Momentum and the Disposition Effect: The Role of Individual Investors
Abstract"We hypothesize that disposition effect-induced momentum documented in Grinblatt and Han (2005) should be stronger in stocks with greater individual investors' presence since individual investors are more prone to the disposition effect. We find strong evidence for our hypothesis for a large sample of NYSE/AMEX/NASDAQ stocks from the end of 1980 to 2005. Our results hold across different momentum strategies using alternative ways of defining individual investors' presence in a stock and maintain even after controlling for variables known to drive momentum. Furthermore, we find that our results are stronger for hard-to-value stocks consistent with the findings of Kumar (2009)." Copyright (c) 2010 Financial Management Association International.
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Bibliographic InfoArticle provided by Financial Management Association International in its journal Financial Management.
Volume (Year): 39 (2010)
Issue (Month): 3 (09)
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- Brounen, Dirk & Kok, Nils & Ling, David C., 2012. "Shareholder composition, share turnover, and returns in volatile markets: The case of international REITs," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1867-1889.
- Bhootra, Ajay & Hur, Jungshik, 2012. "On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1266-1275.
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