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Does Underreaction Explain Short-term Return Reversals?

https://doi.org/10.2139/ssrn.4706478
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Limited attention, information disclosure, and financial reporting
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Cognitive Dissonance, Sentiment, and Momentum
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Industries and Stock Return Reversals
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Time-Varying Liquidity and Momentum Profits
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Liquidity Risk and Expected Stock Returns
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Industry Information Diffusion and the Lead-lag Effect in Stock Returns
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When Are Contrarian Profits Due to Stock Market Overreaction?
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Investment Analysis and the Adjustment of Stock Prices to Common Information
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Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns
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Overreaction, Delayed Reaction, and Contrarian Profits
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Short-term Momentum
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Market Frictions, Price Delay, and the Cross-Section of Expected Returns
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Evaporating Liquidity
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Illiquidity Contagion and Liquidity Crashes
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Geographic Lead-Lag Effects
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Investor Psychology and Security Market Under‐ and Overreactions
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Do Industries Explain Momentum?
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
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Trading Volume and Cross‐Autocorrelations in Stock Returns
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Does the Stock Market Overreact?
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A Simple Model of Capital Market Equilibrium with Incomplete Information
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Liquidity and Market Structure
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The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-extracted
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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The Limits of Arbitrage
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On Persistence in Mutual Fund Performance
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Investor Sentiment and the Cross‐Section of Stock Returns
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Liquidity and Autocorrelations in Individual Stock Returns
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Economic Links and Predictable Returns
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A Closer Look at the Short-Term Return Reversal
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Measuring Investor Attention Using Google Search
inferredcites →https://doi.org/10.2139/ssrn.279804openalex-extracted
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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Stock Prices and Social Dynamics
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Fads, Martingales, and Market Efficiency
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The Profitability of Momentum Strategies
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