A Closer Look at the Short-Term Return Reversal

References

• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5:31–56.Crossref, Google Scholar
• Ang A, Hodrick RJ, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61:259–299.Crossref, Google Scholar
• Avramov D, Chordia T, Goyal A (2006) Liquidity and autocorrelations in individual stock returns. J. Finance 61:2365–2394.Crossref, Google Scholar
• Baker M, Stein J (2004) Market liquidity as a sentiment indicator. J. Financial Markets 7:271–299.Crossref, Google Scholar
• Baker M, Wurgler J (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61:1645–1680.Crossref, Google Scholar
• Black F (1986) Noise. J. Finance 41:529–543.Crossref, Google Scholar
• Blume ME, Stambaugh RF (1983) Biases in computed returns: An application to the size effect. J. Financial Econom. 12:387–404.Crossref, Google Scholar
• Campbell JY, Shiller RJ (1988) The dividend-price ratio and expectations of future dividends and discount factors. Rev. Financial Stud. 1:195–228.Crossref, Google Scholar
• Campbell JY, Grossman SJ, Wang J (1993) Trading volume and serial correlation in stock returns. Quart. J. Econom. 108:905–939.Crossref, Google Scholar
• Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52:57–82.Crossref, Google Scholar
• Chen L, Da Z, Zhao X (2013) What drives stock price movement? Rev. Financial Stud. 26:841–876.Crossref, Google Scholar
• Coval J, Stafford E (2007) Asset fire sales (and purchases) in equity markets. J. Financial Econom. 86:479–512.Crossref, Google Scholar
• Da Z, Gao P (2010) Clientele change, liquidity shock, and the return on financially distressed stocks. J. Financial Quant. Anal. 45:27–48.Crossref, Google Scholar
• Da Z, Warachka M (2009) Cashflow risk, systematic earnings revisions, and the cross-section of stock returns. J. Financial Econom. 94:448–468.Crossref, Google Scholar
• Daniel K, Titman S (2006) Market reactions to tangible and intangible information. J. Finance 61:1605–1643.Crossref, Google Scholar
• Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57:2113–2141.Crossref, Google Scholar
• Easton P, Monahan S (2005) An evaluation of accounting-based measures of expected returns. Accounting Rev. 80:501–538.Crossref, Google Scholar
• Fama E (1965) The behavior of stock market prices. J. Bus. 38:34–105.Crossref, Google Scholar
• Fama E, French K (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33:3–56.Crossref, Google Scholar
• Fama E, MacBeth JD (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81:607–636.Crossref, Google Scholar
• Frankel R, Lee CM (1998) Accounting valuation, market expectation, and cross-sectional stock returns. J. Accounting Econom. 9:195–228.Google Scholar
• Grossman S, Miller MH (1988) Liquidity and market structure. J. Finance 43:617–633.Crossref, Google Scholar
• Hirshleifer D, Jiang D (2010) A financing-based misvaluation factor and the cross section of expected returns. Rev. Financial Stud. 23:3401–3436.Crossref, Google Scholar
• Jegadeesh N (1990) Evidence of predictable behavior of security returns. J. Finance 45:881–898.Crossref, Google Scholar
• Jegadeesh N, Titman S (1995) Short-horizon return reversals and the bid-ask spread. J. Financial Intermediation 4:116–132.Crossref, Google Scholar
• Lehmann B (1990) Fads, martingales and market efficiency. Quart. J. Econom. 105:1–28.Crossref, Google Scholar
• Miller EM (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32:1251–1168.Crossref, Google Scholar
• Moskowitz TJ, Grinblatt M (1999) Do industries explain momentum? J. Finance 54:1249–1290.Crossref, Google Scholar
• Nagel S (2012) Evaporating liquidity. Rev. Financial Stud. 25:2005–2039.Crossref, Google Scholar
• Newey W, West K (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703–708.Crossref, Google Scholar
• Pastor L, Stambaugh RF (2003) Liquidity risk and expected stock returns. J. Political Econom. 111:642–685.Crossref, Google Scholar
• Pastor L, Sinha M, Swaminathan B (2008) Estimating the intertemporal risk-return tradeoff using the implied cost of capital. J. Finance 63:2859–2897.Crossref, Google Scholar
• Shiller RJ (1984) Stock prices and social dynamics. Brookings Papers Econom. Activity 12:457–498.Crossref, Google Scholar
• Shleifer A, Vishny RW (1992) Liquidation values and debt capacity: A market equilibrium approach. J. Finance 47:1343–1366.Crossref, Google Scholar
• Shleifer A, Vishny RW (1997) The limits of arbitrage. J. Finance 52:35–55.Crossref, Google Scholar
• Sims CA (1984) Martingale-like behavior of prices and interest rates. Working paper, University of Minnesota, Minneapolis.Google Scholar
• Stambaugh R, Yu J, Yuan Y (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104:288–302.Crossref, Google Scholar
• Stambaugh R, Yu J, Yuan Y (2013) Arbitrage asymmetry and the idiosyncratic volatility puzzle. Working paper, University of Minnesota, Minneapolis.Google Scholar
• Stiglitz JE (1989) Using tax policy to curb speculative trading. J. Financial Services 3:101–115.Crossref, Google Scholar
• Subrahmanyam A (2005) Distinguishing between rationales for short-horizon predictability of stock returns. Financial Rev. 40:11–35.Crossref, Google Scholar
• Summers LH, Summers VP (1989) When financial markets work too well: A cautious case for a securities transactions tax. J. Financial Services 3:261–286.Crossref, Google Scholar
• Vuolteenaho T (2002) What drives firm-level stock returns? J. Finance 57:233–264.Crossref, Google Scholar
• Wurgler J, Zhuravskaya E (2002) Does arbitrage flatten demand curves for stocks? J. Bus. 75:583–608.Crossref, Google Scholar