The momentum ambiguity and investor trading behavior

Lunyi Wang, Shiqi Yang and Sibo Zhao

Economics Letters, 2024, vol. 235, issue C

Abstract: This paper investigates the impact of momentum ambiguity on investor trading behavior. Specifically, our findings suggest that in the presence of momentum (reversal) effects in asset returns, investors’ demand for the risky asset comprises myopic, hedging, and speculative components. Due to the opposite signs of hedging and speculative demands, the relationship between total demand and momentum effects may display a non-monotonic trend. The introduction of momentum uncertainty leads investors to adopt a more conservative approach, and in some cases, abstain from trading the risky asset altogether. Additionally, we observe heterogeneity in the impact of momentum and reversal uncertainty levels on investor demand.

Keywords: Ambiguity; Hedging demand; Speculative demand; Non-participation (search for similar items in EconPapers)
JEL-codes: D81 D84 G11 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016517652400017X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:235:y:2024:i:c:s016517652400017x

DOI: 10.1016/j.econlet.2024.111533

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().