Kent D. Daniel

Columbia University - Columbia Business School, Finance

Professor of Finance

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 882

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Top 882

in Total Papers Downloads

38,722

SSRN CITATIONS
Rank 248

SSRN RANKINGS

Top 248

in Total Papers Citations

1,267

CROSSREF CITATIONS

1,935

Scholarly Papers (28)

1.
Downloads 12,845 ( 448)
Citation 172

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
Columbia University - Columbia Business School, Finance and Yale University, Yale SOMAQR Capital
Downloads 8,381 (950)
Citation 80

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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 University - Columbia Business School, Finance
Downloads 2,758 (6,410)
Citation 73

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Momentum Crashes

Columbia Business School Research Paper No. 14-36
Number of pages: 51 Posted: 26 Aug 2014
Columbia University - Columbia Business School, Finance and Yale University, Yale SOMAQR Capital
Downloads 884 (36,557)
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
Columbia University - Columbia Business School, Finance and Yale University, Yale SOMAQR Capital
Downloads 640 (56,433)

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Momentum Crashes

NBER Working Paper No. w20439
Number of pages: 52 Posted: 02 Sep 2014 Last Revised: 08 May 2022
Columbia University - Columbia Business School, Finance and Yale University, Yale SOMAQR Capital
Downloads 182 (224,157)
Citation 36

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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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 7,909 (1,070)
Citation 71

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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 University - Columbia Business School, Finance, Marshall School of Business, USC and UCLA Anderson School of Management
Downloads 3,347 (4,619)
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 University - Columbia Business School, Finance, Marshall School of Business, USC and UCLA Anderson School of Management

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4.
Downloads 1,895 ( 11,951)
Citation 45

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 1,807 (12,664)
Citation 25

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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 Last Revised: 09 Jan 2022
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 88 (386,780)
Citation 12

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5.
Downloads 1,708 ( 14,056)
Citation 219

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 1,485 (17,090)
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: 14 Feb 2022
Kent D. Daniel and Sheridan Titman
Columbia University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance
Downloads 223 (185,820)
Citation 48

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6.
Downloads 1,548 ( 16,363)
Citation 20

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, Columbia University - Columbia Business School, Finance, University of Amsterdam - Finance Group and Columbia Business School
Downloads 1,498 (16,871)
Citation 14

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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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance, University of Amsterdam - Finance Group and Columbia Business School
Downloads 50 (521,444)
Citation 5

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7.
Downloads 1,008 ( 30,829)
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 University - Columbia Business School, Finance, Northwestern University - Kellogg School of Management and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 842 (39,152)
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: 23 Feb 2022
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 166 (242,549)
Citation 2

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8.

Investor Psychology and Tests of Factor Pricing Models

Number of pages: 40 Posted: 26 Nov 2005
Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 955 (33,266)
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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 864 (37,742)

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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 2022
Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 82 (403,773)

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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 University - Columbia Business School, Finance and Marshall School of Business, USC
Downloads 765 (45,134)
Citation 6

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takeovers, auctions, sequential bidding, revenue equivalence

11.
Downloads 691 ( 51,776)
Citation 12

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 614 (59,523)
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 Last Revised: 02 May 2021
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 77 (418,996)
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 University - Columbia Business School, Finance and Marshall School of Business, USC
Downloads 600 (62,006)
Citation 3

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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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 565 (66,945)
Citation 20

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

14.
Downloads 563 ( 67,257)

The Dynamics of Disagreement

10th Miami Behavioral Finance Conference
Number of pages: 54 Posted: 24 Dec 2018 Last Revised: 06 Nov 2021
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 541 (69,881)

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disagreement, differences of opinion, short-sale constraints, momentum, long-term reversal, mispricing persistence

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 University - Columbia Business School, Finance, University of Kiel - Institute for Quantitative Business and Economics Research (QBER) and University of Amsterdam - Finance Group
Downloads 22 (689,539)

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15.
Downloads 477 ( 82,423)
Citation 8

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 462 (85,000)

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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 2022
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 15 (747,945)
Citation 4

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16.

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 University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 405 (99,895)
Citation 153

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

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 320 (128,997)
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 Last Revised: 19 Dec 2021
Kent D. Daniel and David A. Hirshleifer
Columbia University - Columbia Business School, Finance and Marshall School of Business, USC
Downloads 73 (431,890)
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 Apr 2022
Kent D. Daniel and Sheridan Titman
Columbia University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance
Downloads 385 (105,013)
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 University - Columbia Business School, Finance 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 University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance

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19.

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 344 (119,935)

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Factor Models, Behavioral Factors

20.

Market Efficiency in an Irrational World

NBER Working Paper No. w7489
Number of pages: 28 Posted: 06 May 2000 Last Revised: 20 Jun 2021
Kent D. Daniel and Sheridan Titman
Columbia University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance
Downloads 296 (140,721)
Citation 9

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21.
Downloads 292 (142,756)
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 University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 272 (152,845)
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: 09 Mar 2022
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 19 (713,847)

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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 University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 1 (893,266)
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dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

22.

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 218 (190,255)

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Factor Models, Anomalies, Behavioral Factors

23.

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

Number of pages: 60 Posted: 21 Aug 2018
Columbia University - Columbia Business School, Finance, Marshall School of Business, USC and University of California, Los Angeles (UCLA) - Finance Area
Downloads 189 (216,878)
Citation 8

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

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 2022
Kent D. Daniel, Bob Litterman and Gernot Wagner
Columbia University - Columbia Business School, Finance, Goldman Sachs and New York University (NYU) - Department of Environmental Studies
Downloads 165 (243,454)

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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: 21 Apr 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 125 (303,140)
Citation 9

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26.

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 88 (383,279)
Citation 2

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sequential bidding, auctions, takeover bidding, revenue equivalence

27.

Overconfidence, Arbitrage, and Equilibrium Asset Pricing

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

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28.

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

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