[ { "key": "74C9U5MV", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/74C9U5MV", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/74C9U5MV", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/XHDSNJ2J", "type": "application/json" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } } }, "data": { "key": "74C9U5MV", "version": 1, "parentItem": "XHDSNJ2J", "itemType": "attachment", "linkMode": "linked_url", "title": "JSTOR Full Text PDF", "accessDate": "2012-11-28T20:10:29Z", "url": "http://www.jstor.org/stable/pdfplus/1909776.pdf?acceptTC=true", "note": "", "contentType": "application/pdf", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-28T20:10:29Z", "dateModified": "2012-11-28T20:10:29Z" } }, { "key": "XHDSNJ2J", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/XHDSNJ2J", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/XHDSNJ2J", "type": "text/html" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } }, "creatorSummary": "Ying", "parsedDate": "1966-07-01", "numChildren": 1 }, "data": { "key": "XHDSNJ2J", "version": 1, "itemType": "journalArticle", "title": "Stock Market Prices and Volumes of Sales", "creators": [ { "creatorType": "author", "firstName": "Charles C.", "lastName": "Ying" } ], "abstractNote": "The relationships between stock prices and volumes of sales are examined with the view that they are joint products of a single market mechanism. The results found here tend to support the notion that any model of the stock market which separates prices from volumes or vice versa will inevitably yield incomplete if not erroneous results.", "publicationTitle": "Econometrica", "publisher": "", "place": "", "date": "July 1, 1966", "volume": "34", "issue": "3", "section": "", "partNumber": "", "partTitle": "", "pages": "676-685", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "Econometrica", "DOI": "10.2307/1909776", "citationKey": "", "url": "http://www.jstor.org/stable/1909776", "accessDate": "2012-11-28T20:10:29Z", "PMID": "", "PMCID": "", "ISSN": "0012-9682", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "JSTOR", "callNumber": "", "rights": "Copyright © 1966 The Econometric Society", "extra": "ArticleType: research-article / Full publication date: Jul., 1966 / Copyright © 1966 The Econometric Society", "tags": [], "collections": [], "relations": {}, "dateAdded": "2012-11-28T20:10:29Z", "dateModified": "2012-11-28T20:10:29Z" } }, { "key": "HTK3TXWC", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/HTK3TXWC", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/HTK3TXWC", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/2JNC35KX", "type": "application/json" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } } }, "data": { "key": "HTK3TXWC", "version": 1, "parentItem": "2JNC35KX", "itemType": "attachment", "linkMode": "linked_url", "title": "Snapshot", "accessDate": "2012-11-28T19:58:02Z", "url": "http://qje.oxfordjournals.org/content/108/4/905.abstract", "note": "", "contentType": "text/html", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-28T19:58:02Z", "dateModified": "2012-11-28T19:58:02Z" } }, { "key": "JQQTZDVH", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/JQQTZDVH", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/JQQTZDVH", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/2JNC35KX", "type": "application/json" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } } }, "data": { "key": "JQQTZDVH", "version": 1, "parentItem": "2JNC35KX", "itemType": "attachment", "linkMode": "linked_url", "title": "Full Text PDF", "accessDate": "2012-11-28T19:58:02Z", "url": "http://qje.oxfordjournals.org/content/108/4/905.full.pdf", "note": "", "contentType": "application/pdf", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-28T19:58:02Z", "dateModified": "2012-11-28T19:58:02Z" } }, { "key": "2JNC35KX", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/2JNC35KX", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/2JNC35KX", "type": "text/html" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } }, "creatorSummary": "Campbell et al.", "parsedDate": "1993-11-01", "numChildren": 2 }, "data": { "key": "2JNC35KX", "version": 1, "itemType": "journalArticle", "title": "Trading Volume and Serial Correlation