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 9,783 (1,225)

Citation 108

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 2,922 (9,190)

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 1,047 (44,591)

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 771 (67,812)

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 357 (174,512)

Citation 136

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 Hirshleifer and Avanidhar Subrahmanyam

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

Downloads 8,817 (1,477)

Citation 76

Abstract:

3.

Investor Psychology in Capital Markets: Evidence and Policy Implications

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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 Hirshleifer and Siew Hong Teoh

Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and UCLA Anderson School of Management

Downloads 3,604 (6,608)

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 Hirshleifer and Siew Hong Teoh

Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and UCLA Anderson School of Management

Abstract:

4.

Short- and Long-Horizon Behavioral Factors

Downloads 2,760 (10,288)

Citation 29

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 Hirshleifer and Lin Sun

Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and George Mason University - Department of Finance

Downloads 2,630 (10,899)

Citation 17

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 Hirshleifer and Lin Sun

Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Florida State University

Downloads 130 (459,093)

Citation 12

Abstract:

5.

The Cross-Section of Risk and Return

Downloads 2,019 (16,942)

Citation 41

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 1,919 (18,079)

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 100 (561,723)

Citation 5

Abstract:

6.

Market Reactions to Tangible and Intangible Information

Downloads 1,972 (17,597)

Citation 184

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 1,577 (24,424)

Citation 7

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 395 (155,814)

Citation 177

Abstract:

7.

Tail Risk in Momentum Strategy Returns

Downloads 1,223 (36,177)

Citation 3

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 971 (49,558)

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 252 (252,366)

Citation 2

Abstract:

8.

Investor Psychology and Tests of Factor Pricing Models

Number of pages: 40 Posted: 26 Nov 2005

Kent D. Daniel, David Hirshleifer and Avanidhar Subrahmanyam

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

Downloads 1,055 (44,804)

Citation 9

Abstract:

9.

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

Downloads 1,028 (46,518)

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 Hirshleifer and Avanidhar Subrahmanyam

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

Downloads 909 (54,287)

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 Hirshleifer and Avanidhar Subrahmanyam

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

Downloads 119 (492,586)

Citation 2

Abstract:

10.

The Dynamics of Disagreement

Downloads 1,023 (46,824)

Citation 3

2

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 835 (61,019)

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 188 (334,569)

Citation 3

Abstract:

11.

The Carry Trade: Risks and Drawdowns

Downloads 852 (60,329)

Citation 34

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 - C. Herman and Mary Virginia Terry College of Business

Downloads 732 (72,737)

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 - C. Herman and Mary Virginia Terry College of Business

Downloads 120 (489,396)

Citation 33

Abstract:

12.

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

Downloads 839 (61,586)

Citation 28

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 839 (60,621)

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:

13.

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 Hirshleifer

Columbia University - Columbia Business School, Finance and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Downloads 835 (61,983)

Citation 37

Abstract:

14.

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 Hirshleifer and Avanidhar Subrahmanyam

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

Downloads 831 (62,957)

Citation 463

Abstract:

15.

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

Number of pages: 6 Posted: 06 Oct 2020

Kent D. Daniel, David Hirshleifer and Lin Sun

Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and George Mason University - Department of Finance

Downloads 734 (73,502)

Abstract:

16.

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 732 (73,773)

Citation 19

Abstract:

17.

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 Hirshleifer

Pacific Investment Management Company (PIMCO), Columbia University - Columbia Business School, Finance and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Downloads 714 (76,205)

Citation 2

Abstract:

18.

Monetary Policy and Reaching for Income

Downloads 703 (77,677)

Citation 4

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 662 (82,691)

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 41 (901,953)

Citation 4

Abstract:

19.

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 Hirshleifer and Lin Sun

Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and George Mason University - Department of Finance

Downloads 530 (111,091)

Abstract:

20.

Overconfident Investors, Predictable Returns, and Excessive Trading

Downloads 508 (116,984)

Citation 11

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 Hirshleifer

Columbia University - Columbia Business School, Finance and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Downloads 395 (155,814)

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 Hirshleifer

Columbia University - Columbia Business School, Finance and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Downloads 113 (512,680)

Citation 10

Abstract:

21.

Liquidity Regimes and Optimal Dynamic Asset Allocation

Downloads 413 (149,656)

Citation 5

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 348 (179,440)

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 63 (738,535)

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 2 (1,348,394)

Add to Cart

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 359 (174,997)

Citation 27

Abstract:

23.

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

Downloads 325 (194,927)

2

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

Swiss Finance Institute Research Paper No. 23-38

Number of pages: 63 Posted: 11 Dec 2022 Last Revised: 03 Oct 2024

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 321 (195,853)

Abstract:

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

NBER Working Paper No. w33058

Number of pages: 62 Posted: 21 Oct 2024 Last Revised: 22 Oct 2024

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 4 (1,334,047)

Add to Cart

Abstract:

24.

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 309 (205,791)

Abstract:

25.

Optimists, pessimists and stock prices

Annual Review of Financial Economics, in press

Number of pages: 29 Posted: 08 Feb 2024

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 295 (216,845)

Citation 4

Abstract:

26.

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

Number of pages: 60 Posted: 21 Aug 2018

Kent D. Daniel, David Hirshleifer and Avanidhar Subrahmanyam

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

Downloads 273 (234,056)

Citation 8

Abstract:

27.

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 171 (365,137)

Citation 25

Abstract:

28.

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 Hirshleifer and Kent D. Daniel

University of Southern California - Marshall School of Business - Finance and Business Economics Department and Columbia University - Columbia Business School, Finance

Downloads 136 (441,343)

Citation 5

Abstract:

29.

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 Hirshleifer and Avanidhar Subrahmanyam

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

Abstract:

30.

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 Hirshleifer and Avanidhar Subrahmanyam

Columbia University - Columbia Business School, Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department 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 (30)

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Liquidity Regimes and Optimal Dynamic Asset Allocation

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

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