### Table 3 Momentum Trading Results by Crisis

"... In PAGE 19: ... The only notable change in the pattern is the significance of L1M at the investor leve: it is now significant at the 1 percent level, whereas it was insignificant in Table 1. Table3 presents momentum trading measures for three crisis - period sub - samples: 14 In our estimation, L1M always relates the transacted quantities between t - 1 and t with the return over the month preceding t - 1. Increasing the length of the period over which lagged returns are measured diminishes explanatory power, in general.... ..."

### Table 3 Momentum Trading Results by Crisis

2000

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### Table 1 Lag - 0 and Lag - 1 Momentum Trading

2000

"... In PAGE 18: ...2. Momentum Trading Results In our full sample, we find strong evidence of lag - zero momentum trading at all three levels: whole - fund, manager - only, and investor - only ( Table1 , column 1). Interestingly, contemporaneous mome ntum trading is especially strong during crises.... In PAGE 18: ... 14 For robustness, we estimate each cell based only on observations of M i,j,t within three standard deviations of its mean. This is the reason why, within any column of Table1 , the mana ger - only and investor - only estimates do not sum to the whole - fund estimate exactly. 15 To interpret the size of the coefficients, consider the whole - fund L0M estimate of 2.... ..."

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### Table 1: Reconstructed event kinematics (see text). Energies, momenta and masses are given in GeV and angles in degrees. For the charge of the high-a1 a5 lepton the significance of the determination is given. In case of event MUON-5 a43a19a31 limits are quoted for the muon momentum and derived quantities.

1998

### Table 6 Monthly benchmark-adjusted returns for turnover portfolios within momentum and small-trade imbalance portfolios

2006

"... In PAGE 30: ...six-month turnover. The results in Table6 show that turnover has no significant effect on future returns among stocks with strong small-trade selling pressure (imbalance quartile 1). However, among stocks with strong small-trade buying pressures (imbalance quartile 4), low-turnover stocks significantly outperform high-turnover stocks, both among win- ners and losers.... ..."

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### Table II Momentum (Continued)

### Table 11. GSCI Momentum Returns

2006

"... In PAGE 23: ... A momentum strategy may go long an asset after prior returns have been positive and go short an asset after prior returns have been negative. Table11 shows the payoffs to a strategy of going long the GSCI for one month if the previous one-year excess return was positive and going short the GSCI if the previous one-year excess return was negative. (The choice of a one-month investment period and a one-year look-back period is arbitrary.... ..."

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### Table 6 Regressions of abnormal returns on ranks of standardized unexpected earnings (SUE), market-to-book (MTB), size (MVE), NET PURCHASES, and momentum by affluence / trading-frequency investor classes

"... In PAGE 27: ...25 individuals are driving future returns, we run similar returns regressions for each of the investor classes. We report the results for affluence / trading-frequency classes in Table6 . Because using subclasses reduces our sample size, the statistical significance is generally weaker.... ..."