Topic
Stock (geology)
About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.
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TL;DR: In this article, a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly is investigated, showing that momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once they control for industry momentum.
Abstract: This paper documents a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly. Specifically, momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once we control for industry momentum. By contrast, industry momentum investment strategies, which buy stocks from past winning industries and sell stocks from past losing industries, appear highly profitable, even after controlling for size, book-to-market equity, individual stock momentum, the cross-sectional dispersion in mean returns, and potential microstructure influences.
1,728 citations
TL;DR: In this paper, the authors studied the association between a firm's stock returns and subsequent top management changes and found that there is an inverse relation between the probability of a management change and the firm's share performance.
1,723 citations
TL;DR: This article developed a formal model of the volatility feedback effect using a simple model of changing variance (a quadratic generalized autoregressive conditionally heteroskedastic, or QGARCH, model).
1,704 citations
TL;DR: In this paper, the authors used new data on the holdings of 769 tax-exempt (predominantly pension) funds, to evaluate the potential effect of their trading on stock prices.
1,700 citations
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TL;DR: In this article, the authors show that the return premia on small capitalization and high book-to-market stocks does not arise because of the co-movements of these stocks with pervasive factors.
Abstract: Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for non-diversifiable factor risk. In contrast, the evidence in this paper indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the co-movements of these stocks with pervasive factors. It is the firm characteristics and not the covariance structure of returns that explain the cross-sectional variation in stock returns.
1,674 citations