in Stock Returns", "creators": [ { "creatorType": "author", "firstName": "John Y.", "lastName": "Campbell" }, { "creatorType": "author", "firstName": "Sanford J.", "lastName": "Grossman" }, { "creatorType": "author", "firstName": "Jiang", "lastName": "Wang" } ], "abstractNote": "This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse “market makers” accommodate buying or selling pressure from “liquidity” or “noninformational” traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.", "publicationTitle": "The Quarterly Journal of Economics", "publisher": "", "place": "", "date": "11/01/1993", "volume": "108", "issue": "4", "section": "", "partNumber": "", "partTitle": "", "pages": "905-939", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "The Quarterly Journal of Economics", "DOI": "10.2307/2118454", "citationKey": "", "url": "http://qje.oxfordjournals.org/content/108/4/905", "accessDate": "2012-11-28T19:58:02Z", "PMID": "", "PMCID": "", "ISSN": "0033-5533, 1531-4650", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "en", "libraryCatalog": "qje.oxfordjournals.org", "callNumber": "", "rights": "", "extra": "", "tags": [], "collections": [], "relations": {}, "dateAdded": "2012-11-28T19:58:02Z", "dateModified": "2012-11-28T19:58:02Z" } }, { "key": "IDGE8DFE", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/IDGE8DFE", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/IDGE8DFE", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/TB8QIMKF", "type": "application/json" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } } }, "data": { "key": "IDGE8DFE", "version": 1, "parentItem": "TB8QIMKF", "itemType": "attachment", "linkMode": "linked_url", "title": "Snapshot", "accessDate": "2012-11-28T19:52:28Z", "url": "http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00280/abstract", "note": "", "contentType": "text/html", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-28T19:52:28Z", "dateModified": "2012-11-28T19:52:28Z" } }, { "key": "TB8QIMKF", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/TB8QIMKF", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/TB8QIMKF", "type": "text/html" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } }, "creatorSummary": "Lee and Swaminathan", "parsedDate": "2000", "numChildren": 2 }, "data": { "key": "TB8QIMKF", "version": 1, "itemType": "journalArticle", "title": "Price Momentum and Trading Volume", "creators": [ { "creatorType": "author", "firstName": "Charles M.C.", "lastName": "Lee" }, { "creatorType": "author", "firstName": "Bhaskaran", "lastName": "Swaminathan" } ], "abstractNote": "This study shows that past trading volume provides an important link between ‘momentum’ and ‘value’ strategies. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate-horizon ‘underreaction’ and long-horizon ‘overreaction’ effects.", "publicationTitle": "The Journal of Finance", "publisher": "", "place": "", "date": "2000", "volume": "55", "issue": "5", "section": "", "partNumber": "", "partTitle": "", "pages": "2017–2069", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "", "DOI": "10.1111/0022-1082.00280", "citationKey": "", "url": "http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00280/abstract", "accessDate": "2012-11-28T19:52:28Z", "PMID": "", "PMCID": "", "ISSN": "1540-6261", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "en", "libraryCatalog": "Wiley Online Library", "callNumber": "", "rights": "The American Finance Association 2000", "extra": "", "tags": [], "collections": [], "relations": {}, "dateAdded": "2012-11-28T19:52:28Z", "dateModified": "2012-11-28T19:52:28Z" } }, { "key": "3JDPIQVG", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/3JDPIQVG", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/3JDPIQVG", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/TB8QIMKF", "type": "application/json" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } } }, "data": { "key": "3JDPIQVG", "version": 1, "parentItem": "TB8QIMKF", "itemType": "attachment", "linkMode": "linked_url", "title": "Full Text