Kent D. Daniel

Columbia Business School - Finance and Economics

Professor of Finance

3022 Broadway

New York, NY 10027

United States

http://kentdaniel.net/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 704

SSRN RANKINGS

Top 704

in Total Papers Downloads

31,326

CITATIONS
Rank 240

SSRN RANKINGS

Top 240

in Total Papers Citations

1,846

Scholarly Papers (26)

1.
Downloads 10,648 ( 386)
Citation 95

Momentum Crashes

Swiss Finance Institute Research Paper No. 13-61, Columbia Business School Research Paper No. 14-6, Fama-Miller Working Paper
Number of pages: 57 Posted: 24 Dec 2013
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 6,719 (877)
Citation 39

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Momentum Crashes

Columbia Business School Research Paper No. 11-03
Number of pages: 31 Posted: 22 Aug 2011
Kent D. Daniel
Columbia Business School - Finance and Economics
Downloads 2,560 (4,607)
Citation 18

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Momentum Crashes

Columbia Business School Research Paper No. 14-36
Number of pages: 51 Posted: 26 Aug 2014
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 771 (30,564)
Citation 8

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Momentum Crashes

Chicago Booth Research Paper No. 15-22
Number of pages: 52 Posted: 19 Jul 2015 Last Revised: 21 Jul 2015
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 531 (50,320)

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Momentum Crashes

NBER Working Paper No. w20439
Number of pages: 52 Posted: 02 Sep 2014 Last Revised: 06 Jan 2015
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 67 (339,137)
Citation 10

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2.

A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-Reactions

Number of pages: 59 Posted: 01 May 1997 Last Revised: 21 May 2018
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 7,131 (795)
Citation 58

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Investor Psychology in Capital Markets: Evidence and Policy Implications

Dice Center WP 2001-10
Number of pages: 94 Posted: 14 Aug 2001
Kent D. Daniel, David A. Hirshleifer and Siew Hong Teoh
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Accounting Area
Downloads 3,206 (3,141)
Citation 13

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Investor Psychology in Capital Markets: Evidence and Policy Implications

THE PSYCHOLOGY OF WORLD EQUITY MARKETS, Werner De Bondt, ed., Edward Elgar Publishing Ltd., July 2005, Journal of Monetary Economics, Vol. 49, No. 1, 2002
Posted: 01 Dec 2008
Kent D. Daniel, David A. Hirshleifer and Siew Hong Teoh
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Accounting Area

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4.
Downloads 1,582 ( 10,564)
Citation 184

Market Reactions to Tangible and Intangible Information

EFMA 2001 Lugano Meetings
Number of pages: 49 Posted: 19 Jun 2001
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 1,440 (12,020)
Citation 2

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Market Reactions to Tangible and Intangible Information

NBER Working Paper No. w9743
Number of pages: 58 Posted: 07 Jun 2003 Last Revised: 03 Nov 2010
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 142 (203,561)
Citation 8

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Short- and Long-Horizon Behavioral Factors

Columbia Business School Research Paper No. 18-5, 8th Miami Behavioral Finance Conference 2017
Number of pages: 74 Posted: 12 Dec 2017 Last Revised: 09 Apr 2019
Kent D. Daniel, David A. Hirshleifer and Lin Sun
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and George Mason University - Department of Finance
Downloads 1,076 (18,884)

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Factor Models, Anomalies, Behavioral Factors

Short- and Long-Horizon Behavioral Factors

NBER Working Paper No. w24163
Number of pages: 75 Posted: 03 Jan 2018
Kent D. Daniel, David A. Hirshleifer and Lin Sun
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and Florida State University
Downloads 35 (452,484)

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6.
Downloads 1,026 ( 20,636)

The Cross-Section of Risk and Return

Columbia Business School Research Paper No. 18-4
Number of pages: 52 Posted: 06 Dec 2017 Last Revised: 01 Nov 2018
Kent D. Daniel, Lira Mota, Simon Rottke and Tano Santos
Columbia Business School - Finance and Economics, Columbia University - Columbia Business School, Finance, University of Amsterdam - Finance Group and Columbia Business School
Downloads 995 (21,231)

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Factor Models, Unpriced Risk, Characteristics, Covariances

The Cross-Section of Risk and Return

NBER Working Paper No. w24164
Number of pages: 53 Posted: 03 Jan 2018
Kent D. Daniel, Lira Mota, Simon Rottke and Tano Santos
Columbia Business School - Finance and Economics, Columbia University - Columbia Business School, Finance, University of Amsterdam - Finance Group and Columbia Business School
Downloads 31 (471,587)

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Covariance Risk, Mispricing, and the Cross Section of Security Returns

Ohio State University Working Paper No. 2000-6
Number of pages: 51 Posted: 29 Dec 2000
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 831 (27,578)

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Covariance Risk, Mispricing, and the Cross Section of Security Returns

NBER Working Paper No. w7615
Number of pages: 47 Posted: 16 May 2000 Last Revised: 01 Apr 2001
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 57 (368,856)
Citation 4

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8.

