Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns
- 1 February 2005
- journal article
- Published by Wiley in The Financial Review
- Vol. 40 (1) , 11-35
- https://doi.org/10.1111/j.0732-8516.2005.00091.x
Abstract
No abstract availableKeywords
This publication has 52 references indexed in Scilit:
- Market liquidity as a sentiment indicatorPublished by Elsevier ,2004
- Order imbalance and individual stock returns: Theory and evidencePublished by Elsevier ,2003
- Adverse‐Selection Costs and the Probability of Information‐Based TradingThe Financial Review, 2003
- Order imbalance, liquidity, and market returnsPublished by Elsevier ,2002
- Competing Theories of Financial AnomaliesThe Review of Financial Studies, 2002
- Commonality in liquidityJournal of Financial Economics, 2000
- A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1Journal of Financial Economics, 1998
- Volume and Autocovariances in Short‐Horizon Individual Security ReturnsThe Journal of Finance, 1994
- Trading Volume and Serial Correlation in Stock ReturnsThe Quarterly Journal of Economics, 1993
- Components of short-horizon individual security returnsJournal of Financial Economics, 1991