| Reference: | Amihud, Y., Mendelson, H., 1986. Liquidity and stock returns. Financ. Anal. J. 42 (3), 43-48.
Antoniou, C., Doukas, J.A., Subrahmanyam, A., 2013. Cognitive dissonance, sentiment, and momentum. J. Financ. Quant. Anal. 48 (1), 245-275.
Atmaz, A., Basak, S., 2018. Belief dispersion in the stock market. J. Finance 73 (3), 1225-1279.
Banz, R.W., 1981. The relationship between return and market value of common stocks. J. Financ. Econ. 9 (1), 3-18.
Barber, B.M., Lyon, J.D., 1997. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. J. Financ. Econ. 43 (3), 341-372.
Barber, B.M., Odean, T., 2008. All That Glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financ. Stud. 21 (2), 785-818.
Barberis, N., Shleifer, A., Vishny, R., 1998. A model of investor sentiment. J. Financ. Econ. 49 (3), 307-343.
Bekaert, G., Harvey, C.R., 1997. Emerging equity market volatility. J. Financ. Econ. 43 (1), 29-77.
Bernard, V. L., Thomas, J. K., 1989. Post-earnings-announcement drift: Delayed price response or risk premium? J. Account. Res. 27, 1-36.
Bhootra, A., 2011. Are momentum profits driven by the cross-sectional dispersion in expected stock returns? J. Financ. Mark. 14 (3), 494-513.
Bhootra, A., 2018. Another look at anchoring and stock return predictability. Finance Res. Lett. 25, 259-265.
Blume, L., Easley, D., O'Hara, M., 1994. Market statistics and technical analysis: The role of volume. J. Finance 49, 153-181.
Bouman, S., Jacobsen, B., 2002. The Halloween indicator, 'Sell in May and go away': Another puzzle. Am. Econ. Rev. 92 (5), 1618-1635.
Branch, B., 1977. A tax loss trading rule. J. Bus. 50 (2), 198-207.
Brock, W., Lakonishok, J., LeBaron, B., 1992. Simple technical trading rules and the stochastic properties of stock returns. J. Finance 47 (5), 1731-1764.
Carhart, M.M., 1997. On persistence in mutual fund performance. J. Finance 52 (1), 57-82.
Chang, E.C., Cheng, J.W., Khorana, A., 2000. An examination of herd behavior in equity markets: An international perspective. J. Bank. Financ. 24 (10), 1651-1679.
Chen, Y.M., 1993. Price limits and stock market volatility in Taiwan. Pac.-Basin Financ. J. 1 (2), 139-153.
Chiang, T.C., Zheng, D., 2010. An empirical analysis of herd behavior in global stock markets. J. Bank. Financ. 34 (8), 1911-1921.
Chordia, T., Roll, R., Subrahmanyam, A., 2001. Market liquidity and trading activity. J. Finance 56 (2), 501-530.
Chou, P.H., Chou, R.K., Ko, K.C., Chao, C.Y., 2013. What affects the cool-off duration under price limits? Pac.-Basin Financ. J. 24, 256-278.
Cohen, L., Gompers, P., Vuolteenaho, T., 2002. Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. J. Financ. Econ. 66 (2–3), 409–462.
Cooper, M.J., Gutierrez Jr, R.C., Hameed, A., 2004. Market states and momentum. J. Finance 59 (3), 1345-1365.
De Bondt, W.F., Thaler, R.H., 1985. Does the stock market overreact? J. Finance 40 (3), 793-805.
De Long, J. B., Shleifer, A., Summers, L. H., Waldmann, R. J., 1990. Noise trader risk in financial markets. J. Polit. Econ. 98 (4), 703-738.
Fabozzi, F.J., Fung, C.Y., Lam, K., Wong, W.K., 2013. Market overreaction and underreaction: tests of the directional and magnitude effects. Appl. Financ. Econ. 23 (18), 1469-1482.
Fama, E. F., French, K. R., 1992. The cross-section of expected stock returns. J. Finance 47 (2), 427-465.
Fama, E. F., French, K. R., 2015. A five-factor asset pricing model. J. Financ. Econ. 116 (1), 1-22.
