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From Extinction to Resurrection: Unveiling the Role of Short-Selling Frictions in Cross-Sectional Momentum

https://doi.org/10.2139/ssrn.4700511
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The short of it: Investor sentiment and anomalies
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Size, value, and momentum in international stock returns
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Momentum crashes
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When Are Contrarian Profits Due to Stock Market Overreaction?
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Consumer Confidence and Asset Prices: Some Empirical Evidence
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The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect
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Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
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Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
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The High‐Volume Return Premium
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Investor Sentiment and Corporate Disclosure
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RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
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Evidence of Predictable Behavior of Security Returns
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Industry Returns and the Fisher Effect
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Multifactor Explanations of Asset Pricing Anomalies
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On Persistence in Mutual Fund Performance
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The Delisting Bias in CRSP Data
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00867.xopenalex-extracted
Asset Float and Speculative Bubbles
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-extracted
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00896.xopenalex-extracted
The Disposition Effect and Underreaction to News
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01371.xopenalex-extracted
Dissecting Anomalies
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What Drives the Disposition Effect? An Analysis of a Long‐Standing Preference‐Based Explanation
inferredcites →https://doi.org/10.1111/jofi.12021openalex-extracted
Value and Momentum Everywhere
inferredcites →https://doi.org/10.1142/9789814417358_0006openalex-extracted
Prospect Theory: An Analysis of Decision Under Risk
inferredcites →https://doi.org/10.1146/annurev-financial-073009-104107openalex-extracted
Limits of Arbitrage
inferredcites →https://doi.org/10.2139/ssrn.1572686openalex-extracted
Acquirer Valuation and Acquisition Decisions: Identifying Mispricing Using Short Interest
inferredcites →https://doi.org/10.2139/ssrn.166840openalex-extracted
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
inferredcites →https://doi.org/10.2139/ssrn.464843openalex-extracted
Investor Sentiment and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.605001openalex-extracted
Consumer Confidence and Asset Prices: Some Empirical Evidence
inferredcites →https://doi.org/10.2139/ssrn.890271openalex-extracted
What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
inferredcites →https://doi.org/10.2307/1884166openalex-extracted
Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
inferredcites →https://doi.org/10.2307/1914185openalex-extracted
Prospect Theory: An Analysis of Decision under Risk
inferredcites →https://doi.org/10.3386/w21166openalex-extracted
Days to Cover and Stock Returns
inferredcites →https://doi.org/10.3386/w2977openalex-extracted
When are Contrarian Profits Due to Stock Market Overreaction?
inferredcites →https://doi.org/10.3386/w6324openalex-extracted
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
inferredcites →https://doi.org/10.3386/w6553openalex-extracted
Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies
inferredcites →https://doi.org/10.3386/w8734openalex-extracted
The Disposition Effect and Momentum
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