Doukas, John A.; McKnight, Phillip J. - In: European Financial Management 11 (2005) 3, pp. 313-338
"In this paper we conduct an out-of-sample test of two behavioural theories that have been proposed to explain momentum in stock returns. We test the gradual-information-diffusion model of Hong and Stein (1999) and the investor conservatism bias model of Barberis et al. (1998) in a sample of...