Betting on trends: Intuitive forecasts of financial risk and return

@article{Bondt1993BettingOT,
  title={Betting on trends: Intuitive forecasts of financial risk and return},
  author={Werner De Bondt},
  journal={International Journal of Forecasting},
  year={1993},
  volume={9},
  pages={355-371}
}
  • W. D. Bondt
  • Published 1 November 1993
  • Economics
  • International Journal of Forecasting
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476 Citations
Highly Influential Citations
36
Background Citations
170
Methods Citations
26
Results Citations
31

476 Citations

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References

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A direct test of the cognitive bias theory of share price reversals
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This paper estimates the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news. First, we consider macroeconomic news and show that it is difficult to…
Why Does Stock Market Volatility Change Over Time?
This paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, financial leverage, stock trading activity, default risk, and firm profitability using monthly…
Positive Feedback Investment Strategies and Destabilizing Rational Speculation
Analyses of the role of rational speculators in financial markets usually presume that such investors dampen price fluctuations by trading against liquidity or noise traders. This conclusion does not…
Temporary Components of Stock Prices: A Skeptic's View
Recent empirical work has uncovered U-shaped patterns of large magnitude in the serial-correlation estimates of multiyear stock returns. The current literature in finance has taken this evidence to…
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A slowly mean-reverting component of stock prices tends to induce negative autocorrelation in returns. The autocorrelation is weak for the daily and weekly holding periods common in market efficiency…
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The tendency of future stock prices to revert toward the mean of past prices was originally explained by the market overreaction hypothesis, which assumed that recent media reports cause investors to…
Probabilistic forecasting: An experiment related to the stock market
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