Personality

REFERENCES

• Barber , B. M. , Lehavy , R. and Trueman , B. 2006 . Buys, Holds and Sells: The Distribution of Investment Banks’ Stock Ratings and the Implications for the Profitability of Analysts’ Recommendations . Journal of Accounting and Economics , 41 : 87 – 117 .
   Web of Science ®Google Scholar
• Barber , B. M. , Lehavy , R. , McNichols , M. and Trueman , B. 2001 . Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns . Journal of Finance , 56 : 531 – 563 .
   Web of Science ®Google Scholar
• Barber , B. M. and Odean , T. 2000 . Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors . Journal of Finance , 55 : 773 – 806 .
   Web of Science ®Google Scholar
• Barber , B. M. and Odean , T. 2001 . Will Be Boys: Gender, Overconfidence, and Common Stock Investment . Quarterly Journal of Economics , 116 : 261 – 292 .
   Web of Science ®Google Scholar
• Brailsford , T. and O’Brien , M. A. 2008 . Size from Momentum in Australian Stock Returns . Australian Journal of Management , 32 : 1 – 22 .
   Google Scholar
• Ciarlone , A. and Trebeschi , G. 2005 . Designing an Early Warning System for Debt Crises . Emerging Markets Review , 6 : 376 – 395 .
   Google Scholar
• Chan , H. W. and Faff , R. W. 2003 . An Investigation into the Role of Liquidity in Asset Pricing: Australian Evidence . Pacific-Basin Finance Journal , 11 : 555 – 572 .
   Google Scholar
• da Silva Rosa , R. and Durand , R. B. 2008 . Role of Salience in Portfolio Formation . Pacific-Basin Finance Journal , 16 : 78 – 94 .
   Google Scholar
• De Bondt , W. F. M. 1998 . A Portrait of the Individual Investor . European Economic Review , 42 : 831 – 844 .
   Web of Science ®Google Scholar
• Demir , I. , Muthuswamy , J. and Walter , T. 2004 . Momentum Returns in Australian Equities: The Influences of Size, Risk, Liquidity and Return Computation . Pacific-Basin Finance Journal , 12 : 143 – 158 .
   Google Scholar
• Durack , N. , Durand , R. B. and Maller , R. A. 2004 . A Best Choice among Asset Pricing Models? The Conditional Capital Asset Pricing Model in Australia . Accounting & Finance , 44 : 139 – 162 .
   Google Scholar
• Durand , R. B. , Juricev , A. and Smith , G. 2007 . SMB - Arousal, Disproportionate Reactions and the Size-Premium . Pacific-Basin Finance Journal , 15 : 315 – 328 .
   Google Scholar
• Durand , R. B. , Koh , S. W. and Ng. , H. G. 2003 . “From Gold to Silicon . Journal of Multinational Financial Management , 13 : 273 – 286 .
   Google Scholar
• Durand , R. B. , Limkriangkrai , M. and Smith , G. 2006 . In America's Thrall: The Effects of the U.S. Market and U.S. Security Characteristics on Australian Stock Returns . Accounting and Finance , 46 : 577 – 604 .
   Web of Science ®Google Scholar
• Durand , R. B. , Limkriangkrai , M. and Smith , G. 2006 . Momentum in Australia—A Note . Australian Journal of Management , 41 : 355 – 364 .
   Google Scholar
• Durand , R. B. , Newby , R. and Sanghani , J. P. 2008 . An Intimate Portrait of the Individual Investor . Journal of Behavioral Finance , 9 : 193 – 208 .
   Web of Science ®Google Scholar
• Elton , E. J. , Gruber , M. J. and Spitzer , J. 2006 . Improved Estimates of Correlation Coefficients and the Impact on Optimum Portfolios . European Financial Management , 12 : 303 – 318 .
   Web of Science ®Google Scholar
• Faff , R. , Gallagher , D. R. and Wu , E. 2005 . “Tactical Asset Allocation: Australian Evidence . Australian Journal of Management , 30 : 261 – 282 .
   Google Scholar
• Faff , R. 2001 . An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors . Australian Journal of Management , 26 : 1 – 17 .
   Google Scholar
• Fama , E. F. 1970 . Efficient Capital Markets: A Review of Theory and Empirical Work . Journal of Finance , 25 : 383 – 417 .
   Web of Science ®Google Scholar
• Fama , E. F. 1991 . Efficient Capital Markets: II . Journal of Finance , 66 : 1575 – 1617 .
   Google Scholar
• Fama , E. F. and French , K. R. 2004 . The Capital Asset Pricing Model: Theory and Evidence . Journal of Economic Perspectives , 18 : 25 – 46 .
   Web of Science ®Google Scholar
• Froot , K. A. and Dabora , E. M. 1999 . How Are Stock Prices Affected by the Location of Trade . Journal of Financial Economics , 53 : 189 – 216 .
