This study empirically examines the applicability of the Grinblatt and Han (2005) model for analyzing the relationship between the disposition effect and momentum in the Chinese stock market by testing the three hypotheses implied by their model. Our results show that unrealized capital gains...

This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this model to examine the explanatory...