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The Intramonth Momentum Cycle
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/s11156-015-0547-8openalex-snapshot
Has momentum lost its momentum?
inferredcites →https://doi.org/10.1016/0304-405x(84)90032-1openalex-snapshot
Optimal stock trading with personal taxes
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.09.004openalex-snapshot
Dividends and price momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2006.09.007openalex-snapshot
Asset Fire Sales (and Purchases) in Equity Markets
inferredcites →https://doi.org/10.1016/j.jfineco.2011.05.012openalex-snapshot
Institutional investors and the limits of arbitrage
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.001openalex-snapshot
The short of it: Investor sentiment and anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2012.05.011openalex-snapshot
Size, value, and momentum in international stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2012.10.005openalex-snapshot
Anomalies and financial distress
inferredcites →https://doi.org/10.1016/j.jfineco.2018.06.008openalex-snapshot
Day of the Week and the Cross-Section of Returns
inferredcites →https://doi.org/10.1016/j.jfineco.2020.07.009openalex-snapshot
Are return seasonalities due to risk or mispricing?
inferredcites →https://doi.org/10.1016/j.jfineco.2020.07.020openalex-snapshot
The cross-section of intraday and overnight returns
inferredcites →https://doi.org/10.1016/s0304-405x(03)00176-4openalex-snapshot
Predicting stock price movements from past returns: the role of consistency and tax-loss selling
inferredcites →https://doi.org/10.1016/s1386-4181(00)00006-9openalex-snapshot
On the occurrence and consequences of inaccurate trade classification
inferredcites →https://doi.org/10.1086/701683openalex-snapshot
A Demand System Approach to Asset Pricing
inferredcites →https://doi.org/10.1093/rfs/1.4.403openalex-snapshot
Are Seasonal Anomalies Real? A Ninety-Year Perspective
inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-snapshot
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhs103openalex-snapshot
A Flow-Based Explanation for Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hht014openalex-snapshot
An Institutional Theory of Momentum and Reversal
inferredcites →https://doi.org/10.1093/rfs/hhz054openalex-snapshot
Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs
inferredcites →https://doi.org/10.1111/0022-1082.00077openalex-snapshot
Investor Psychology and Security Market Under‐ and Overreactions
inferredcites →https://doi.org/10.1111/0022-1082.00184openalex-snapshot
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
inferredcites →https://doi.org/10.1111/0022-1082.00206openalex-snapshot
Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
inferredcites →https://doi.org/10.1111/1540-6261.00449openalex-snapshot
Momentum, Business Cycle, and Time‐varying Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-snapshot
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01569.xopenalex-snapshot
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01643.xopenalex-snapshot
The Interim Trading Skills of Institutional Investors
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01751.xopenalex-snapshot
Mutual Fund Tax Clienteles
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12436openalex-snapshot
Infrequent Rebalancing, Return Autocorrelation, and Seasonality
inferredcites →https://doi.org/10.1111/jofi.13271openalex-snapshot
Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors
inferredcites →https://doi.org/10.1287/mnsc.2020.3803openalex-snapshot
The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?
inferredcites →https://doi.org/10.1287/mnsc.2023.02344openalex-snapshot
Exchanges for Government Bonds? Evidence During COVID-19
inferredcites →https://doi.org/10.1561/104.00000103openalex-snapshot
Carhart (1997) Mutual Fund Performance Persistence Disappears Out of Sample
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