How do disposition effect and anchoring bias interact to impact momentum in stock returns?
Jungshik Hur and
Journal of Empirical Finance, 2019, vol. 53, issue C, 238-256
We show that when the disposition effect and anchoring bias of investors reinforce each other, the momentum profit is strengthened. When the two effects offset each other, the momentum profit decreases or disappears. Second, stocks dominated by small investors, with low analyst coverage, and illiquidity issues show greater momentum profits in presence of these mutually reinforcing biases. Third, stock return in momentum strategy show reversal in the long run when they are affected by both anchoring bias and disposition effect consistent with prior literature.
Keywords: Momentum; Disposition Effect; 52-Week High Anchoring Bias (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:53:y:2019:i:c:p:238-256
Access Statistics for this article
Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff
More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().