The impact of elasticity on disposition effect driven momentum, substitutability, size, and January seasonality

Jared Egginton (), Jungshik Hur () and Vivek Singh ()
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Jared Egginton: Boise State University
Jungshik Hur: Louisiana Tech University
Vivek Singh: University of Michigan, Dearborn

Review of Quantitative Finance and Accounting, 2019, vol. 52, issue 3, No 4, 759-780

Abstract: Abstract We find that momentum caused by disposition effect is mainly driven by stocks with unrealized capital gains and it is greater when price elasticity of demand is low. We further find that the size effect on momentum and January seasonality in momentum disappear when price elasticity of demand is low. In addition, the price elasticity of demand for stocks is related to the phase of business cycle and degree of product substitutability. Our findings are robust to other factors and the effect of market states on momentum profits.

Keywords: Momentum; Disposition effect; Elasticity; Substitutability; January seasonality (search for similar items in EconPapers)
JEL-codes: G12 G14 G20 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11156-018-0725-6

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