Confusion of Confusions: A Test of the Disposition Effect and Momentum

• 成果类型: Article
• 署名作者: Birru, Justin
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv007
• 发表日期: 2015
• 页码: 1849
• 关键词: PROSPECT-THEORY; STOCK SPLITS; MARKET; attention; investors; earnings; underreaction; performance; reluctant; BEHAVIOR

摘要

Using investor-level data, I document that the disposition effect is absent following a stock split; inattentive investors may fail to split-adjust their reference point, confusing the winner versus loser status of their holdings. Consistent with the disposition effect impeding the incorporation of news, ex-date returns are significantly higher for split stocks with higher gains. However, the magnitude is small relative to momentum, and momentum remains robustly present among this sample of stocks void of the disposition effect. The results suggest that the disposition effect may slow the incorporation of news, but not to the extent that it alone explains momentum.