Details about Kent Daniel

Access statistics for papers by Kent Daniel.

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

Short-id: pda995

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

2018

2. Liquidity Regimes and Optimal Dynamic Asset Allocation
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (1)
   See also Journal Article Liquidity regimes and optimal dynamic asset allocation, Journal of Financial Economics, Elsevier (2020) View citations (13) (2020)
3. Monetary Policy and Reaching for Income
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   See also Journal Article Monetary Policy and Reaching for Income, Journal of Finance, American Finance Association (2021) View citations (16) (2021)
4. The Dynamics of Disagreement
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2017

5. Short- and Long-Horizon Behavioral Factors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   See also Journal Article Short- and Long-Horizon Behavioral Factors, The Review of Financial Studies, Society for Financial Studies (2020) View citations (88) (2020)
6. The Cross-Section of Risk and Return
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
   See also Journal Article The Cross-Section of Risk and Returns, The Review of Financial Studies, Society for Financial Studies (2020) View citations (9) (2020)

2016

7. Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (35)
8. Overconfident Investors, Predictable Returns, and Excessive Trading
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   See also Journal Article Overconfident Investors, Predictable Returns, and Excessive Trading, Journal of Economic Perspectives, American Economic Association (2015) View citations (100) (2015)

2015

9. Overconfident investors, predictable returns, and excessive trading
   MPRA Paper, University Library of Munich, Germany View citations (71)

2014

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

2012

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

2005

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

2003

14. Market Reactions to Tangible and Intangible Information
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    See also Journal Article Market Reactions to Tangible and Intangible Information, Journal of Finance, American Finance Association (2006) View citations (320) (2006)

2000

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

1999

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

1996

18. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (685) (1997)

1991

19. Common Stock Returns and the Business Cycle
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA 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

2021

2. Monetary Policy and Reaching for Income
   Journal of Finance, 2021, 76, (3), 1145-1193 View citations (16)
   See also Working Paper Monetary Policy and Reaching for Income, NBER Working Papers (2018) View citations (4) (2018)

2020

3. Liquidity regimes and optimal dynamic asset allocation
   Journal of Financial Economics, 2020, 136, (2), 379-406 View citations (13)
   See also Working Paper Liquidity Regimes and Optimal Dynamic Asset Allocation, CEPR Discussion Papers (2018) View citations (1) (2018)
4. Short- and Long-Horizon Behavioral Factors
   The Review of Financial Studies, 2020, 33, (4), 1673-1736 View citations (88)
   See also Working Paper Short- and Long-Horizon Behavioral Factors, NBER Working Papers (2017) View citations (4) (2017)
5. The Cross-Section of Risk and Returns
   The Review of Financial Studies, 2020, 33, (5), 1927-1979 View citations (9)
   See also Working Paper The Cross-Section of Risk and Return, NBER Working Papers (2017) View citations (8) (2017)

2017

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

2016

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

2015

9. Overconfident Investors, Predictable Returns, and Excessive Trading
   Journal of Economic Perspectives, 2015, 29, (4), 61-88 View citations (100)
   See also Working Paper Overconfident Investors, Predictable Returns, and Excessive Trading, NBER Working Papers (2016) View citations (5) (2016)

2012

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

2006

11. Market Reactions to Tangible and Intangible Information
    Journal of Finance, 2006, 61, (4), 1605-1643 View citations (320)
    See also Working Paper Market Reactions to Tangible and Intangible Information, NBER Working Papers (2003) View citations (16) (2003)

2004

12. 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 View citations (5)

2002

13. 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)
14. Investor psychology in capital markets: evidence and policy implications
    Journal of Monetary Economics, 2002, 49, (1), 139-209 View citations (244)

2001

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

1997

17. EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
    Macroeconomic Dynamics, 1997, 1, (2), 452-484 View citations (21)
18. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
    Journal of Finance, 1997, 52, (1), 1-33 View citations (685)
    See also Working Paper Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, NBER Working Papers (1996) View citations (3) (1996)
19. Measuring Mutual Fund Performance with Characteristic-Based Benchmarks
    Journal of Finance, 1997, 52, (3), 1035-58 View citations (936)