Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Disposition Effect and Momentum

Contents:

Author Info

  • Zuchel, Heiko

    ()
    (Universität Mannheim, Graduiertenkolleg Allokation auf Finanz- und Gütermärkten)

  • Weber, Martin

    ()
    (Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre)

Registered author(s):

    Abstract

    We examine how the disposition effect, an empirically documented bias in investor behavior, affects market prices. We show that the disposition effect can help explain positive autocorrelation of returns, i.e. the momentum effect. Our model explains the strong seasonality in momentum profits and is consistent with other empirical regularities of momentum profits. In contrast to other recent work, our momentum result does not rely on biases in the expectation of fundamentals. It is consequently independent of whether price changes are driven by news about fundamentals or something else (price bubbles, noise) and it is consistent with prices over- or underreacting to news about fundamentals.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number 01-26.

    as in new window
    Length: 35 pages
    Date of creation: 09 May 2001
    Date of revision:
    Handle: RePEc:xrs:sfbmaa:01-26

    Note: We are grateful for research support from the Deutsche Forschungsgemeinschaft through Sonderforschungsbereich 504 and the Graduiertenkolleg ''Allocation on Financial Markets'' at the University of Mannheim, and by the European Commission through the Research Training Network ''Understanding Financial Architecture'' at the University of Toulouse. We would like to thank Ulrich Hege and Frederic Palomino who discussed this paper at conferences.
    Contact details of provider:
    Postal: D-68131 Mannheim
    Phone: (49) (0) 621-292-2547
    Fax: (49) (0) 621-292-5594
    Email:
    Web page: http://www.sfb504.uni-mannheim.de/
    More information through EDIRC

    Web page: http://www.sfb504.uni-mannheim.de

    Order Information:
    Email:

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:xrs:sfbmaa:01-26. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carsten Schmidt).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.