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Measuring mutual fund performance with characteristic-based benchmarks
- Kent D. Daniel, Mark Grinblatt, S. Titman, R. Wermers
- Business
- 1 July 1997
This article develops and applies new measures of portfolio performance which use benchmarks based on the characteristics of stocks held by the portfolios that are evaluated. Specifically, the…
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
- Kent D. Daniel, S. Titman
- Economics, Business
- 1 June 1996
Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) have argued that the association between these firm characteristics and their…
Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions'
- Kent D. Daniel, D. Hirshleifer, A. Subrahmanyam
- Economics
- 1 December 1998
We propose a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased…
Market Reactions to Tangible and Intangible Information
- Kent D. Daniel, S. Titman
- Business, Computer Science
- 24 May 2001
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Momentum Crashes
- Kent D. Daniel, T. Moskowitz
- Economics
- 12 April 2011
Across numerous asset classes, momentum strategies have historically generated high Sharpe ratios and strong positive alphas relative to standard asset pricing models. However, the returns to…
Overconfidence, Arbitrage, and Equilibrium Asset Pricing
- Kent D. Daniel, D. Hirshleifer, A. Subrahmanyam
- Economics
- 1 June 2001
This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected…
Short- and Long-Horizon Behavioral Factors
- Kent D. Daniel, D. Hirshleifer, Lin Sun
- Economics, BusinessThe Review of Financial Studies
- 1 December 2017
We propose a theoretically motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market…
A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-Reactions
- Kent D. Daniel, D. Hirshleifer, A. Subrahmanyam
- Economics
- 19 February 1997
We propose a theory based on investor overconfidence and biased self- attribution to explain several of the securities returns patterns that seem anomalous from the perspective of efficient markets…
Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?
- Kent D. Daniel, K. Wei, S. Titman
- Business
- 1 July 1999
Japanese stock returns are even more closely related to their book-to-market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associated…
A Theory of Costly Sequential Bidding
- Kent D. Daniel, D. Hirshleifer
- Economics
- 30 July 1998
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