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

28

DOWNLOADS
Rank 872

SSRN RANKINGS

Top 872

in Total Papers Downloads

37,052

SSRN CITATIONS
Rank 247

SSRN RANKINGS

Top 247

in Total Papers Citations

1,262

CROSSREF CITATIONS

1,970

Scholarly Papers (28)

1.
Downloads 12,477 ( 430)
Citation 173

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 Business School - Finance and Economics and Yale University, Yale SOMAQR Capital
Downloads 8,139 (910)
Citation 79

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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 2,736 (5,929)
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 Business School - Finance and Economics and Yale University, Yale SOMAQR Capital
Downloads 842 (36,173)
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 Business School - Finance and Economics and Yale University, Yale SOMAQR Capital
Downloads 608 (56,058)

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Momentum Crashes

Number of pages: 52 Posted: 02 Sep 2014 Last Revised: 07 Nov 2021
Columbia Business School - Finance and Economics and Yale University, Yale SOMAQR Capital
Downloads 152 (245,570)
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 Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 7,747 (997)
Citation 70

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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
Columbia Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and UCLA Anderson School of Management
Downloads 3,317 (4,273)
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
Columbia Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and UCLA Anderson School of Management

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4.
Downloads 1,727 ( 12,679)
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
Columbia Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and George Mason University
Downloads 1,664 (13,243)
Citation 25

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Factor Models, Anomalies, Behavioral Factors

Short- and Long-Horizon Behavioral Factors

Number of pages: 75 Posted: 03 Jan 2018 Last Revised: 17 Jul 2021
Columbia Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and Florida State University
Downloads 63 (441,684)
Citation 12

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5.
Downloads 1,656 ( 13,561)
Citation 224

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 1,464 (16,142)
Citation 10

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Market Reactions to Tangible and Intangible Information

Number of pages: 58 Posted: 07 Jun 2003 Last Revised: 16 Aug 2021
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 192 (200,518)
Citation 48

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6.
Downloads 1,495 ( 15,959)
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 Business School - Finance and Economics, Columbia University - Columbia Business School, Finance, University of Amsterdam - Finance Group and Columbia Business School
Downloads 1,447 (16,464)
Citation 14

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Factor Models, Unpriced Risk, Characteristics, Covariances

The Cross-Section of Risk and Return

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 48 (502,113)
Citation 5

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7.
Downloads 981 ( 29,660)
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 824 (37,326)
Citation 1

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Tail Risk in Momentum Strategy Returns

Number of pages: 69 Posted: 22 Jun 2012 Last Revised: 25 Aug 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 157 (239,085)
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, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 929 (32,074)
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, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 843 (36,115)

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

Number of pages: 47 Posted: 16 May 2000 Last Revised: 24 Oct 2021
Columbia Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 61 (448,950)

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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
Columbia Business School - Finance and Economics and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 740 (43,811)
Citation 36

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takeovers, auctions, sequential bidding, revenue equivalence

11.
Downloads 671 ( 49,949)
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 Business School - Finance and Economics, Columbia Business School - Finance and Economics and University of Georgia - Department of Finance
Downloads 607 (56,171)
Citation 1

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currency carry trade, currency risk factors, market efficiency

The Carry Trade: Risks and Drawdowns

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 64 (438,006)
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
Pacific Investment Management Company (PIMCO), Columbia Business School - Finance and Economics and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 559 (63,063)
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 Business School - Finance and Economics, Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 542 (65,540)
Citation 20

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

14.
Downloads 493 ( 73,908)

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 Business School - Finance and Economics, University of Kiel - Institute for Quantitative Business and Economics Research (QBER) and University of Amsterdam - Finance Group
Downloads 474 (76,804)

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

Overconfidence, Information Diffusion, and Mispricing Persistence

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 19 (678,363)

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15.
Downloads 374 (102,326)
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 Business School - Finance and Economics, University of British Columbia (UBC) - Sauder School of Business and Columbia University - Columbia Business School
Downloads 360 (105,975)

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reaching for income, monetary policy

Monetary Policy and Reaching for Income

Number of pages: 67 Posted: 11 Dec 2018 Last Revised: 19 Nov 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 14 (718,974)
Citation 4

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Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

Number of pages: 40 Posted: 27 Aug 2000 Last Revised: 25 Oct 2021
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 355 (107,320)
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, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 349 (110,169)
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
Columbia Business School - Finance and Economics and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 296 (131,038)
Citation 1

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asset pricing, efficient markets, anomalies, behavioral finance, overconfidence

Overconfident Investors, Predictable Returns, and Excessive Trading

Number of pages: 38 Posted: 01 Feb 2016 Last Revised: 19 Jun 2021
Columbia Business School - Finance and Economics and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 52 (484,637)
Citation 10

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19.
Downloads 285 (136,994)
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 268 (145,385)
Citation 5

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Asset Allocation, Dynamic Trading, Stochastic Transaction Costs

Liquidity Regimes and Optimal Dynamic Asset Allocation

Number of pages: 68 Posted: 22 Jan 2018 Last Revised: 08 Sep 2021
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 16 (702,264)

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Liquidity Regimes and Optimal Dynamic Asset Allocation

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 (837,405)
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dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

20.

Market Efficiency in an Irrational World

Number of pages: 28 Posted: 06 May 2000 Last Revised: 20 Jun 2021
Kent D. Daniel and Sheridan Titman
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 276 (141,687)
Citation 9

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21.

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

Number of pages: 6 Posted: 06 Oct 2020
Columbia Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and George Mason University
Downloads 241 (162,199)

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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, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area
Downloads 155 (241,059)
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

Number of pages: 51 Posted: 07 Nov 2016 Last Revised: 15 Oct 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 140 (261,756)

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24.

Teaching Slides on Short and Long Horizon Behavioral Factors

Number of pages: 63 Posted: 24 May 2021
Columbia Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and George Mason University
Downloads 120 (294,024)

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Factor Models, Anomalies, Behavioral Factors

25.

Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?

Number of pages: 31 Posted: 28 Apr 2000 Last Revised: 21 Oct 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 106 (320,666)
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
Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and Columbia Business School - Finance and Economics
Downloads 65 (428,851)
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 Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business 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 Business School - Finance and Economics, Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business and University of California, Los Angeles (UCLA) - Finance Area

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