This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
The Disposition Effect and Momentum Author info | Abstract | Publisher info | Download info | Related research | Statistics Bing NMI1 Han () (Department of Finance)
Mark Grinblatt () (Finance Area)
Additional information is available for the following
registered author(s):
The tendency of some investors to hold on to their losing stocks creates a spread between a stock's fundamental value and its equilibrium price, as well as price underreaction to information. Spread convergence, arising from the random evolution of fundamental values and updating of reference prices, generates predictable equilibrium prices that will be interpreted as possessing momentum. Cross-sectional empirical tests are consistent with the model. A variable proxying for aggregate unrealized capital gains appears to be the key variable that generates the profitability of a momentum strategy. Past one-year returns have no predictability for the cross-section of returns once this variable is controlled for.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number
ysm239.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 09 Nov 2001Date of revision:
Handle: RePEc:ysm:somwrk:ysm239Contact details of provider: Web page: http://mba.yale.edu/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: Other versions of this item:
Paper Mark Grinblatt & Bing Han, 2002.
"The Disposition Effect and Momentum ,"
NBER Working Papers
8734, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Mark Grinblatt & Bing Han, 2001.
"The Disposition Effect and Momentum ,"
University of California at Los Angeles, Anderson Graduate School of Management
1019, Anderson Graduate School of Management, UCLA.
[Downloadable!] Grinblatt, Mark & Han, Bing, 2003.
"The Disposition Effect and Momentum ,"
Working Paper Series
2004-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!] Find related papers by JEL classification: G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
William N. Goetzmann & Massimo Massa, 2003.
"Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias ,"
NBER Working Papers
9499, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
William N. Goetzmann & Massimo Massa, 2004.
"Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias ,"
Yale School of Management Working Papers
ysm331, Yale School of Management.
[Downloadable!] William N. Goetzmann & Massimo Massa, 2003.
"Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias ,"
Yale School of Management Working Papers
ysm333, Yale School of Management.
[Downloadable!] William N. Goetzmann & Massimo Massa, 2003.
"Disposition Matters: Volume, Volatility and PriceImpact of a Behavioral Bias ,"
Yale School of Management Working Papers
ysm14, Yale School of Management.
[Downloadable!] William N. Goetzmann & Massimo Massa, 2005.
"Disposition Matters: Volume, Volatility and Price Impact of Behavioral Bias ,"
Yale School of Management Working Papers
ysm447, Yale School of Management.
[Downloadable!] Nicholas Barberis, 2001.
"Mental Accounting, Loss Aversion, and Individual Stock Returns ,"
Journal of Finance ,
American Finance Association, vol. 56(4), pages 1247-1292, 08.
[Downloadable!] (restricted)
Mark Grinblatt, 2001.
"What Makes Investors Trade? ,"
Journal of Finance ,
American Finance Association, vol. 56(2), pages 589-616, 04.
[Downloadable!] (restricted)
Other versions: K. Geert Rouwenhorst, 1998.
"International Momentum Strategies ,"
Journal of Finance ,
American Finance Association, vol. 53(1), pages 267-284, 02.
[Downloadable!] (restricted)
Other versions: Ferris, Stephen P & Haugen, Robert A & Makhija, Anil K, 1988.
" Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect ,"
Journal of Finance ,
American Finance Association, vol. 43(3), pages 677-97, July.
[Downloadable!] (restricted)
Conrad, Jennifer & Kaul, Gautam, 1998.
"An Anatomy of Trading Strategies ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 11(3), pages 489-519.
Terrance Odean, 1998.
"Are Investors Reluctant to Realize Their Losses? ,"
Journal of Finance ,
American Finance Association, vol. 53(5), pages 1775-1798, October.
[Downloadable!] (restricted)
De Long, J Bradford, et al, 1990.
" Positive Feedback Investment Strategies and Destabilizing Rational Speculation ,"
Journal of Finance ,
American Finance Association, vol. 45(2), pages 379-95, June.
[Downloadable!] (restricted)
Other versions: De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990.
"Noise Trader Risk in Financial Markets ,"
Journal of Political Economy ,
University of Chicago Press, vol. 98(4), pages 703-38, August.
[Downloadable!] (restricted)
Other versions: Shapira, Zur & Venezia, Itzhak, 2001.
"Patterns of behavior of professionally managed and independent investors ,"
Journal of Banking & Finance ,
Elsevier, vol. 25(8), pages 1573-1587, August.
[Downloadable!] (restricted)
Jegadeesh, Narasimhan, 1990.
