Time Variation in Extrapolation and Anomalies
References
- Ang A, Bekaert G (2007) Stock return predictability: Is it there? Rev. Financial Stud. 20(3):651–707.Google Scholar
- (2013) Cognitive dissonance, sentiment, and momentum. J. Financial Quant. Anal. 48(1):245–275.Crossref, Google Scholar
- (2016) Investor sentiment, beta, and the cost of equity capital. Management Sci. 62(2):347–367.Link, Google Scholar
- (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61(4):1645–1680.Crossref, Google Scholar
- (2021) Prospect theory and stock market anomalies. J. Finance 76(5):2639–2687.Crossref, Google Scholar
- (2016) Prospect theory and stock returns: An empirical test. Rev. Financial Stud. 29(11):3068–3107.Crossref, Google Scholar
- (1998) A model of investor sentiment. J. Financial Econom. 49(3):307–343.Crossref, Google Scholar
- (2015) X-CAPM: An extrapolative capital asset pricing model. J. Financial Econom. 115(1):1–24.Crossref, Google Scholar
- (2018) Extrapolation and bubbles. J. Financial Econom. 129(2):203–227.Crossref, Google Scholar
- (2015) Momentum has its moments. J. Financial Econom. 116(1):111–120.Crossref, Google Scholar
- (1983) The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence. J. Financial Econom. 12(1):129–156.Crossref, Google Scholar
- (1989) Post-earnings-announcement drift: Delayed price response or risk premium? J. Accounting Res. 27:1–36.Crossref, Google Scholar
- (2018) Diagnostic expectations and credit cycles. J. Finance 73(1):199–227.Crossref, Google Scholar
- (2019) Diagnostic expectations and stock returns. J. Finance 74(6):2839–2874.Crossref, Google Scholar
- (2007) On the importance of measuring payout yield: Implications for empirical asset pricing. J. Finance 62(2):877–915.Crossref, Google Scholar
- (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Polit. Econom. 107(2):205–251.Crossref, Google Scholar
- (2018) Extrapolation bias and the predictability of stock returns by price-scaled variables. Rev. Financial Stud. 31(11):4345–4397.Crossref, Google Scholar
- (2019) Belief-based equity market sentiment. Working paper, Tilburg University, Tilburg, Netherlands.Google Scholar
- (2025) Extracting extrapolative beliefs from market prices: An augmented present-value approach. J. Financial Econom. 164:103986.Crossref, Google Scholar
- (2023) Horizon bias and the term structure of equity returns. Rev. Financial Stud. 36(3):1253–1288.Crossref, Google Scholar
- (1996) Momentum strategies. J. Finance 51(5):1681–1713.Crossref, Google Scholar
- (2024) The use of asset growth in empirical asset pricing models. J. Financial Econom. 151:103746.Crossref, Google Scholar
- (2004) Market states and momentum. J. Finance 59(3):1345–1365.Crossref, Google Scholar
- (2021) Extrapolative beliefs in the cross-section: What can we learn from the crowds? J. Financial Econom. 140(1):175–196.Crossref, Google Scholar
- (2014) A closer look at the short-term return reversal. Management Sci. 60(3):658–674.Link, Google Scholar
- (2016) Momentum crashes. J. Financial Econom. 122(2):221–247.Crossref, Google Scholar
- (2020) Short-and long-horizon behavioral factors. Rev. Financial Stud. 33(4):1673–1736.Crossref, Google Scholar
- (2000) Characteristics, covariances, and average returns: 1929 to 1997. J. Finance 55(1):389–406.Crossref, Google Scholar
- (1985) Does the stock market overreact? J. Finance 40(3):793–805.Crossref, Google Scholar
- (2004) Implied equity duration: A new measure of equity risk. Rev. Accounting Stud. 9(2):197–228.Crossref, Google Scholar
- (2009) Investor inattention and Friday earnings announcements. J. Finance 64(2):709–749.Crossref, Google Scholar
- (2018) Sentiment, limited attention and mispricing. Working paper, Singapore Management University, Singapore.Google Scholar
- (2001) Delayed security price adjustments to financial analysts’ forecasts of annual earnings. Accounting Rev. 76(4):613–632.Crossref, Google Scholar
- (2018) Anomalies and news. J. Finance 73(5):1971–2001.Crossref, Google Scholar
- (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
- (1997) Industry costs of equity. J. Financial Econom. 43(2):153–193.Crossref, Google Scholar
