, 2003, Predicting stock market price movement from past returns: the role of consistency and tax-loss selling, Journal of Financial Economics 71, 541-579.
Grundy, Bruce D., and J. Spencer Martin, 1998, Understanding the nature of the risks and the source of the rewards to momentum investing, Working paper, the Wharton School.
Hong, Hong, and Jeremy Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143-2184.
Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 881-898.
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-720.
Johnson, Timothy C., 2002, Rational momentum effects, Journal of Finance 57, 585-608.
Korajczyk, Robert A., and Ronnie Sadka, 2004, Are momentum profits robust to trading costs? Journal of Finance 59, 1039-1082.
Lee, Charles M. C., and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069.
Lehmann, Bruce, 1990, Fads, martingales, and market efficiency, Quarterly Journal of Economics 105, 1-28.
Lewellen, Jonathan, 2002, Momentum and autocorrelation in stock returns, The Review of Financial Studies 15, 533-563.
Nofsinger, John R., and Richard W. Sias, 1999, Herding and Feedback Trading by Institutional and Individual Investors, Journal of Finance 54, 2263-2295.
Olszewski, E. A., 1998, Assessing inefficiency in the futures markets, The Journal of Futures Markets 18, 671-704.
Olszewski, Edward, 2001, A strategy for trading the S&P 500 futures market, Journal of Economics and Finance 25, 62-79.
Richards, Anthony J., 1997, Winner-loser reversals in national stock market indices: can they be explained?, Journal of Finance 52, 2129-2144.
Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Finance 53, 267-284.
Schwager, J. D. (1989): Market Wizards: Interviews with Top Traders. New York: New York Institute of Finance.
Scott, James, Margaret Stumpp, and Peter Xu, 2003, News, not trading volume, builds momentum, Financial Analysts Journal 59, 45-54.
Simon, David P., and Roy A Wiggins III, 2001, S&P futures returns and contrary sentiment indicators, The Journal of Futures Markets 21, 447-462.
Slezak, Steve L., 2003, On the impossibility of weak-form efficient markets, Journal of financial and quantitative analysis 38, 523-554.