Momentum strategies have produced high returns and Sharpe ratios, and strong positive alphas relative to market models and other standard factors models. However, the returns to momentum strategies are highly skewed; they experience infrequent but strong and persistent strings of negative returns....

Are stocks' varying sensitivies to changing investor attention and sentiment priced? Employing internet search-based proxies for both, I find novel results that are consistent with theory. Stocks that co-vary negatively with increased investor attention to the stock market outperform in the...

Motivated by behavioral theories, we test whether recent past performance of the momentum strategy (Past Momentum Performance--PMP) negatively predicts the performance of stale momentum portfolios. Following periods of top-quintile PMP, momentum portfolios exhibit strong reversals 2-5 years...

Portfolios in idiosyncratic momentum are formed on past residuals of the Fama-French three factor model rather than past total returns. This study examines whether the idiosyncratic momentum strategy can sustain excess returns following the emergence of traded options. We compare idiosyncratic...

Recently, the investor overreaction catches the attention of the academicians and practitioners. The topic comes under the limelight of academicians and policymakers. This study, therefore, addresses investor overreaction and its relationship with the global financial crisis for the period of...

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic'' states -- following market declines and when market...

In this study, an attempt has been made to find out why investors still prefer broker-sold fund over direct-sold fund despite the superior performance of the latter. We find the sensitivity of funds flow in selected direct-sold funds and broker-sold funds in India. We do not find any evidence...

Examining China's stock market, mean variance is used to measure returns and risk and build an irrational risk-asset pricing model. The power of heterogeneous beliefs and risk-valuation deviation are found to affect capital asset pricing, presenting excessive fluctuations that neoclassical...