   Web of Science ®Google Scholar
• Gaunt , C. 2004 . Size and Book to Market Effects and the Fama French Three Factor Asset Pricing Model: Evidence from the Australian Stock Market . Accounting and Finance , 44 : 27 – 44 .
   Google Scholar
• Gaunt , C. , Gray , P. and McIvor , J. 2000 . The Impact of Share Price on Seasonality and Size Anomolies in Australian Equity Returns . Accounting and Finance , 40 : 33 – 50 .
   Google Scholar
• Goriaev , A. and Zabotkin , A. 2006 . Risks of Investing in the Russian Stock Market: Lessons of the First Decade . Emerging Markets Review , 7 : 380 – 397 .
   Google Scholar
• Grinblatt , M. and Keloharju , M. 2001 . What Makes Investors Trade? . Journal of Finance , 56 : 589 – 616 .
   Web of Science ®Google Scholar
• Halliwell , J. , Heaney , J. and Sawicki , J. 1999 . Size and Book to Market Effects in Australian Share Markets: A Time Series Analysis . Accounting Research Journal , 12 : 122 – 137 .
   Google Scholar
• Haugen , R. A. 2001 . Modern Investment Theory, , 5th ed. , Upper Saddle River , NJ : Pearson/Prentice Hall .
   Google Scholar
• Hirshleifer , D. and Shumway , T. 2003 . Good Day Sunshine: Stock Returns and the Weather . Journal of Finance , 58 : 1009 – 1032 .
   Web of Science ®Google Scholar
• Huberman , G. and Regev , T. 2001 . Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar . Journal of Finance , 56 : 387 – 396 .
   Web of Science ®Google Scholar
• Ibbotson , R. G. and Kaplan , P. D. 2000 . Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance? . Financial Analysts Journal , 56 : 26 – 33 .
   Google Scholar
• Jun , S. , Marathe , A. and Shawky , H. A. 2003 . Liquidity and Stock Returns in Emerging Equity Markets . Emerging Markets Review , 4 : 1 – 24 .
   Google Scholar
• Kassimatis , K. 2008 . Size, Book-to-Market, and Momentum Effects in the Australian Stock Market . Australian Journal of Management , 33 : 145 – 168 .
   Web of Science ®Google Scholar
• Kaustia , M. 2010 . “ Disposition Effect ” . In Behavioral Finance: Investors, Corporations, and Markets , Edited by: Baker , H. K. and Nofsinger , J. R. Hoboken , NJ : John Wiley and Sons .
   Google Scholar
• Lee , D. D. , Chan , H. , Faff , R. and Kalev , P. S. 2003 . Short-term Contrarian Investing – Is It Profitable?…Yes and No . Journal of Multinational Financial Management , 13 : 385 – 404 .
   Google Scholar
• Limkriangkrai , M. An Empirical Investigation of Asset-Pricing Models in Australia . PhD dissertation, University of Western Australia
   Google Scholar
• Limkriangkrai , M. , Durand , R. B. and Watson , I. 2008 . Is Liquidity the Missing Link? . Accounting and Finance , 48 : 829 – 845 .
   Web of Science ®Google Scholar
• Markowitz , H. 1952 . Portfolio Selection . Journal of Finance , 7 : 77 – 91 .
   Web of Science ®Google Scholar
• Nofsinger , J. 2008 . The Psychology of Investing, , 3rd ed. , Upper Saddle River , NJ : Pearson/Prentice Hall .
   Google Scholar
• Odean , T. 1998 . Are Investors Reluctant to Realize Their Losses? . Journal of Finance , 53 : 1775 – 1798 .
   Web of Science ®Google Scholar
• Popper , K. 1959 . The Logic of Scientific Discovery , London , England : Hutchinson .
   Google Scholar
• Seyhun , H. N. 1986 . Insiders’ Profits, Costs of Trading, and Market Efficiency . Journal of Financial Economics , 16 : 189 – 212 .
   Web of Science ®Google Scholar
• Shefrin , H. 2007 . How the Disposition Effect and Momentum Impact Investment Professionals . The Journal of Investment Consulting , 8 : 68 – 79 .
   Google Scholar
• Shefrin , H. and Statman , M. 1985 . The Disposition to Sell Winners Too Early and Ride Losers Too Long . Journal of Finance , 40 : 777 – 790 .
   Web of Science ®Google Scholar
• Solnik , B and McLeavey , D. 2004 . International Investments, , 5th ed. , Upper Saddle River , NJ : Pearson/Prentice Hall .
   Google Scholar
• Zaretzky , K. and Zumwalt , J. K. 2007 . Relation between Distress Risk, Book-to-Market Ratio and Return Premium . Managerial Finance , 33 : 788 – 797 .
   Google Scholar