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

27

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Rank 808

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Top 808

in Total Papers Downloads

35,704

SSRN CITATIONS
Rank 255

SSRN RANKINGS

Top 255

in Total Papers Citations

1,142

CROSSREF CITATIONS

1,950

Scholarly Papers (27)

1.
Downloads 12,142 ( 404)
Citation 162

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 7,895 (861)
Citation 77

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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 2,701 (5,556)
Citation 73

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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 817 (35,247)
Citation 6

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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 600 (53,467)

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Momentum Crashes

NBER Working Paper No. w20439
Number of pages: 52 Posted: 02 Sep 2014 Last Revised: 08 May 2021
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and Yale University, Yale SOM
Downloads 129 (264,475)
Citation 19

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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 7,606 (937)
Citation 68

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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 3,301 (3,915)
Citation 49

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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 1,635 ( 12,771)
Citation 211

Market Reactions to Tangible and Intangible Information

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 1,455 (15,069)
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 180 (200,432)
Citation 39

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5.
Downloads 1,592 ( 13,338)
Citation 42

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 Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and George Mason University - Department of Finance
Downloads 1,530 (13,939)
Citation 28

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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 62 (421,694)
Citation 12

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6.
Downloads 1,422 ( 15,919)
Citation 15

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 Business School - Finance and Economics, Columbia University - Columbia Business School, Finance, University of Amsterdam - Finance Group and Columbia Business School
Downloads 1,375 (16,466)
Citation 11

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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: 69 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 47 (480,233)
Citation 5

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7.
Downloads 948 ( 29,073)
Citation 3

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 College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 813 (35,482)
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 Last Revised: 22 Feb 2021
Kent D. Daniel, Ravi Jagannathan and Soohun Kim
Columbia Business School - Finance and Economics, Northwestern University - Kellogg School of Management and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 135 (255,473)
Citation 2

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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 917 (30,498)
Citation 9

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

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 841 (33,877)

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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: 24 Apr 2021
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 60 (428,788)

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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 734 (41,434)
Citation 37

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takeovers, auctions, sequential bidding, revenue equivalence

11.
Downloads 641 ( 49,638)
Citation 11

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 600 (53,467)
Citation 2

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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 Last Revised: 02 May 2021
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 41 (507,790)
Citation 7

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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
Pacific Investment Management Company (PIMCO), Columbia Business School - Finance and Economics and University of California, Irvine - Paul Merage School of Business
Downloads 542 (61,530)
Citation 2

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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 517 (65,296)
Citation 20

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

Overconfidence, Information Diffusion, and Mispricing Persistence

10th Miami Behavioral Finance Conference
Number of pages: 97 Posted: 24 Dec 2018 Last Revised: 04 Feb 2020
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 369 (96,575)

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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 Last Revised: 04 Apr 2021
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 12 (698,366)

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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 294 (124,166)
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 50 (467,450)
Citation 10

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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 338 (106,706)
Citation 28

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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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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 328 (111,474)
Citation 137

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

18.
Downloads 308 (119,271)
Citation 5

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 Business School - Finance and Economics, University of British Columbia (UBC) - Sauder School of Business and Columbia University - Columbia Business School
Downloads 296 (123,717)

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reaching for income, monetary policy

Monetary Policy and Reaching for Income

NBER Working Paper No. w25344
Number of pages: 67 Posted: 11 Dec 2018 Last Revised: 02 Apr 2021
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 12 (698,366)
Citation 4

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19.

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 269 (137,043)
Citation 7

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20.
Downloads 264 (139,721)
Citation 5

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 251 (146,408)
Citation 5

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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 Last Revised: 08 Mar 2021
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 12 (698,366)

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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 (799,569)
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dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

21.

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 Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and George Mason University - Department of Finance
Downloads 154 (228,859)

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Factor Models, Behavioral Factors

22.

(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 147 (237,668)
Citation 8

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

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 2021
Kent D. Daniel, Bob Litterman and Gernot Wagner
Columbia Business School - Finance and Economics, Goldman Sachs and New York University (NYU) - Department of Environmental Studies
Downloads 107 (301,444)

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24.

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: 21 Apr 2021
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 105 (305,339)
Citation 9

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25.

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 61 (419,305)
Citation 1

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sequential bidding, auctions, takeover bidding, revenue equivalence

26.

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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27.

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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