期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 78, 期 2, 页码 311-339出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2004.10.006
关键词
prospect theory; mental accounting; disposition effect; profitability of momentum strategies
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.
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