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Momentum and disposition effect in the US stock market

Sadhwani, Ranjeeta; Bhayo, M. U. R. - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-18

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 … impact on the momentum. Therefore, the relationship between momentum and disposition effect is examined based on size deciles …

Persistent link: https://www.econbiz.de/10014001449

Comparison of multifactor asset pricing models in the South African stock market [2000-2016]

Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-22

The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...

Persistent link: https://www.econbiz.de/10014332779

Retail investors' contrarian behavior around news, attention, and the momentum effect

Luo, Cheng; Ravina, Enrichetta; Sammon, Marco; Viceira, … - 2023

contributes to post earnings announcement drift (PEAD) and price momentum. Indeed, when we double-sort by momentum portfolios and … retail trading flows, PEAD and momentum are only present in the top two quintiles of retail trading intensity. Finer sorts … substantial role of retail investors in generating momentum. Alternative hypotheses, such as the disposition effect and stale …

Persistent link: https://www.econbiz.de/10014480632

The Volatility Effect in China

Blitz, David; Hanauer, Matthias X.; van Vliet, Pim - In: Journal of Asset Management 22 (2021) 5, pp. 338-349

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL factor is not explained by the Fama–French–Carhart factors, and has the strongest...

Persistent link: https://www.econbiz.de/10014501953

Momentum strategies and market state in Moroccan industries

Gharaibeh, Omar K.; Kharabsheh, Buthiena; Al-Quran, Ali Z. - In: Cogent Business & Management 9 (2022) 1, pp. 1-15

This study aims to examine whether there is any evidence of momentum in Moroccan industries and whether these momentum … showed that there is ample evidence and statistically significant momentum returns in Moroccan industries. The sub …-sample findings support the evidence of momentum. This study also shows that momentum returns in the Moroccan industry are not …

Persistent link: https://www.econbiz.de/10014505447

Flipping the Switch – The Role of Activity Load in Temporal Acquisition Patterns of Acquiring Firms

Herold, Frédéric - In: Junior Management Science (JUMS) 9 (2024) 1, pp. 1140-1177

in which I regress momentum on activity load. I find that increases in the activity load from acquisitions, on average …, reduce a firm's likelihood to maintain acquisition momentum. That is, the increase in acquisition activity created by … overall momentum. Yet, I obtain ambiguous results when examining heterogeneity in acquirer responses arising from differences …

Persistent link: https://www.econbiz.de/10014521208

GDP mimicking portfolios and the cross-section of stock returns

Kroencke, Tim A.; Schindler, Felix; Sebastian, Steffen; … - 2013

-to-market portfolios and do reasonably well in explaining the returns of 10 momentum portfolios. The lagging components do a poor job at … explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry …

Persistent link: https://www.econbiz.de/10010312876

How success breeds success

Descamps, Ambroise; Ke, Changxia; Page, Lionel - In: Quantitative Economics 13 (2022) 1, pp. 355-385

We investigate if, and why, an initial success can trigger a string of successes. Using random variations in success in a real-effort laboratory experiment, we cleanly identify the causal effect of an early success in a competition. We confirm that an early success indeed leads to increased...

Persistent link: https://www.econbiz.de/10014536928

Pricing anomalies in a general equilibrium model with biased learning

Antico, Andrea; Bottazzi, Giulio; Giachini, Daniele - 2024

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …

Persistent link: https://www.econbiz.de/10014577247

Active currency investing and performance benchmarks

Melvin, Michael; Shand, Duncan - 2010

suggested that known investing styles like momentum, purchasing power parity, and carry serve as benchmarks. Challenges for this …

Persistent link: https://www.econbiz.de/10010270471