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
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Working Papers
2024
- Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands
NBER Working Papers, National Bureau of Economic Research, Inc
2018
- Liquidity Regimes and Optimal Dynamic Asset Allocation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (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)
- 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 (15) (2021)
- The Dynamics of Disagreement
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
2017
- 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 (85) (2020)
- 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
- Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (35)
- 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 (98) (2015)
2015
- Overconfident investors, predictable returns, and excessive trading
MPRA Paper, University Library of Munich, Germany View citations (69)
2014
- 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)
- 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
- Tail Risk in Momentum Strategy Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
2005
- 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
- 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 (316) (2006)
2000
- Covariance Risk, Mispricing, and the Cross Section of Security Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
- Market Efficiency in an Irrational World
NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
1999
- 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
- 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 (684) (1997)
1991
- 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
- 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
- Monetary Policy and Reaching for Income
Journal of Finance, 2021, 76, (3), 1145-1193 View citations (15)
See also Working Paper Monetary Policy and Reaching for Income, NBER Working Papers (2018) View citations (4) (2018)
2020
- 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, NBER Working Papers (2018) View citations (1) (2018)
- Short- and Long-Horizon Behavioral Factors
The Review of Financial Studies, 2020, 33, (4), 1673-1736 View citations (85)
See also Working Paper Short- and Long-Horizon Behavioral Factors, NBER Working Papers (2017) View citations (4) (2017)
- 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
- 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
- Another Look at Market Responses to Tangible and Intangible Information
Critical Finance Review, 2016, 5, (1), 165-175 View citations (3)
- 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
- Overconfident Investors, Predictable Returns, and Excessive Trading
Journal of Economic Perspectives, 2015, 29, (4), 61-88 View citations (98)
See also Working Paper Overconfident Investors, Predictable Returns, and Excessive Trading, NBER Working Papers (2016) View citations (5) (2016)
2012
- Testing Factor-Model Explanations of Market Anomalies
Critical Finance Review, 2012, 1, (1), 103-139 View citations (44)
2006
- Market Reactions to Tangible and Intangible Information
Journal of Finance, 2006, 61, (4), 1605-1643 View citations (316)
See also Working Paper Market Reactions to Tangible and Intangible Information, NBER Working Papers (2003) View citations (16) (2003)
2004
- 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
- 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)
- Investor psychology in capital markets: evidence and policy implications
Journal of Monetary Economics, 2002, 49, (1), 139-209 View citations (243)
2001
- 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)
- The power and size of mean reversion tests
Journal of Empirical Finance, 2001, 8, (5), 493-535 View citations (17)
1997
- EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
Macroeconomic Dynamics, 1997, 1, (2), 452-484 View citations (21)
- Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
Journal of Finance, 1997, 52, (1), 1-33 View citations (684)
See also Working Paper Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, NBER Working Papers (1996) View citations (3) (1996)
- Measuring Mutual Fund Performance with Characteristic-Based Benchmarks
Journal of Finance, 1997, 52, (3), 1035-58 View citations (925)
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