Momentum and Reversals in Equity‐Index Returns During Periods of Abnormal Turnover and Return Dispersion

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The Price Impact of Institutional Herding (2011, background): “Connolly and Stivers(2003) document that the weekly returns of a portfolio of large U.”
Stock Market Uncertainty and the Stock-Bond Return Relation (2005, methodology): “, Veronesi (1999), (2001), and David and Veronesi (2001), (2002)).”