Investor Psychology and Tests of Factor Pricing Models

Number of pages: 40 Posted: 26 Nov 2005
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 885 (25,657)
Citation 8

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factor models, overconfidence, Fama-French factors, covariance risk

9.
Downloads 852 ( 27,047)
Citation 2

Tail Risk in Momentum Strategy Returns

Number of pages: 35 Posted: 05 Jun 2012
Kent D. Daniel, Ravi Jagannathan and Soohun Kim
Columbia Business School - Finance and Economics, Northwestern University - Kellogg School of Management and Georgia Institute of Technology - Scheller College of Business
Downloads 740 (32,338)
Citation 1

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Tail Risk in Momentum Strategy Returns

NBER Working Paper No. w18169
Number of pages: 69 Posted: 22 Jun 2012
Kent D. Daniel, Ravi Jagannathan and Soohun Kim
Columbia Business School - Finance and Economics, Northwestern University - Kellogg School of Management and Georgia Institute of Technology - Scheller College of Business
Downloads 112 (244,670)
Citation 1

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10.

A Theory of Costly Sequential Bidding

Ross School of Business Paper No. 98028
Number of pages: 41 Posted: 17 Aug 1999 Last Revised: 25 Feb 2019
Kent D. Daniel and David A. Hirshleifer
Columbia Business School - Finance and Economics and University of California, Irvine - Paul Merage School of Business
Downloads 715 (34,404)
Citation 28

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takeovers, auctions, sequential bidding, revenue equivalence

11.
Downloads 580 ( 45,539)
Citation 4

The Carry Trade: Risks and Drawdowns

Critical Finance Review, forthcoming
Number of pages: 62 Posted: 26 Aug 2014 Last Revised: 04 Apr 2017
Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Finance
Downloads 552 (47,929)
Citation 1

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currency carry trade, currency risk factors, market efficiency

The Carry Trade: Risks and Drawdowns

NBER Working Paper No. w20433
Number of pages: 65 Posted: 03 Sep 2014
Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Finance
Downloads 28 (487,454)

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12.

One Brief Shining Moment(um): Past Momentum Performance and Momentum Reversals

Columbia Business School Research Paper No. 17-48
Number of pages: 40 Posted: 24 Apr 2017 Last Revised: 02 Jun 2017
Usman Ali, Kent D. Daniel and David A. Hirshleifer
MIG Capital, Columbia Business School - Finance and Economics and University of California, Irvine - Paul Merage School of Business
Downloads 483 (57,443)
Citation 1

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13.

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Number of pages: 57 Posted: 17 Jun 2015
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics, Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 439 (64,601)
Citation 13

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

Overconfident Investors, Predictable Returns, and Excessive Trading

Journal of Economic Perspectives, Volume 29, Number 4, Fall 2015, Columbia Business School Research Paper No. 16-15
Number of pages: 37 Posted: 25 Jan 2016
Kent D. Daniel and David A. Hirshleifer
Columbia Business School - Finance and Economics and University of California, Irvine - Paul Merage School of Business
Downloads 268 (112,360)
Citation 1

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asset pricing, efficient markets, anomalies, behavioral finance, overconfidence

Overconfident Investors, Predictable Returns, and Excessive Trading

NBER Working Paper No. w21945
Number of pages: 38 Posted: 01 Feb 2016
Kent D. Daniel and David A. Hirshleifer
Columbia Business School - Finance and Economics and University of California, Irvine - Paul Merage School of Business
Downloads 35 (452,484)

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Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

NBER Working Paper No. w5604
Number of pages: 40 Posted: 27 Aug 2000 Last Revised: 25 Mar 2008
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 278 (108,093)
Citation 56

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Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

CRSP Working Paper Number #416
Posted: 08 Feb 1996
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance

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Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

J. OF FINANCE, Vol. 52 No. 1, March 1997
Posted: 29 Jan 1997
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance

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16.

Market Efficiency in an Irrational World

NBER Working Paper No. w7489
Number of pages: 28 Posted: 06 May 2000 Last Revised: 11 Mar 2008
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 252 (120,399)
Citation 4

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17.

Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions'

Journal of Finance, Vol. 53, No. 6, 1998
Number of pages: 42 Posted: 31 May 2018
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 243 (125,445)
Citation 30

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investor psychology, overconfidence, behavioral finance, overreactions, underreactions, asset pricing, anomalies, return predictability

Overconfidence, Information Diffusion, and Mispricing Persistence

Number of pages: 89 Posted: 24 Dec 2018 Last Revised: 02 Jul 2019
Kent D. Daniel, Alexander Klos and Simon Rottke
Columbia Business School - Finance and Economics, University of Kiel - Institute for Quantitative Business and Economics Research (QBER) and University of Amsterdam - Finance Group
Downloads 214 (141,166)

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overconfidence, information diffusion, short-sale constraints, momentum, value, mispricing

Overconfidence, Information Diffusion, and Mispricing Persistence

NBER Working Paper No. w25346
Number of pages: 58 Posted: 11 Dec 2018
Kent D. Daniel, Alexander Klos and Simon Rottke
Columbia Business School - Finance and Economics, University of Kiel - Institute for Quantitative Business and Economics Research (QBER) and University of Amsterdam - Finance Group
Downloads 8 (616,610)
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19.
Downloads 194 (155,166)
Citation 1

Liquidity Regimes and Optimal Dynamic Asset Allocation

Columbia Business School Research Paper No. 18-14, Swiss Finance Institute Research Paper No. 18-43
Number of pages: 69 Posted: 15 Jan 2018 Last Revised: 26 Oct 2018
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 188 (159,602)
Citation 1

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Asset Allocation, Dynamic Trading, Stochastic Transaction Costs

Liquidity Regimes and Optimal Dynamic Asset Allocation

NBER Working Paper No. w24222
Number of pages: 68 Posted: 22 Jan 2018
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 5 (638,070)
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Liquidity Regimes and Optimal Dynamic Asset Allocation

CEPR Discussion Paper No. DP12737
Number of pages: 60 Posted: 26 Feb 2018
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 1 (680,204)
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dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

20.

(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns

Number of pages: 60 Posted: 21 Aug 2018
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 125 (224,555)
Citation 3

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investor psychology, asset pricing, arbitrage, overconfidence, behavioral finance, misvaluation, risk, expected returns

21.

Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?

NBER Working Paper No. w7246
Number of pages: 31 Posted: 28 Apr 2000 Last Revised: 05 May 2000
Kent D. Daniel, K.C. John Wei and Sheridan Titman
Columbia Business School - Finance and Economics, Hong Kong Polytechnic University and University of Texas at Austin - Department of Finance
Downloads 95 (272,380)
Citation 4

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22.

A Theory of Costly Sequential Bidding (Presentation Slides)

Forthcoming, Review of Finance, March 2018
Number of pages: 34 Posted: 31 May 2018 Last Revised: 29 Jul 2018
David A. Hirshleifer and Kent D. Daniel
University of California, Irvine - Paul Merage School of Business and Columbia Business School - Finance and Economics
Downloads 40 (421,750)

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sequential bidding, auctions, takeover bidding, revenue equivalence

23.

Applying Asset Pricing Theory to Calibrate the Price of Climate Risk

NBER Working Paper No. w22795
Number of pages: 51 Posted: 07 Nov 2016 Last Revised: 23 Nov 2016
Kent D. Daniel, Bob Litterman and Gernot Wagner
Columbia Business School - Finance and Economics, Goldman Sachs and Harvard John A. Paulson School Of Engineering And Applied Sciences
Downloads 21 (512,834)
Citation 1

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24.

Monetary Policy and Reaching for Income

NBER Working Paper No. w25344
Number of pages: 67 Posted: 11 Dec 2018 Last Revised: 16 Dec 2018
Kent D. Daniel, Lorenzo Garlappi and Kairong Xiao
Columbia Business School - Finance and Economics, University of British Columbia (UBC) - Sauder School of Business and Columbia University - Columbia Business School
Downloads 7 (597,394)
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25.

Overconfidence, Arbitrage, and Equilibrium Asset Pricing

Journal of Finance, Vol. 56, No. 3, pp. 921-965, June 2001
Posted: 01 Dec 2008
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

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26.

Investor Psychology and Security Market Under- and Over-Reactions

Journal of Finance, Vol. 53, No. 6, pp. 1839-1885, December 1998 , THE INTERNATIONAL LIBRARY OF CRITICAL WRITINGS IN FINANCIAL ECONOMICS, Hersh Shefrin, ed., Edward Elgar Publishers, 2002, ADVANCES IN BEHAVIORAL FINANCE II, Richard Thaler, ed., Princeton, 2002
Posted: 01 Dec 2008 Last Revised: 15 Aug 2014
Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

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Other Papers (1)

Total Downloads: 1
1.

Monetary Policy and Reaching for Income

Number of pages: 66 Posted: 16 Aug 2018 Last Revised: 09 Aug 2019
Kent D. Daniel, Lorenzo Garlappi and Kairong Xiao
Columbia Business School - Finance and Economics, University of British Columbia (UBC) - Sauder School of Business and Columbia University - Columbia Business School
Downloads 1

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reaching for income, monetary policy