Forecast Accuracy Uncertainty and Momentum

References

• Barberis N., Shleifer A., Vishny R. A model of investor sentiment. J. Financial Econom. (1998) 49:307–343Crossref, Google Scholar
• Brav A., Heaton J. B. Competing theories of financial anomalies. Rev. Financial Stud. (2002) 15:575–606Crossref, Google Scholar
• Brown L. D. How important is past analyst forecast accuracy? Financial Analysts J. (2001) 57:44–49Crossref, Google Scholar
• Campbell J. Y., Shiller R. J. The dividend-price ratio and expectations of future dividends and discount factors. Rev. Financial Stud. (1988) 1:195–228Crossref, Google Scholar
• Chan L. K. C., Jegadeesh N., Lakonishok J. Momentum strategies. J. Finance (1996) 51:1681–1713Crossref, Google Scholar
• Chan L. K. C., Jegadeesh N., Lakonishok J. The profitability of momentum strategies. Financial Analysts J. (1999) 55:80–90Crossref, Google Scholar
• Chan L. K. C., Karceski J., Lakonishok J. The level and persistence of growth rates. J. Finance (2003) 58:643–684Crossref, Google Scholar
• Chordia T., Shivakumar L. Earnings and price momentum. J. Financial Econom. (2006) 80:627–656Crossref, Google Scholar
• Clement M. B., Tse S. Y. Do investors respond to analysts' forecast revisions as if forecast accuracy is all that matters? Accounting Rev. (2003) 78:227–249Crossref, Google Scholar
• Daniel K., Titman S. Market reactions to tangible and intangible information. J. Finance (2006) 61:1605–1643Crossref, Google Scholar
• Daniel K., Hirshleifer D., Subrahmanyam A. Investor psychology and security market under- and overreactions. J. Finance (1998) 53:1839–1885Crossref, Google Scholar
• Fama E., French K. R. Common risk factors in the returns on stocks and bonds. J. Financial Econom. (1993) 33:3–56Crossref, Google Scholar
• Hirshleifer D., Teoh S. H. Limited attention, information disclosure, and financial reporting. J. Accounting Econom. (2003) 36:337–386Crossref, Google Scholar
• Hong H., Stein J. C. A unified theory of underreaction, momentum trading, and overreaction in asset markets. J. Finance (1999) 54:2143–2184Crossref, Google Scholar
• Hong H., Lim T., Stein J. C. Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. J. Finance (2000) 55:265–295Crossref, Google Scholar
• Hong H., Stein J. C., Yu J. Simple forecasts and paradigm shifts. J. Finance (2007a) 62:1207–1242Crossref, Google Scholar
• Hong H., Torous W., Valkanov R. Do industries lead the stock market? Gradual diffusion of information and cross-asset return predictability. J. Financial Econom. (2007b) 83:367–396Crossref, Google Scholar
• Jackson A., Johnson T. Unifying underreaction anomalies. J. Bus. (2006) 79:75–114Crossref, Google Scholar
• Jegadeesh N., Titman S. Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance (1993) 48:65–91Crossref, Google Scholar
• Jiang G., Lee C. M. C., Zhang Y. Information uncertainty and expected returns. Rev. Accounting Stud. (2005) 10:185–221Crossref, Google Scholar
• Lee C. M. C., Swaminathan B. Price momentum and trading volume. J. Finance (2000) 55:2017–2069Crossref, Google Scholar
• Lewellen J., Shanken J. Learning, asset pricing tests, and market efficiency. J. Finance (2002) 57:1113–1145Crossref, Google Scholar
• Lim T. Rationality and analysts' forecast bias. J. Finance (2001) 56:369–385Crossref, Google Scholar
• Markowitz H. M. Portfolio selection. J. Finance (1952) 7:77–91Google Scholar
• Pástor L., Stambaugh R. F. Liquidity risk and expected stock returns. J. Political Econom. (2003) 111:642–685Crossref, Google Scholar
• Peng L., Xiong W. Limited attention, overconfidence and category learning. J. Financial Econom. (2006) 80:563–602Crossref, Google Scholar
• Shiller R. J.Market Volatility (1992) (MIT Press, Cambridge, MA) Google Scholar
• Sinha P., Brown L. D., Das S. A re-examination of financial analysts' differential earnings forecast accuracy. Contemporary Accounting Res. (1997) 14:1–42Crossref, Google Scholar
• Timmermann A. G. How learning in financial markets generates excess volatility and predictability in stock prices. Quart. J. Econom. (1993) 108:1135–1145Crossref, Google Scholar
• Zhang X. F. Information uncertainty and stock returns. J. Finance (2006) 61:105–136Crossref, Google Scholar