Author Page for Kent D. Daniel

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, Tobias J. Moskowitz and Tobias J. Moskowitz

Columbia University - Columbia Business School, Finance and Yale University, Yale SOMAQR Capital

Downloads 9,112 (1,115)

Citation 111

Abstract:

Momentum Crashes

Columbia Business School Research Paper No. 11-03

Number of pages: 31 Posted: 22 Aug 2011

Kent D. Daniel

Columbia University - Columbia Business School, Finance

Downloads 2,842 (7,911)

Citation 73

Abstract:

Momentum Crashes

Columbia Business School Research Paper No. 14-36

Number of pages: 51 Posted: 26 Aug 2014

Kent D. Daniel, Tobias J. Moskowitz and Tobias J. Moskowitz

Columbia University - Columbia Business School, Finance and Yale University, Yale SOMAQR Capital

Downloads 952 (41,925)

Citation 6

Abstract:

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, Tobias J. Moskowitz and Tobias J. Moskowitz

Columbia University - Columbia Business School, Finance and Yale University, Yale SOMAQR Capital

Downloads 692 (64,409)

Abstract:

Momentum Crashes

NBER Working Paper No. w20439

Number of pages: 52 Posted: 02 Sep 2014 Last Revised: 20 Feb 2023

Kent D. Daniel, Tobias J. Moskowitz and Tobias J. Moskowitz

Columbia University - Columbia Business School, Finance and Yale University, Yale SOMAQR Capital

Downloads 260 (200,711)

Citation 102

Abstract:

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

Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Downloads 8,415 (1,288)

Citation 82

Abstract:

3.

Investor Psychology in Capital Markets: Evidence and Policy Implications

Downloads 3,429 ( 5,967)

Citation 49

2

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 University - Columbia Business School, Finance, Marshall School of Business, USC and UCLA Anderson School of Management

Downloads 3,429 (5,855)

Citation 49

Abstract:

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 University - Columbia Business School, Finance, Marshall School of Business, USC and UCLA Anderson School of Management

Abstract:

4.

Short- and Long-Horizon Behavioral Factors

Downloads 2,344 (10,927)

Citation 157

2

Short- and Long-Horizon Behavioral Factors

Review of Financial Studies, Forthcoming

Number of pages: 74 Posted: 12 Dec 2017 Last Revised: 13 Sep 2019

Kent D. Daniel, David A. Hirshleifer and Lin Sun

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and George Mason University

Downloads 2,227 (11,658)

Citation 15

Abstract:

Short- and Long-Horizon Behavioral Factors

NBER Working Paper No. w24163

Number of pages: 75 Posted: 03 Jan 2018 Last Revised: 10 Jul 2023

Kent D. Daniel, David A. Hirshleifer and Lin Sun

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and Florida State University

Downloads 117 (405,967)

Citation 12

Abstract:

5.

Market Reactions to Tangible and Intangible Information

Downloads 1,840 (16,039)

Citation 318

2

Market Reactions to Tangible and Intangible Information

Number of pages: 49 Posted: 19 Jun 2001

Kent D. Daniel and Sheridan Titman

Columbia University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance

Downloads 1,530 (20,961)

Citation 6

Abstract:

Market Reactions to Tangible and Intangible Information

NBER Working Paper No. w9743

Number of pages: 58 Posted: 07 Jun 2003 Last Revised: 17 Aug 2022

Kent D. Daniel and Sheridan Titman

Columbia University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance

Downloads 310 (167,340)

Citation 147

Abstract:

6.

The Cross-Section of Risk and Return

Downloads 1,792 (16,749)

Citation 57

2

The Cross-Section of Risk and Return

Columbia Business School Research Paper No. 18-4, 2019

Number of pages: 68 Posted: 06 Dec 2017 Last Revised: 06 Nov 2019

Kent D. Daniel, Lira Mota, Simon Rottke and Tano Santos

Columbia University - Columbia Business School, Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Amsterdam - Finance Group and Columbia Business School

Downloads 1,714 (17,611)

Citation 36

Abstract:

The Cross-Section of Risk and Return

NBER Working Paper No. w24164

Number of pages: 69 Posted: 03 Jan 2018 Last Revised: 12 Jul 2023

Kent D. Daniel, Lira Mota, Simon Rottke and Tano Santos

Columbia University - Columbia Business School, Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Amsterdam - Finance Group and Columbia Business School

Downloads 78 (534,367)

Citation 5

Abstract:

7.