PDF", "accessDate": "2012-11-28T19:52:28Z", "url": "http://onlinelibrary.wiley.com/store/10.1111/0022-1082.00280/asset/0022-1082.00280.pdf?v=1&t=ha2vfd27&s=d339cec4871b5eed4a538394758db3108bea55f2", "note": "", "contentType": "application/pdf", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-28T19:52:28Z", "dateModified": "2012-11-28T19:52:28Z" } }, { "key": "JGUGZNEE", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/JGUGZNEE", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/JGUGZNEE", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/V43ASP85", "type": "application/json" } }, "meta": { "createdByUser": { "id": 1182112, "username": "jean0205", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/jean0205", "type": "text/html" } } } }, "data": { "key": "JGUGZNEE", "version": 1, "parentItem": "V43ASP85", "itemType": "attachment", "linkMode": "imported_file", "title": "predicting volatility; getting the most out of return data samples at different frequencies.pdf", "accessDate": "", "url": "", "note": "", "contentType": "", "charset": "", "filename": "", "md5": null, "mtime": null, "tags": [], "relations": {}, "dateAdded": "2012-11-28T08:29:14Z", "dateModified": "2012-11-28T08:29:14Z" } }, { "key": "V43ASP85", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/V43ASP85", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/V43ASP85", "type": "text/html" } }, "meta": { "createdByUser": { "id": 1182112, "username": "jean0205", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/jean0205", "type": "text/html" } } }, "numChildren": 1 }, "data": { "key": "V43ASP85", "version": 1, "itemType": "journalArticle", "title": "predicting volatility; getting the most out of return data samples at different frequencies", "creators": [], "abstractNote": "", "publicationTitle": "", "publisher": "", "place": "", "date": "", "volume": "", "issue": "", "section": "", "partNumber": "", "partTitle": "", "pages": "", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "", "DOI": "", "citationKey": "", "url": "", "accessDate": "", "PMID": "", "PMCID": "", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "", "callNumber": "", "rights": "", "extra": "", "tags": [], "collections": [], "relations": {}, "dateAdded": "2012-11-28T08:29:06Z", "dateModified": "2012-11-28T08:29:06Z" } }, { "key": "JC98RF3M", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/JC98RF3M", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/JC98RF3M", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/N6TNHDW9", "type": "application/json" } }, "meta": { "createdByUser": { "id": 1182112, "username": "jean0205", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/jean0205", "type": "text/html" } } } }, "data": { "key": "JC98RF3M", "version": 1, "parentItem": "N6TNHDW9", "itemType": "attachment", "linkMode": "imported_file", "title": "predicting volatility; getting the most out of return data samples at different frequencies.pdf", "accessDate": "", "url": "", "note": "", "contentType": "", "charset": "", "filename": "", "md5": null, "mtime": null, "tags": [], "relations": {}, "dateAdded": "2012-11-28T08:28:32Z", "dateModified": "2012-11-28T08:28:32Z" } }, { "key": "6P7BV3MR", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/6P7BV3MR", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/6P7BV3MR", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/N6TNHDW9", "type": "application/json" } }, "meta": { "createdByUser": { "id": 1182112, "username": "jean0205", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/jean0205", "type": "text/html" } } } }, "data": { "key": "6P7BV3MR", "version": 1, "parentItem": "N6TNHDW9", "itemType": "attachment", "linkMode": "imported_file", "title": "predicting volatility; getting the most out of return data samples at different frequencies.pdf", "accessDate": "", "url": "", "note": "", "contentType": "", "charset": "", "filename": "", "md5": null, "mtime": null, "tags": [], "relations": {}, "dateAdded": "2012-11-28T08:28:19Z", "dateModified": "2012-11-28T08:28:19Z" } }, { "key": "N6TNHDW9", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/N6TNHDW9", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/N6TNHDW9", "type": "text/html" } }, "meta": { "createdByUser": { "id": 1182112, "username": "jean0205", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/jean0205", "type": "text/html" } } }, "numChildren": 2 }, "data": { "key": "N6TNHDW9", "version": 