Industry momentum strategies and autocorrelations in stock returns

Common risk factors in the returns on stocks and bonds

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

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Multifactor Explanations of Asset Pricing Anomalies

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1996 · 6.4K citations · Full text

Empirical Finance, Multifactor Explanations, Asset Pricing +18

Investor Psychology and Security Market Under‐ and Overreactions

Kent Daniel, David Hirshleifer, Avanidhar Subrahmanyam · The Journal of Finance · 1998 · 5.7K citations · Full text

Empirical Finance, Well‐known Psychological Biases, Securities Market +20