Fama, E.F., French, K.R., Booth, D.G., Sinquefield, R., 1993. Differences in the risks and returns of NYSE and NASD stocks. Financ. Anal. J. 49 (1), 37-41.
Ferris, S.P., Haugen, R.A., Makhija, A.K., 1988. Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect. J. Finance 43 (3), 677-697.
Fredrickson, B., Kahneman, D., 1993. Duration neglect in retrospective evaluations of affective episodes. J. Pers. Soc. Psychol. 65 (1), 45-55.
Gallant, A.R., Rossi, P.E., Tauchen, G., 1992. Stock prices and volume. Rev. Financ. Stud. 5 (2), 199-242.
George, T., Hwang, C., 2004. The 52-week high and momentum investing. J. Finance 59 (6), 2145-2176.
Givoly, D., Ovadia, A., 1983. Year-end tax-induced sales and stock market seasonality. J. Finance 38 (1), 171-185.
Goetzmann, W.N., Massa, M., 2005. Dispersion of opinion and stock returns. J. Financ. Mark. 8 (3), 324-349.
Grinblatt, M., Keloharju, M., 2001. What makes investors trade? J. Finance 51 (2), 589-616.
Han, Y., Huang, D., Huang, D., Zhou, G., 2022. Expected return, volume, and mispricing. J. Financ. Econ. 143 (3), 1295-1315.
Harvey, C.R., 1995. Predictable risk and returns in emerging markets. Rev. Financ. Stud. 8 (3), 773-816.
Ho, H.W., Hsiao, Y.J., Lo, W.C., Yang, N.T., 2023. Momentum investing and a tale of intraday and overnight returns: Evidence from Taiwan. Pac.-Basin Financ. J. 82, 102151.
Hong, H., Stein, J. C., 1999. A unified theory of underreaction, momentum trading, and overreaction in asset markets. J. Financ. 54 (6), 2143-2184.
Huddart, S., Lang, M., Yetman, M., 2009. Volume and price patterns around a stock's 52-week highs and lows: Theory and evidence. Manage. Sci. 55 (1), 16-31.
Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48 (1), 65-91.
Karpoff, J.M., 1987. The relation between price changes and trading volume: A survey. J. Financ. Quant. Anal. 22 (1), 109-126.
Lee, C.M.C., Swaminathan, A., 2000. Price momentum and trading volume. J. Finance 55 (4), 1785-1805.
Lee, E., Piqueira, N., 2017. Short selling around the 52-week and historical highs. J. Financ. Mark. 33, 75-101.
Li, J., Yu, J., 2012. Investor attention, psychological anchors, and stock return predictability. J. Financ. Econ. 104 (2), 401-419.
Merton, R.C., 1987. A simple model of capital market equilibrium with incomplete information. J. Finance 42 (3), 373-398.
Muth, J. F., 1961. Rational expectations and the theory of price movements. Econometrica 29 (3), 315-335.
Odean, T., 1998. Are investors reluctant to realize their losses? J. Finance 53 (5), 1775-1798.
Poterba, J.M., Summers, L.H., 1988. Mean reversion in stock prices: Evidence and implications. J. Financ. Econ. 22 (1), 27-59.
Reinganum, M.R., 1983. The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. J. Financ. Econ. 12 (1), 89-104.
Roll, R., 1983. Vas ist das! The-turn-of-the-year effect and the return premia of small firms. J. Portf. Manag. 9 (2), 18-28.
Shefrin, H., Statman, M., 1985. The disposition to sell winners too early and ride losers too long: Theory and evidence. J. Finance 40 (3), 777-790.
Simon, H.A., 1955. A behavioral model of rational choice. Q. J. Econ. 69 (1), 99-125.
Tversky, A., Kahneman, D., 1974. Judgment under uncertainty: heuristics and biases. Science 185, 1124-1131.
Tversky, A., Kahneman, D., 1992. Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertain. 5 (4), 297-323.
Wang, K., Li, Y., Erickson, J., 1997. A new look at the Monday effect. J. Finance 52 (5), 2171-2186.
Wang, Z. M., Lien, D., 2022. Is maximum daily return a lottery? Evidence from monthly revenue announcements. Rev. Quant. Financ. Account. 59 (2), 545-600. |