1, "itemType": "journalArticle", "title": "predicting volatility; getting the most out of return data samples at different frequencies", "creators": [], "abstractNote": "", "publicationTitle": "", "publisher": "", "place": "", "date": "", "volume": "", "issue": "", "section": "", "partNumber": "", "partTitle": "", "pages": "", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "", "DOI": "", "citationKey": "", "url": "", "accessDate": "", "PMID": "", "PMCID": "", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "", "callNumber": "", "rights": "", "extra": "", "tags": [], "collections": [], "relations": {}, "dateAdded": "2012-11-28T08:27:54Z", "dateModified": "2012-11-28T08:27:54Z" } }, { "key": "DNMUUNWA", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/DNMUUNWA", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/DNMUUNWA", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/FHTKNI2N", "type": "application/json" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } } }, "data": { "key": "DNMUUNWA", "version": 1, "parentItem": "FHTKNI2N", "itemType": "attachment", "linkMode": "linked_url", "title": "Snapshot", "accessDate": "2012-11-15T03:36:53Z", "url": "http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00231/abstract", "note": "", "contentType": "text/html", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-15T03:36:53Z", "dateModified": "2012-11-15T03:36:53Z" } }, { "key": "FHTKNI2N", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/FHTKNI2N", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/FHTKNI2N", "type": "text/html" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } }, "creatorSummary": "Chordia and Swaminathan", "parsedDate": "2000", "numChildren": 1 }, "data": { "key": "FHTKNI2N", "version": 1, "itemType": "journalArticle", "title": "Trading Volume and Cross-Autocorrelations in Stock Returns", "creators": [ { "creatorType": "author", "firstName": "Tarun", "lastName": "Chordia" }, { "creatorType": "author", "firstName": "Bhaskaran", "lastName": "Swaminathan" } ], "abstractNote": "This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume portfolios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confirms these findings. Overall, the results indicate that differential speed of adjustment to information is a significant source of the cross-autocorrelation patterns in short-horizon stock returns.", "publicationTitle": "The Journal of Finance", "publisher": "", "place": "", "date": "2000", "volume": "55", "issue": "2", "section": "", "partNumber": "", "partTitle": "", "pages": "913–935", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "", "DOI": "10.1111/0022-1082.00231", "citationKey": "", "url": "http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00231/abstract", "accessDate": "2012-11-15T03:36:53Z", "PMID": "", "PMCID": "", "ISSN": "1540-6261", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "en", "libraryCatalog": "Wiley Online Library", "callNumber": "", "rights": "The American Finance Association 2000", "extra": "", "tags": [], "collections": [], "relations": {}, "dateAdded": "2012-11-15T03:36:53Z", "dateModified": "2012-11-15T03:36:53Z" } }, { "key": "ABRSFAP3", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/ABRSFAP3", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/ABRSFAP3", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/4HPFVZ6S", "type": "application/json" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } } }, "data": { "key": "ABRSFAP3", "version": 1, "parentItem": "4HPFVZ6S", "itemType": "attachment", "linkMode": "linked_url", "title": "Snapshot", "accessDate": "2012-11-15T02:06:28Z", "url": "http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00484/abstract", "note": "", "contentType": "text/html", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-15T02:06:28Z", "dateModified": "2012-11-15T02:06:28Z" } }, { "key": "4HPFVZ6S", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/4HPFVZ6S", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/4HPFVZ6S", "type": "text/html" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } }, "creatorSummary": "Dennis and Strickland", "parsedDate": "2002", "numChildren": 1 }, "data": { "key": "4HPFVZ6S", "version": 1, "itemType": "journalArticle", "title": "Who