- (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
- (1984) Earnings releases, anomalies, and the behavior of security returns. Accounting Rev. 59(4):574–603.Google Scholar
- (2016) Expectations and investment. NBER Macroeconom. Annual 30(1):379–442.Crossref, Google Scholar
- (2014) Expectations of returns and expected returns. Rev. Financial Stud. 27(3):714–746.Crossref, Google Scholar
- (1992) The weighing of evidence and the determinants of confidence. Cognitive Psych. 24(3):411–435.Crossref, Google Scholar
- (2015) Asset pricing in production economies with extrapolative expectations. J. Monetary Econom. 76:87–106.Crossref, Google Scholar
- (1992) Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Rev. Financial Stud. 5(3):357–386.Crossref, Google Scholar
- (1999) A unified theory of underreaction, momentum trading, and overreaction in asset markets. J. Finance 54(6):2143–2184.Crossref, Google Scholar
- (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.Crossref, Google Scholar
- (2020) Replicating anomalies. Rev. Financial Stud. 33(5):2019–2133.Crossref, Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
- (2022) Asset pricing with return extrapolation. J. Financial Econom. 145(2):273–295.Crossref, Google Scholar
- (1979) Prospect theory: An analysis of decision under risk. Econometrica 47(2):263–291.Crossref, Google Scholar
- (1994) Contrarian investment, extrapolation, and risk. J. Finance 49(5):1541–1578.Crossref, Google Scholar
- (1996) Expectations and the cross-section of stock returns. J. Finance 51(5):1715–1742.Crossref, Google Scholar
- (2021) Aggregate expected investment growth and stock market returns. J. Monetary Econom. 117:618–638.Crossref, Google Scholar
- (1979) The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence. J. Financial Econom. 7(2):163–195.Crossref, Google Scholar
- (2009) Investor sentiment, post-earnings announcement drift, and accruals. Working paper, New York University, New York.Google Scholar
- (2011) Depression babies: Do macroeconomic experiences affect risk-taking? Quart. J. Econom. 126(1):373–416.Crossref, Google Scholar
- (2016) Limited attention, statement of cash flow disclosure, and the valuation of accruals. Rev. Accounting Stud. 21(2):473–515.Crossref, Google Scholar
- (2017) Volatility-managed portfolios. J. Finance 72(4):1611–1644.Crossref, Google Scholar
- (2019) Should long-term investors time volatility? J. Financial Econom. 131(3):507–527.Crossref, Google Scholar
- (1999) Do industries explain momentum? J. Finance 54(4):1249–1290.Crossref, Google Scholar
- (2012) Evaporating liquidity. Rev. Financial Stud. 25(7):2005–2039.Crossref, Google Scholar
- (2022) Asset pricing with fading memory. Rev. Financial Stud. 35(5):2190–2245.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2024) Extrapolative market participation. Working paper, Tsinghua University, Beijing.Google Scholar
- (2012) Identifying expectation errors in value/glamour strategies: A fundamental analysis approach. Rev. Financial Stud. 25(9):2841–2875.Crossref, Google Scholar
- (2013) How much do investors care about macroeconomic risk? Evidence from scheduled economic announcements. J. Financial Quant. Anal. 48(2):343–375.Crossref, Google Scholar
- (2016) Earnings announcements and systematic risk. J. Finance 71(1):83–138.Crossref, Google Scholar
- (2012) Payout yield, risk, and mispricing: A Bayesian analysis. J. Financial Econom. 105(1):131–152.Crossref, Google Scholar
- (1999) Predictive regressions. J. Financial Econom. 54(3):375–421.Crossref, Google Scholar
- (2017) Mispricing factors. Rev. Financial Stud. 30(4):1270–1315.Crossref, Google Scholar
- (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104(2):288–302.Crossref, Google Scholar
- (2006) A consumption-based model of the term structure of interest rates. J. Financial Econom. 79(2):365–399.Crossref, Google Scholar
- (2018) Cash flow duration and the term structure of equity returns. J. Financial Econom. 128(3):486–503.Crossref, Google Scholar
- (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21(4):1455–1508.Crossref, Google Scholar
- (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48(4):817–838.Crossref, Google Scholar