Tail Risk in Momentum Strategy Returns

Downloads 1,108 (34,264)

Citation 4

2

Tail Risk in Momentum Strategy Returns

Number of pages: 35 Posted: 05 Jun 2012

Kent D. Daniel, Ravi Jagannathan and Soohun Kim

Columbia University - Columbia Business School, Finance, Northwestern University - Kellogg School of Management and College of Business, Korea Advanced Institute of Science and Technology (KAIST)

Downloads 896 (45,566)

Citation 1

Abstract:

Tail Risk in Momentum Strategy Returns

NBER Working Paper No. w18169

Number of pages: 69 Posted: 22 Jun 2012 Last Revised: 23 Feb 2023

Kent D. Daniel, Ravi Jagannathan and Soohun Kim

Columbia University - Columbia Business School, Finance, Northwestern University - Kellogg School of Management and College of Business, Korea Advanced Institute of Science and Technology (KAIST)

Downloads 212 (244,866)

Citation 2

Abstract:

8.

Investor Psychology and Tests of Factor Pricing Models

Number of pages: 40 Posted: 26 Nov 2005

Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Downloads 1,006 (39,314)

Citation 9

Abstract:

9.

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

Downloads 990 (40,215)

Citation 2

2

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

Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Downloads 887 (46,181)

Abstract:

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: 24 Apr 2022

Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Downloads 103 (443,023)

Citation 2

Abstract:

10.

The Dynamics of Disagreement

Review of Financial Studies, 10th Miami Behavioral Finance Conference

Number of pages: 56 Posted: 24 Dec 2018 Last Revised: 15 Aug 2022

Kent D. Daniel, Alexander Klos and Simon Rottke

Columbia University - Columbia Business School, Finance, University of Kiel - Institute for Quantitative Business and Economics Research (QBER) and University of Amsterdam - Finance Group

Downloads 744 (58,691)

Abstract:

The Dynamics of Disagreement

NBER Working Paper No. w25346

Number of pages: 57 Posted: 11 Dec 2018 Last Revised: 22 May 2023

Kent D. Daniel, Alexander Klos and Simon Rottke

Columbia University - Columbia Business School, Finance, University of Kiel - Institute for Quantitative Business and Economics Research (QBER) and University of Amsterdam - Finance Group

Downloads 176 (289,779)

Abstract:

11.

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 University - Columbia Business School, Finance and Marshall School of Business, USC

Downloads 803 (53,629)

Citation 35

Abstract:

12.

The Carry Trade: Risks and Drawdowns

Downloads 762 (57,548)

Citation 28

2

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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - Department of Finance

Downloads 660 (68,464)

Citation 1

Abstract:

The Carry Trade: Risks and Drawdowns

NBER Working Paper No. w20433

Number of pages: 65 Posted: 03 Sep 2014 Last Revised: 01 May 2023

Kent D. Daniel, Robert J. Hodrick and Zhongjin Lu

Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and University of Georgia - Department of Finance

Downloads 102 (446,173)

Citation 26

Abstract:

13.

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

Pacific Investment Management Company (PIMCO), Columbia University - Columbia Business School, Finance and Marshall School of Business, USC

Downloads 666 (68,727)

Citation 2

Abstract:

14.

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Number of pages: 57 Posted: 17 Jun 2015

Pierre Collin-Dufresne, Kent D. Daniel, Ciamac C. Moallemi and Mehmet Saglam

Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate

Downloads 645 (71,540)

Citation 19

Abstract:

15.

Monetary Policy and Reaching for Income

Downloads 635 (72,971)

Citation 30

2

Monetary Policy and Reaching for Income

Journal of Finance, Forthcoming

Number of pages: 59 Posted: 16 Aug 2018 Last Revised: 17 Aug 2020

Kent D. Daniel, Lorenzo Garlappi and Kairong Xiao

Columbia University - Columbia Business School, Finance, University of British Columbia (UBC) - Sauder School of Business and Columbia University - Columbia Business School

Downloads 607 (76,173)

Abstract:

Monetary Policy and Reaching for Income

NBER Working Paper No. w25344

Number of pages: 67 Posted: 11 Dec 2018 Last Revised: 02 Apr 2023

Kent D. Daniel, Lorenzo Garlappi and Kairong Xiao

Columbia University - Columbia Business School, Finance, University of British Columbia (UBC) - Sauder School of Business and Columbia University - Columbia Business School

Downloads 28 (832,422)

Citation 4

Abstract:

16.