Blinks in Volatile Markets, Individuals or Institutions?", "creators": [ { "creatorType": "author", "firstName": "Patrick J.", "lastName": "Dennis" }, { "creatorType": "author", "firstName": "Deon", "lastName": "Strickland" } ], "abstractNote": "We investigate the relationship between the ownership structure and returns of firms on days when the absolute value of the market’s return is two percent or more. We find that a firm’s abnormal return on these days is related to the percentage of institutional ownership, that there is abnormally high turnover in the firm’s shares on these days, and that this abnormal turnover is significantly related to the percentage of institutional ownership in the firm. Taken together, these results are consistent with positive feedback herding behavior on the part of some institutions, particularly mutual and pension funds.", "publicationTitle": "The Journal of Finance", "publisher": "", "place": "", "date": "2002", "volume": "57", "issue": "5", "section": "", "partNumber": "", "partTitle": "", "pages": "1923–1949", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "", "DOI": "10.1111/0022-1082.00484", "citationKey": "", "url": "http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00484/abstract", "accessDate": "2012-11-15T02:06:28Z", "PMID": "", "PMCID": "", "ISSN": "1540-6261", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "en", "libraryCatalog": "Wiley Online Library", "callNumber": "", "rights": "The American Finance Association 2002", "extra": "", "tags": [], "collections": [], "relations": {}, "dateAdded": "2012-11-15T02:06:28Z", "dateModified": "2012-11-15T02:06:28Z" } }, { "key": "469WJCTV", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/469WJCTV", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/469WJCTV", "type": "text/html" } }, "meta": { "createdByUser": { "id": 900499, "username": "Goode18", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/goode18", "type": "text/html" } } }, "creatorSummary": "Gençay and Stengos", "parsedDate": "1998", "numChildren": 2 }, "data": { "key": "469WJCTV", "version": 1, "itemType": "journalArticle", "title": "Moving average rules, volume and the predictability of security returns with feedforward networks", "creators": [ { "creatorType": "author", "firstName": "Ramazan", "lastName": "Gençay" }, { "creatorType": "author", "firstName": "Thanasis", "lastName": "Stengos" } ], "abstractNote": "This paper uses the daily Dow Jones Industrial Average Index from 1963 to 1988 to examine the linear and non-linear predictability of stock market returns with some simple technical trading rules. Some evidence of non-linear predictability in stock market returns is found by using the past buy and sell signals of the moving average rules. In addition, past information on volume improves the forecast accuracy of current returns. The technical trading rules used in this paper are very popular and very simple. The results here suggest that it is worth while to investigate more elaborate rules and the profitability of these rules after accounting for transaction costs and brokerage fees. Copyright © 1998 John Wiley & Sons, Ltd.", "publicationTitle": "Journal of Forecasting", "publisher": "", "place": "", "date": "1998", "volume": "17", "issue": "5-6", "section": "", "partNumber": "", "partTitle": "", "pages": "401–414", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "", "DOI": "10.1002/(SICI)1099-131X(1998090)17:5/6<401::AID-FOR704>3.0.CO;2-C", "citationKey": "", "url": "http://onlinelibrary.wiley.com/doi/10.1002/(SICI)1099-131X(1998090)17:5/6<401::AID-FOR704>3.0.CO;2-C/abstract", "accessDate": "2012-11-09T06:10:48Z", "PMID": "", "PMCID": "", "ISSN": "1099-131X", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "en", "libraryCatalog": "Wiley Online Library", "callNumber": "", "rights": "Copyright © 1998 John Wiley & Sons, Ltd.", "extra": "", "tags": [ { "tag": "feedforward networks", "type": 1 }, { "tag": "technical trading", "type": 1 } ], "collections": [], "relations": {}, "dateAdded": "2012-11-09T06:10:48Z", "dateModified": "2012-11-09T06:10:48Z" } }, { "key": "V648VGWV", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/V648VGWV", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/V648VGWV", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/469WJCTV", "type": "application/json" } }, "meta": { "createdByUser": { "id": 