A Trade-based Analysis of Momentum

By Soeren Hvidkjaer. 2006

243 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b85090d3c18c5853630086d613e6dd0701a14573

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Citations in the corpus

Behavioural Finance: A Review and Synthesis (2007, unknown): “Recently Hvidkjaer (2006) shows that small traders, on net, buy loser momentum stocks and subsequently become net sellers in these stocks, suggesting that by underreacting to negative information, they may create momentum.”
Predicting stock price movements from past returns: The role of consistency and tax-loss selling (2004, background): “The pair t− t2, t− t1 takes on the value t− 1, t− 1 when it proxies for the one-month reversal discovered by Jegadeesh (1990). Kaul and Nimalendran (1990), Asness (1995), Lo and MacKinlay (1988), Boudoukh, Richardson, and Whitelaw (1994), and Ahn, Boudoukh, Richardson, and Whitelaw (2000) argue that”
Pricing the commonality across alternative measures of liquidity (2008, unknown): “After preparing both intra- and inter-day datasets, they are merged by matching the firms on ISSM with CRSP by their ticker symbols, and firms on TAQ with CRSP by their CUSIPs (this 6 approach induces the highest matching rate, as discussed in Hvidkjaer (2006)).”
Currency Momentum Strategies (2012, unknown): “This procedure yields a time-series of coefficient estimates (αt, βt) and we report the mean of these time series and t-statistics based on Newey and West (1987) standard errors in Table 7 in the spirit of the approach by Fama and MacBeth (1973).”
Do Security Analysts Speak in Two Tongues (2009, background): “18 See Shanthikumar (2012), and the measures in Lee (1992) and Hvidkjaer (2006).”
Liquidity Shocks and Stock Market Reactions (2014, methodology): “Hvidkjaer (2006, 2008) find that stocks with high level of sell-initiated small-trade volume tend to outperform those with a high level of buy-initiated small-trade volume, suggesting that stocks favored by retail investors experience overshooting in the short term which result in subsequent…”
Institutional Portfolio Flows and International Investments (2008, background): “In recent papers, Shanthikumar (2004) and Hvidkjaer (2006) find that large (small) trade flows are correlated with changes in institutional (retail) ownership of individual stocks, and that these flows are useful in explaining stock returns.”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “Hvidkjaer (2006) considers how momentum at six-to twelvemonth horizons is related to order flows.”
Caught on tape: Institutional trading, stock returns, and earnings announcements (2009, background): “Hvidkjaer (2006) and Malmendier and Shanthikumar (2007) follow a similar approach.”
Empirical cross-sectional asset pricing: a survey (2011, background): “Hvidkjaer (2006) shows that momentum strategy is related to order flows.”
Cognitive Dissonance, Sentiment, and Momentum (2012, background): “See Hvidkjaer (2006) for details.”
Individual Investors and Volatility (2011, unknown): “(2006), Hvidkjaer (2008), Kaniel et al. (2008)). This literature however focuses on the dynamic relationships between returns and measures of individual investors’ signed order imbalances. In contrast, our goal is to establish a causal link between retail trading and stock returns volatility. Our st”