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 and Tobias J. Moskowitz

Columbia Business School - Finance and Economics and Yale University, Yale SOM

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Citation 15

Abstract:

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 2,544 (4,550)

Citation 15

Abstract:

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 757 (30,826)

Citation 15

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 and Tobias J. Moskowitz

Columbia Business School - Finance and Economics and Yale University, Yale SOM

Downloads 515 (51,411)

Citation 15

Abstract:

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 61 (350,582)

Citation 15

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 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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Citation 72

Abstract:

3.

Investor Psychology in Capital Markets: Evidence and Policy Implications

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Citation 110

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 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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Citation 110

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 Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Accounting Area

Abstract:

4.

Market Reactions to Tangible and Intangible Information

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Citation 145

2

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 1,437 (11,772)

Citation 145

Abstract:

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

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Citation 145

Abstract:

5.

Short- and Long-Horizon Behavioral Factors

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2

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 1,000 (20,709)

Abstract:

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

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Abstract:

6.

The Cross-Section of Risk and Return

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2

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 Business School - Finance and Economics, University of Amsterdam - Finance Group and Columbia Business School

Downloads 960 (21,918)

Abstract:

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 Business School - Finance and Economics, University of Amsterdam - Finance Group and Columbia Business School

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Abstract:

7.

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

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Citation 13

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 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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Citation 13

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: 01 Apr 2001

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

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 56 (366,037)

Citation 13

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 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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Citation 10

Abstract:

9.

Tail Risk in Momentum Strategy Returns

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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 Business School - Finance and Economics, Northwestern University - Kellogg School of Management and Georgia Institute of Technology - Scheller College of Business

Downloads 735 (32,065)

Citation 4

Abstract:

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 107 (248,900)

Citation 4

Abstract:

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

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Citation 26

Abstract:

11.

The Carry Trade: Risks and Drawdowns

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Citation 1

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

Downloads 541 (48,229)

Citation 1

Abstract:

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 27 (484,520)

Citation 1

Abstract:

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

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Abstract:

13.

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 Sağlam

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 418 (67,296)

Abstract:

14.

Overconfident Investors, Predictable Returns, and Excessive Trading

Downloads 294 (100,599)

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 Business School - Finance and Economics and University of California, Irvine - Paul Merage School of Business

Downloads 263 (112,722)

Abstract:

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 31 (463,458)

Abstract:

15.

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

Downloads 274 (108,516)

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: 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 274 (107,992)

Citation 439

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 Business School - Finance and Economics 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 Business School - Finance and Economics and University of Texas at Austin - Department of Finance

Abstract:

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 248 (120,347)

Citation 65

Abstract:

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

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

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 231 (129,286)

Citation 20

Abstract:

18.

Overconfidence, Information Diffusion, and Mispricing Persistence

Downloads 191 (155,580)

2

Overconfidence, Information Diffusion, and Mispricing Persistence

Number of pages: 86 Posted: 24 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 183 (161,739)

Abstract:

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

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Abstract:

19.

Liquidity Regimes and Optimal Dynamic Asset Allocation

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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 Sağlam

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

Downloads 178 (164,991)

Abstract:

Liquidity Regimes and Optimal Dynamic Asset Allocation

NBER Working Paper No. w24222

Number of pages: 68 Posted: 22 Jan 2018

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

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

Downloads 5 (624,668)

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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 Sağlam

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

Downloads 1 (664,671)

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Abstract:

20.

(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 Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

Downloads 118 (230,716)

Abstract:

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 94 (269,967)

Citation 84

Abstract:

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 37 (426,681)

Citation 26

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: 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 19 (515,320)

Abstract:

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

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Abstract:

25.

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 Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

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

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

Columbia Business School - Finance and Economics, University of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

Kent D. Daniel

Columbia Business School - Finance and Economics

Professor of Finance

National Bureau of Economic Research (NBER)

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Scholarly Papers (26)

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Short- and Long-Horizon Behavioral Factors

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The Cross-Section of Risk and Return

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Overconfidence, Information Diffusion, and Mispricing Persistence

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Liquidity Regimes and Optimal Dynamic Asset Allocation

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Liquidity Regimes and Optimal Dynamic Asset Allocation

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Monetary Policy and Reaching for Income

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