900499, "username": "Goode18", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/goode18", "type": "text/html" } } } }, "data": { "key": "V648VGWV", "version": 1, "parentItem": "469WJCTV", "itemType": "attachment", "linkMode": "linked_url", "title": "Full Text PDF", "accessDate": "2012-11-09T06:10:48Z", "url": "http://onlinelibrary.wiley.com/store/10.1002/(SICI)1099-131X(1998090)17:5/6<401::AID-FOR704>3.0.CO;2-C/asset/704_ftp.pdf?v=1&t=h9awpsxk&s=ce7fa8d1f713a7a0899e070cad9487008daf2188", "note": "", "contentType": "application/pdf", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-09T06:10:48Z", "dateModified": "2012-11-09T06:10:48Z" } }, { "key": "KDUCITIJ", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/KDUCITIJ", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/KDUCITIJ", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/469WJCTV", "type": "application/json" } }, "meta": { "createdByUser": { "id": 900499, "username": "Goode18", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/goode18", "type": "text/html" } } } }, "data": { "key": "KDUCITIJ", "version": 1, "parentItem": "469WJCTV", "itemType": "attachment", "linkMode": "linked_url", "title": "Snapshot", "accessDate": "2012-11-09T06:10:48Z", "url": "http://onlinelibrary.wiley.com/doi/10.1002/(SICI)1099-131X(1998090)17:5/6%3C401::AID-FOR704%3E3.0.CO;2-C/abstract", "note": "", "contentType": "text/html", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-09T06:10:48Z", "dateModified": "2012-11-09T06:10:48Z" } }, { "key": "BSPP2X63", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/BSPP2X63", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/BSPP2X63", "type": "text/html" } }, "meta": { "createdByUser": { "id": 900499, "username": "Goode18", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/goode18", "type": "text/html" } } }, "creatorSummary": "Utama and Cready", "parsedDate": "1997-12-15", "numChildren": 2 }, "data": { "key": "BSPP2X63", "version": 1, "itemType": "journalArticle", "title": "Institutional ownership, differential predisclosure precision and trading volume at announcement dates", "creators": [ { "creatorType": "author", "firstName": "Siddharta", "lastName": "Utama" }, { "creatorType": "author", "firstName": "William M", "lastName": "Cready" } ], "abstractNote": "This study examines the relation between ownership structure, as revealed by the percentage of outstanding shares held by institutional investors, and trading volume at earnings announcement dates. We find that volume response as a function of institutional ownership is quadratic with the quadratic curve that reaches a maximum at around 50% institutional ownership. When risk tolerances are identical across investor types such a relation is consistent with Kim and Verrecchia's (1991a) proposition that trading volume response to public announcements increases with the level of cross-investor variation in precision of private predisclosure information.", "publicationTitle": "Journal of Accounting and Economics", "publisher": "", "place": "", "date": "December 15, 1997", "volume": "24", "issue": "2", "section": "", "partNumber": "", "partTitle": "", "pages": "129-150", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "Journal of Accounting and Economics", "DOI": "10.1016/S0165-4101(98)00003-2", "citationKey": "", "url": "http://www.sciencedirect.com/science/article/pii/S0165410198000032", "accessDate": "2012-11-09T06:09:33Z", "PMID": "", "PMCID": "", "ISSN": "0165-4101", "archive": "", "archiveLocation": "", "shortTitle": "", "language": "", "libraryCatalog": "ScienceDirect", "callNumber": "", "rights": "", "extra": "", "tags": [ { "tag": "Earnings announcements", "type": 1 }, { "tag": "Institutional ownership", "type": 1 }, { "tag": "Precision", "type": 1 }, { "tag": "Trading volume", "type": 1 } ], "collections": [], "relations": {}, "dateAdded": "2012-11-09T06:09:33Z", "dateModified": "2012-11-09T06:09:33Z" } }, { "key": "ATIGZE4G", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/ATIGZE4G", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/ATIGZE4G", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/BSPP2X63", "type": "application/json" } }, "meta": { "createdByUser": { "id": 900499, "username": "Goode18", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/goode18", "type": "text/html" } } } }, "data": { "key": "ATIGZE4G", "version": 1, "parentItem": "BSPP2X63", "itemType": "attachment", "linkMode": "linked_url", "title": "ScienceDirect Full Text PDF", "accessDate": "2012-11-09T06:09:33Z", "url": "http://pdn.sciencedirect.com/science?