00Thaler_FM i-xxvi.qxd

not contiguous than when they are contiguous. When the holding period and the ranking period are contiguous, the profits to the ...

momentum returns in the holding period will be followed by negative re- turns since the delayed overreaction must be subsequentl ...

which perform well after the signal is received. Because of their cognitive biases, the informed traders attribute the performan ...

monotonically until it reaches 12.17 percent at the end of month 12. From month 13 to month 60 the momentum profits are on avera ...

post-holding periods, however, are quite different in the two subperiods. In the 1965 to 1981 subperiod, the cumulative momentum ...

increases momentum profits. However, this result is also consistent with the overconfidence hypothesis. Since there is less publ ...

to do more ambiguous tasks. So, the evidence that the momentum effect is stronger for growth stocks is consistent with the overc ...

perspective. Stocks with higher turnover can be traded more easily and hence should have lower transactions costs. Also, analyst ...

a basis for understanding the cross-sectional differences in momentum prof- its. However, these cross-sectional differences can ...

earnings growth is not particularly important for the purpose of measuring unexpected earnings to predict returns. Table 10.10 s ...

which is only marginally higher that the return difference for the first six months. Therefore, compared with the price momentum ...

Investment Research database over the 1981 to 1984 sample period. He considers various measures of Up and Down revisions based o ...

surprisingly, the price momentum and earnings momentum measures are positively correlated with one another. The highest correlat ...

equal-sized portfolios on the basis of SUE and analyst forecast revisions. Each stock, therefore, falls into one of nine portfol ...

Table 10.13 Returns for Portfolios Classified Based on Past Return Momentum and Earnings Momentum: Two-way Classification This t ...

Chan et al. propose a potential explanation for the relative longevity of the predictive component of the different types of inf ...

References Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, A model of investor sentiment, Journal of Financial Eco ...

Grinblatt, Mark, and Sheridan Titman, 1989, Mutual fund performance: An analy- sis of quarterly portfolio holdings, Journal of B ...

Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Fi- nance53, 267–84. Stickel, Scott E., 1989, The tim ...

Chapter 9 EVIDENCE ON THE CHARACTERISTICS OF CROSS- SECTIONAL VARIATION IN STOCK RETURNS Kent Daniel and Sheridan Titman THERE I ...