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The Disposition Effect and Momentum

Citations

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Cited by:

  1. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
  2. Brad M. Barber & Yi‐Tsung Lee & Yu‐Jane Liu & Terrance Odean, 2007. "Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan," European Financial Management, European Financial Management Association, vol. 13(3), pages 423-447, June.
  3. Desai, Mihir A. & Hines, James R. Jr., 2002. "Expectations and Expatriations: Tracing the Causes and Consequences of Corporate Inversions," National Tax Journal, National Tax Association;National Tax Journal, vol. 55(3), pages 409-440, September.
  4. Hou, Yang & Meng, Jiayin, 2018. "The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment," MPRA Paper 94838, University Library of Munich, Germany.
  5. Mirjam Lehenkari & Jukka Perttunen, 2010. "Holding on to the Losers: Finnish Evidence," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 17, Edward Elgar Publishing.
  6. Markus Glaser & Martin Weber, 2003. "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 55(2), pages 108-135, April.
  7. repec:dau:papers:123456789/11681 is not listed on IDEAS
  8. Yang, Yunlin & Gebka, Bartosz & Hudson, Robert, 2019. "Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies," Research in International Business and Finance, Elsevier, vol. 47(C), pages 78-101.
  9. Ashiq Ali & Mark A. Trombley, 2006. "Short Sales Constraints and Momentum in Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3-4), pages 587-615.
  10. Luis Muga & Rafael Santamaría, 2009. "Momentum, market states and investor behavior," Empirical Economics, Springer, vol. 37(1), pages 105-130, September.
  11. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
  12. Ranjeeta Sadhwani & Mujeeb U Rehman Bhayo, 2019. "Momentum and Disposition Effect in the stock market of USA," Proceedings of Economics and Finance Conferences 8911340, International Institute of Social and Economic Sciences.
  13. Stefano DellaVigna & Joshua Pollet, 2005. "Investor Inattention, Firm Reaction, and Friday Earnings Announcements," NBER Working Papers 11683, National Bureau of Economic Research, Inc.
  14. Sarmiento, Julio & Rendón, Jairo & Sandoval, Juan S. & Cayon, Edgardo, 2019. "The disposition effect and the relevance of the reference period: Evidence among sophisticated investors," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
  15. Massimo Massa & William Goetzmann, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers ysm333, Yale School of Management, revised 01 Apr 2005.
  16. Newton Da Costa & Carlos Mineto & Sergio Da Silva, 2008. "Disposition effect and gender," Applied Economics Letters, Taylor & Francis Journals, vol. 15(6), pages 411-416.
  17. Kaustia, Markku, 2004. "Market-wide impact of the disposition effect: evidence from IPO trading volume," Journal of Financial Markets, Elsevier, vol. 7(2), pages 207-235, February.
  18. Bruce J. Vanstone & Tom Smith & Tobias Hahn, 2017. "Australian momentum: performance, capacity and the GFC effect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(1), pages 261-287, March.
  19. Mao-Wei Hung & Hsiao-Yuan Yu, 2006. "A heterogeneous model of disposition effect," Applied Economics, Taylor & Francis Journals, vol. 38(18), pages 2147-2157.
  20. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
  21. Choi, Jaehyung, 2014. "Physical approach to price momentum and its application to momentum strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 61-72.
  22. Carsten Croonenbroeck & Roman Matkovskyy, 2014. "Demand for investment advice over time: the disposition effect revisited," Applied Financial Economics, Taylor & Francis Journals, vol. 24(4), pages 235-240, February.
  23. Du, Ding, 2008. "The 52-week high and momentum investing in international stock indexes," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 61-77, February.
  24. Hans-Peter Burghof & Felix Prothmann, 2011. "The 52-week high strategy and information uncertainty," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 345-378, December.
  25. Razvan Stefanescu & Ramona Dumitriu, 2016. "Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 378-384.
  26. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
  27. 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.
  28. William Goetzmann & Liang Peng, 2003. "Estimating Indices in the Presence of Seller Reservation Prices," Yale School of Management Working Papers ysm352, Yale School of Management, revised 01 May 2003.
  29. Croonenbroeck, Carsten & Matkovskyy, Roman, 2013. "Is the market held by institutional investors? The disposition effect revisited," Discussion Papers 338, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  30. Wang, Daxue, 2008. "Are anomalies still anomalous? An examination of momentum strategies in four financial markets," IESE Research Papers D/775, IESE Business School.
  31. Oehler, Andreas & Heilmann, Klaus & Lager, Volker & Oberlander, Michael, 2003. "Coexistence of disposition investors and momentum traders in stock markets: experimental evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 503-524, December.
  32. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  33. Jenni L. Bettman & Stephen J. Sault & Anna H. von Reibnitz, 2010. "The impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia," Australian Journal of Management, Australian School of Business, vol. 35(3), pages 227-244, December.
  34. HyeonJun Kim, 2023. "Information Content of Financial Youtube Channel: Case Study of 3PROTV and Korean Stock Market," Papers 2311.15247, arXiv.org.
  35. Locke, Peter R. & Mann, Steven C., 2005. "Professional trader discipline and trade disposition," Journal of Financial Economics, Elsevier, vol. 76(2), pages 401-444, May.
  36. Ellouz SIWAR, 2011. "The Impact Of Overconfidence Bias And Disposition Effect On The Volume Of Transaction And The Volatility Of The French Stock Market," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 6(1(15)/ Sp), pages 61-83.
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