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Momentum and disposition effect in the US stock market
- Source :
- Cogent Economics & Finance, Vol 9, Iss 1 (2021)
- Publication Year :
- 2021
- Publisher :
- Taylor & Francis Group, 2021.
-
Abstract
- This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies over time. Along with the disposition effect, size also has an impact on the momentum. Therefore, the relationship between momentum and disposition effect is examined based on size deciles, and results demonstrate that the relationship does not vary significantly with the size of stocks. However, both the cumulative returns and capital gain varies monotonically with the size of stocks.
- Subjects :
- Economics and Econometrics
C120
disposition effect
fama-macbeth regression
G14
Disposition effect
momentum
Monetary economics
Disposition
Behavioral economics
behavioral finance
HB1-3840
C50
Momentum (finance)
G4
Fama-Macbeth regression
G1
HG1-9999
ddc:330
Economics
Economic theory. Demography
Stock market
Finance
Subjects
Details
- Language :
- English
- ISSN :
- 23322039
- Volume :
- 9
- Issue :
- 1
- Database :
- OpenAIRE
- Journal :
- Cogent Economics & Finance
- Accession number :
- edsair.doi.dedup.....04ba0cc7d142c07663e998eadec2ea31