" Evidence of Predictable Behavior of Security Returns ,"
Journal of Finance ,
American Finance Association, vol. 45(3), pages 881-98, July.
[Downloadable!] (restricted)
David Hirshleifer, 2001.
"Investor Psychology and Asset Pricing ,"
Journal of Finance ,
American Finance Association, vol. 56(4), pages 1533-1597, 08.
[Downloadable!] (restricted)
Other versions: Robert J. Shiller & Karl E. Case, 1988.
"The Behavior of Home Buyers in Boom and Post-Boom Markets ,"
Cowles Foundation Discussion Papers
890, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996.
" Momentum Strategies ,"
Journal of Finance ,
American Finance Association, vol. 51(5), pages 1681-1713, December.
[Downloadable!] (restricted)
Shefrin, Hersh & Statman, Meir, 1985.
" The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence ,"
Journal of Finance ,
American Finance Association, vol. 40(3), pages 777-90, July.
[Downloadable!] (restricted)
David Genesove & Christopher Mayer, 2001.
"Loss Aversion and Seller Behavior: Evidence from the Housing Market ,"
NBER Working Papers
8143, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Genesove, David & Mayer, Christopher, 2001.
"Loss Aversion and Seller Behaviour: Evidence from the Housing Market ,"
CEPR Discussion Papers
2813, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) David Genesove & Christopher Mayer, .
"Loss Aversion and Seller Behavior: Evidence from the Housing Market ,"
Zell/Lurie Center Working Papers
323, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
[Downloadable!] (restricted) David Genesove & Christopher Mayer, 2001.
"Loss Aversion And Seller Behavior: Evidence From The Housing Market ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 116(4), pages 1233-1260, November.
[Downloadable!] (restricted) Arjan B. Berkelaar & Roy Kouwenberg & Thierry Post, 2004.
"Optimal Portfolio Choice under Loss Aversion ,"
The Review of Economics and Statistics ,
MIT Press, vol. 86(4), pages 973-987, 02.
[Downloadable!] (restricted)
Other versions: Fama, Eugene F & MacBeth, James D, 1973.
"Risk, Return, and Equilibrium: Empirical Tests ,"
Journal of Political Economy ,
University of Chicago Press, vol. 81(3), pages 607-36, May-June.
[Downloadable!] (restricted)
Kahneman, Daniel & Tversky, Amos, 1979.
"Prospect Theory: An Analysis of Decision under Risk ,"
Econometrica ,
Econometric Society, vol. 47(2), pages 263-91, March.
[Downloadable!] (restricted)
Weber, Martin & Camerer, Colin F., 1998.
"The disposition effect in securities trading: an experimental analysis ,"
Journal of Economic Behavior & Organization ,
Elsevier, vol. 33(2), pages 167-184, January.
[Downloadable!] (restricted)
Andrew W. Lo & Jiang W. Wang, 2000.
"Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory ,"
NBER Working Papers
7625, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998.
"Investor Psychology and Security Market Under- and Overreactions ,"
Journal of Finance ,
American Finance Association, vol. 53(6), pages 1839-1885, December.
[Downloadable!] (restricted)
Berkelaar, A.B. & Kouwenberg, R.R.P., 2000.
"Optimal portfolio choice under loss aversion ,"
Econometric Institute Report
EI 2000-08/A Revision_Dat, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Mark Grinblatt & Tobias J. Moskowitz, 2002.
"What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns? ,"
NBER Working Papers
8744, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Charles M.C. Lee & Bhaskaran Swaminathan, 2000.
"Price Momentum and Trading Volume ,"
Journal of Finance ,
American Finance Association, vol. 55(5), pages 2017-2069, October.
[Downloadable!] (restricted)
Nicholas Barberis & Ming Huang, 2001.
"Mental Accounting, Loss Aversion, and Individual Stock Returns ,"
NBER Working Papers
8190, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Simon Gervais, 2001.
"The High-Volume Return Premium ,"
Journal of Finance ,
American Finance Association, vol. 56(3), pages 877-919, 06.
[Downloadable!] (restricted)
Other versions: Andrew Ang & Geert Bekaert & Jun Liu, 2000.
"Why Stocks May Disappoint ,"
NBER Working Papers
7783, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? ,"
American Economic Review ,
American Economic Association, vol. 71(3), pages 421-36, June.
[Downloadable!] (restricted)
Other versions: Massimo Massa, 2003.
"Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias ,"
Yale School of Management Working Papers
ysm31, Yale School of Management.
[Downloadable!]