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

Downloads 600 (78,240)

3

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: 26 Oct 2022

Kent D. Daniel and Sheridan Titman

Columbia University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance

Downloads 600 (77,290)

Citation 28

Abstract:

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 University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance

Abstract:

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 University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance

Abstract:

17.

The FIN and PEAD Factors: Motivation, Construction, and Availability

Number of pages: 6 Posted: 06 Oct 2020

Kent D. Daniel, David A. Hirshleifer and Lin Sun

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and George Mason University

Downloads 571 (83,205)

Abstract:

18.

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

Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Downloads 541 (89,452)

Citation 354

Abstract:

19.

Overconfident Investors, Predictable Returns, and Excessive Trading

Downloads 453 (110,965)

Citation 53

2

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 University - Columbia Business School, Finance and Marshall School of Business, USC

Downloads 359 (143,363)

Citation 1

Abstract:

Overconfident Investors, Predictable Returns, and Excessive Trading

NBER Working Paper No. w21945

Number of pages: 38 Posted: 01 Feb 2016 Last Revised: 19 Jun 2022

Kent D. Daniel and David A. Hirshleifer

Columbia University - Columbia Business School, Finance and Marshall School of Business, USC

Downloads 94 (474,994)

Citation 10

Abstract:

20.

Teaching Slides on Short and Long Horizon Behavioral Factors

Columbia Business School Research Paper

Number of pages: 63 Posted: 24 May 2021

Kent D. Daniel, David A. Hirshleifer and Lin Sun

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and George Mason University

Downloads 379 (135,601)

Abstract:

21.

Liquidity Regimes and Optimal Dynamic Asset Allocation

Downloads 352 (147,103)

Citation 17

3

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

Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam

Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate

Downloads 307 (169,097)

Citation 5

Abstract:

Liquidity Regimes and Optimal Dynamic Asset Allocation

NBER Working Paper No. w24222

Number of pages: 68 Posted: 22 Jan 2018 Last Revised: 09 Mar 2023

Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam

Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate

Downloads 44 (708,402)

Abstract:

Liquidity Regimes and Optimal Dynamic Asset Allocation

CEPR Discussion Paper No. DP12737

Number of pages: 60 Posted: 26 Feb 2018

Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam

Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate

Downloads 1 (1,090,175)

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Abstract:

22.

Market Efficiency in an Irrational World

NBER Working Paper No. w7489

Number of pages: 28 Posted: 06 May 2000 Last Revised: 19 Dec 2022

Kent D. Daniel and Sheridan Titman

Columbia University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance

Downloads 314 (166,165)

Citation 21

Abstract:

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: 15 Apr 2023

Kent D. Daniel, Bob Litterman and Gernot Wagner

Columbia University - Columbia Business School, Finance, Goldman Sachs and Columbia University - Columbia Business School, Economics

Downloads 252 (208,012)

Abstract:

24.

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

Number of pages: 60 Posted: 21 Aug 2018

Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Downloads 234 (224,585)

Citation 8

Abstract:

25.

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: 26 Oct 2022

Kent D. Daniel, K.C. John Wei and Sheridan Titman

Columbia University - Columbia Business School, Finance, Hong Kong Polytechnic University and University of Texas at Austin - Department of Finance

Downloads 153 (326,585)

Citation 23

Abstract:

26.

Optimal Dynamic Asset Allocation with Transaction Costs: The Role of Hedging Demands

Swiss Finance Institute Research Paper No. 23-38

Number of pages: 53 Posted: 11 Dec 2022 Last Revised: 08 Jun 2023

Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam

Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate

Downloads 152 (328,382)

Abstract:

27.

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

Marshall School of Business, USC and Columbia University - Columbia Business School, Finance

Downloads 114 (409,172)

Citation 4

Abstract:

28.

Overconfidence, Arbitrage, and Equilibrium Asset Pricing

Journal of Finance, Vol. 56, No. 3, pp. 921-965, June 2001

Posted: 01 Dec 2008

Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

29.

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

Kent D. Daniel, David A. Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area

Kent D. Daniel

Columbia University - Columbia Business School, Finance

Professor of Finance

National Bureau of Economic Research (NBER)

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Scholarly Papers (29)

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Liquidity Regimes and Optimal Dynamic Asset Allocation

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