_ob=MiamiImageURL&_cid=271661&_user=709071&_pii=S0165410198000032&_check=y&_origin=article&_zone=toolbar&_coverDate=15-Dec-1997&view=c&originContentFamily=serial&wchp=dGLbVlB-zSkzS&md5=8c8010e5a79a73b8a08401f7aa82d791&pid=1-s2.0-S0165410198000032-main.pdf", "note": "", "contentType": "application/pdf", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-09T06:09:33Z", "dateModified": "2012-11-09T06:09:33Z" } }, { "key": "6TIJ2XGN", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/6TIJ2XGN", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/6TIJ2XGN", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/BSPP2X63", "type": "application/json" } }, "meta": { "createdByUser": { "id": 900499, "username": "Goode18", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/goode18", "type": "text/html" } } } }, "data": { "key": "6TIJ2XGN", "version": 1, "parentItem": "BSPP2X63", "itemType": "attachment", "linkMode": "linked_url", "title": "ScienceDirect Snapshot", "accessDate": "2012-11-09T06:09:33Z", "url": "http://www.sciencedirect.com/science/article/pii/S0165410198000032", "note": "", "contentType": "text/html", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-09T06:09:33Z", "dateModified": "2012-11-09T06:09:33Z" } }, { "key": "CGE5RM6Q", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/CGE5RM6Q", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/CGE5RM6Q", "type": "text/html" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } }, "creatorSummary": "Benington and Jensen", "numChildren": 1 }, "data": { "key": "CGE5RM6Q", "version": 1, "itemType": "journalArticle", "title": "Random Walks and Technical Theories: Some Additional Evidence", "creators": [ { "creatorType": "author", "firstName": "George A.", "lastName": "Benington" }, { "creatorType": "author", "firstName": "Michael C.", "lastName": "Jensen" } ], "abstractNote": "Abstract not available at this time.", "publicationTitle": "SSRN eLibrary", "publisher": "", "place": "", "date": "", "volume": "", "issue": "", "section": "", "partNumber": "", "partTitle": "", "pages": "", "series": "", "seriesTitle": "", "seriesText": "", "journalAbbreviation": "", "DOI": "", "citationKey": "", "url": "http://papers.ssrn.com/sol3/papers.cfm?abstract_id=244160", "accessDate": "2012-11-06T18:57:47Z", "PMID": "", "PMCID": "", "ISSN": "", "archive": "", "archiveLocation": "", "shortTitle": "Random Walks and Technical Theories", "language": "", "libraryCatalog": "SSRN", "callNumber": "", "rights": "", "extra": "", "tags": [], "collections": [], "relations": {}, "dateAdded": "2012-11-06T18:57:47Z", "dateModified": "2012-11-06T18:57:47Z" } }, { "key": "J3CT6STR", "version": 1, "library": { "type": "group", "id": 103386, "name": "Blackbox Research Team", "links": { "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team", "type": "text/html" } } }, "links": { "self": { "href": "https://api.zotero.org/groups/103386/items/J3CT6STR", "type": "application/json" }, "alternate": { "href": "https://www.zotero.org/groups/blackbox_research_team/items/J3CT6STR", "type": "text/html" }, "up": { "href": "https://api.zotero.org/groups/103386/items/CGE5RM6Q", "type": "application/json" } }, "meta": { "createdByUser": { "id": 143029, "username": "rlh8t", "name": "", "links": { "alternate": { "href": "https://www.zotero.org/rlh8t", "type": "text/html" } } } }, "data": { "key": "J3CT6STR", "version": 1, "parentItem": "CGE5RM6Q", "itemType": "attachment", "linkMode": "linked_url", "title": "SSRN Snapshot", "accessDate": "2012-11-06T18:57:47Z", "url": "http://papers.ssrn.com/sol3/papers.cfm?abstract_id=244160", "note": "", "contentType": "text/html", "charset": "", "tags": [], "relations": {}, "dateAdded": "2012-11-06T18:57:47Z", "dateModified": "2012-11-06T18:57:47Z" } } ]