Jegadeesh, Narasimhan & Titman, Sheridan, 1993.
" Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency ,"
Journal of Finance ,
American Finance Association, vol. 48(1), pages 65-91, March.
[Downloadable!] (restricted)
Tobias J. Moskowitz & Mark Grinblatt, 1999.
"Do Industries Explain Momentum? ,"
Journal of Finance ,
American Finance Association, vol. 54(4), pages 1249-1290, 08.
[Downloadable!] (restricted)
Other versions:
Tobias J. Moskowitz & Mark Grinblatt, .
"Do Industries Explain Momentum? ,"
CRSP working papers
480, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Tobias J. Moskowitz & Mark Grinblatt, .
"Do Industries Explain Momentum? ,"
CRSP working papers
352, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Jonathan B. Berk & Richard C. Green & Vasant Naik, 1999.
"Optimal Investment, Growth Options, and Security Returns ,"
Journal of Finance ,
American Finance Association, vol. 54(5), pages 1553-1607, October.
[Downloadable!] (restricted)
Timothy C. Johnson, 2002.
"Rational Momentum Effects ,"
Journal of Finance ,
American Finance Association, vol. 57(2), pages 585-608, 04.
[Downloadable!] (restricted)
Chip Heath & Steven Huddart & Mark Lang, 1999.
"Psychological Factors And Stock Option Exercise ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 114(2), pages 601-627, May.
[Downloadable!] (restricted)
Nicholas Barberis & Ming Huang & Tano Santos, 2001.
"Prospect Theory And Asset Prices ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 116(1), pages 1-53, February.
[Downloadable!] (restricted)
Fama, Eugene F & French, Kenneth R, 1996.
" Multifactor Explanations of Asset Pricing Anomalies ,"
Journal of Finance ,
American Finance Association, vol. 51(1), pages 55-84, March.
[Downloadable!] (restricted)
Narasimhan Jegadeesh, 2001.
"Profitability of Momentum Strategies: An Evaluation of Alternative Explanations ,"
Journal of Finance ,
American Finance Association, vol. 56(2), pages 699-720, 04.
[Downloadable!] (restricted)
Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998.
"A model of investor sentiment1 ,"
Journal of Financial Economics ,
Elsevier, vol. 49(3), pages 307-343, September.
[Downloadable!] (restricted)
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Glaser, Markus & Weber, Martin, 2002.
"Momentum and Turnover: Evidence from the German Stock Market ,"
Sonderforschungsbereich 504 Publications
02-43, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
Mao-Wei Hung & Hsiao-Yuan Yu, 2006.
"A heterogeneous model of disposition effect ,"
Applied Economics ,
Taylor and Francis Journals, vol. 38(18), pages 2147-2157, October.
[Downloadable!] (restricted)
Robert J. Shiller, 2002.
"From Efficient Market Theory to Behavioral Finance ,"
Cowles Foundation Discussion Papers
1385, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Luis Muga & Rafael SantamarÃa, 2009.
"Momentum, market states and investor behavior ,"
Empirical Economics ,
Springer, vol. 37(1), pages 105-130, September.
[Downloadable!] (restricted)
Wang, Daxue, 2008.
"Are anomalies still anomalous? An examination of momentum strategies in four financial markets ,"
IESE Research Papers
D/775, IESE Business School.
[Downloadable!]
Mihir A. Desai & James R. Hines Jr., 2002.
"Expectations and Expatriations: Tracing the Causes and Consequences of Corporate Inversions ,"
NBER Working Papers
9057, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Glaser, Markus & Weber, Martin, 2002.
"Momentum and Turnover: Evidence from the German Stock Market ,"
CEPR Discussion Papers
3353, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Stefano DellaVigna & Joshua Pollet, 2005.
"Investor Inattention, Firm Reaction, and Friday Earnings Announcements ,"
NBER Working Papers
11683, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Seow Ong & Poh Neo & Yong Tu, 2008.
"Foreclosure Sales: The Effects of Price Expectations, Volatility and Equity Losses ,"
The Journal of Real Estate Finance and Economics ,
Springer, vol. 36(3), pages 265-287, April.
[Downloadable!] (restricted)
Newton, Da Costa Jr & Carlos, Mineto & Sergio, Da Silva, 2006.
"Disposition effect and gender ,"
MPRA Paper
1848, University Library of Munich, Germany.
[Downloadable!]
Other versions:
Access and
download statistics Did you know? You too can volunteer for RePEc, for example by providing information about publications in your institution.
This page was last updated on 2009-11-6.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .