Prospect theory, mental accounting, and momentum

• 成果类型: Article
• 署名作者: Grinblatt, M; Han, B
• 署名单位: University of California System; University of California Los Angeles; University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.10.006
• 发表日期: 2005
• 页码: 311-339
• 关键词: Prospect theory; Mental accounting; Disposition effect; profitability of momentum strategies

摘要

The tendency of some investors to hold on to their losing stocks, driven by prospect theory and mental accounting, creates a spread between a stock's fundamental value and its equilibrium price, as well as price underreaction to information. Spread convergence, arising from the random evolution of fundamental Values and the updating of reference prices, generates predictable equilibrium prices interpretable as possessing momentum. Empirically, a variable proxying for aggregate unrealized capital gains appears to be the key variable that generates the profitability of a momentum strategy. Controlling for this variable, past returns have no predictability for the cross-section of returns. (c) 2005 Elsevier B.V. All rights reserved.