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Details about Kent Daniel

Homepage:http://kentdaniel.net/
Workplace:Graduate School of Business, Columbia University, (more information at EDIRC)

Access statistics for papers by Kent Daniel.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pda995


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Working Papers

2024

  1. Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2018

  1. Liquidity Regimes and Optimal Dynamic Asset Allocation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (1)

    See also Journal Article Liquidity regimes and optimal dynamic asset allocation, Journal of Financial Economics, Elsevier (2020) Downloads View citations (13) (2020)
  2. Monetary Policy and Reaching for Income
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article Monetary Policy and Reaching for Income, Journal of Finance, American Finance Association (2021) Downloads View citations (15) (2021)
  3. The Dynamics of Disagreement
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2017

  1. Short- and Long-Horizon Behavioral Factors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article Short- and Long-Horizon Behavioral Factors, The Review of Financial Studies, Society for Financial Studies (2020) Downloads View citations (85) (2020)
  2. The Cross-Section of Risk and Return
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article The Cross-Section of Risk and Returns, The Review of Financial Studies, Society for Financial Studies (2020) Downloads View citations (9) (2020)

2016

  1. Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (35)
  2. Overconfident Investors, Predictable Returns, and Excessive Trading
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article Overconfident Investors, Predictable Returns, and Excessive Trading, Journal of Economic Perspectives, American Economic Association (2015) Downloads View citations (98) (2015)

2015

  1. Overconfident investors, predictable returns, and excessive trading
    MPRA Paper, University Library of Munich, Germany Downloads View citations (69)

2014

  1. Momentum Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article Momentum crashes, Journal of Financial Economics, Elsevier (2016) Downloads View citations (23) (2016)
  2. The Carry Trade: Risks and Drawdowns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article The Carry Trade: Risks and Drawdowns, Critical Finance Review, now publishers (2017) Downloads View citations (37) (2017)

2012

  1. Tail Risk in Momentum Strategy Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (33)

2005

  1. Investor Psychology and Tests of Factor Pricing Models
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (19)

2003

  1. Market Reactions to Tangible and Intangible Information
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    See also Journal Article Market Reactions to Tangible and Intangible Information, Journal of Finance, American Finance Association (2006) Downloads View citations (316) (2006)

2000

  1. Covariance Risk, Mispricing, and the Cross Section of Security Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  2. Market Efficiency in an Irrational World
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)

1999

  1. Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?, Journal of Finance, American Finance Association (2001) Downloads View citations (93) (2001)

1996

  1. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, Journal of Finance, American Finance Association (1997) Downloads View citations (684) (1997)

1991

  1. Common Stock Returns and the Business Cycle
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (1)

Journal Articles

2022

  1. Putting Terror in Its Place: An Experiment on Mitigating Fears of Terrorism among the American Public
    Journal of Conflict Resolution, 2022, 66, (2), 191-216 Downloads

2021

  1. Monetary Policy and Reaching for Income
    Journal of Finance, 2021, 76, (3), 1145-1193 Downloads View citations (15)
    See also Working Paper Monetary Policy and Reaching for Income, NBER Working Papers (2018) Downloads View citations (4) (2018)

2020

  1. Liquidity regimes and optimal dynamic asset allocation
    Journal of Financial Economics, 2020, 136, (2), 379-406 Downloads View citations (13)
    See also Working Paper Liquidity Regimes and Optimal Dynamic Asset Allocation, NBER Working Papers (2018) Downloads View citations (1) (2018)
  2. Short- and Long-Horizon Behavioral Factors
    The Review of Financial Studies, 2020, 33, (4), 1673-1736 Downloads View citations (85)
    See also Working Paper Short- and Long-Horizon Behavioral Factors, NBER Working Papers (2017) Downloads View citations (4) (2017)
  3. The Cross-Section of Risk and Returns
    The Review of Financial Studies, 2020, 33, (5), 1927-1979 Downloads View citations (9)
    See also Working Paper The Cross-Section of Risk and Return, NBER Working Papers (2017) Downloads View citations (8) (2017)

2017

  1. The Carry Trade: Risks and Drawdowns
    Critical Finance Review, 2017, 6, (2), 211-262 Downloads View citations (37)
    See also Working Paper The Carry Trade: Risks and Drawdowns, NBER Working Papers (2014) Downloads View citations (10) (2014)

2016

  1. Another Look at Market Responses to Tangible and Intangible Information
    Critical Finance Review, 2016, 5, (1), 165-175 Downloads View citations (3)
  2. Momentum crashes
    Journal of Financial Economics, 2016, 122, (2), 221-247 Downloads View citations (23)
    See also Working Paper Momentum Crashes, NBER Working Papers (2014) Downloads View citations (1) (2014)

2015

  1. Overconfident Investors, Predictable Returns, and Excessive Trading
    Journal of Economic Perspectives, 2015, 29, (4), 61-88 Downloads View citations (98)
    See also Working Paper Overconfident Investors, Predictable Returns, and Excessive Trading, NBER Working Papers (2016) Downloads View citations (5) (2016)

2012

  1. Testing Factor-Model Explanations of Market Anomalies
    Critical Finance Review, 2012, 1, (1), 103-139 Downloads View citations (44)

2006

  1. Market Reactions to Tangible and Intangible Information
    Journal of Finance, 2006, 61, (4), 1605-1643 Downloads View citations (316)
    See also Working Paper Market Reactions to Tangible and Intangible Information, NBER Working Papers (2003) Downloads View citations (16) (2003)

2004

  1. Discussion of: "Testing behavioral finance theories using trends and sequences in financial performance," (by Wesley Chan, Richard Frankel, and S.P. Kothari)
    Journal of Accounting and Economics, 2004, 38, (1), 51-64 Downloads View citations (5)

2002

  1. Discussion of "Why Don't Issuers Get Upset About Leaving Money on the Table in IPOs?"
    The Review of Financial Studies, 2002, 15, (2), 445-454 View citations (7)
  2. Investor psychology in capital markets: evidence and policy implications
    Journal of Monetary Economics, 2002, 49, (1), 139-209 Downloads View citations (243)

2001

  1. Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?
    Journal of Finance, 2001, 56, (2), 743-766 Downloads View citations (93)
    See also Working Paper Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?, NBER Working Papers (1999) Downloads (1999)
  2. The power and size of mean reversion tests
    Journal of Empirical Finance, 2001, 8, (5), 493-535 Downloads View citations (17)

1997

  1. EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
    Macroeconomic Dynamics, 1997, 1, (2), 452-484 Downloads View citations (21)
  2. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
    Journal of Finance, 1997, 52, (1), 1-33 Downloads View citations (684)
    See also Working Paper Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, NBER Working Papers (1996) Downloads View citations (3) (1996)
  3. Measuring Mutual Fund Performance with Characteristic-Based Benchmarks
    Journal of Finance, 1997, 52, (3), 1035-58 Downloads View citations (925)
 
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