Momentum and disposition effect in the US stock market

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 around. Furthermore, we find that this relationship varies ove...

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Autores principales:	Ranjeeta Sadhwani, M. U. R. Bhayo
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	behavioral finance disposition effect fama-macbeth regression momentum Finance HG1-9999 Economic theory. Demography HB1-3840
Acceso en línea:	https://doaj.org/article/eec6a3b1f9384315bc9f743a39d990d6
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spelling	oai:doaj.org-article:eec6a3b1f9384315bc9f743a39d990d62021-11-17T14:22:00ZMomentum and disposition effect in the US stock market2332-203910.1080/23322039.2021.1999004https://doaj.org/article/eec6a3b1f9384315bc9f743a39d990d62021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23322039.2021.1999004https://doaj.org/toc/2332-2039This 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 around. Furthermore, we find that this relationship varies over time. Along with the disposition effect, size also has an impact on the momentum. Therefore, the relationship between momentum and disposition effect is examined based on size deciles, and results demonstrate that the relationship does not vary significantly with the size of stocks. However, both the cumulative returns and capital gain varies monotonically with the size of stocks.Ranjeeta SadhwaniM. U. R. BhayoTaylor & Francis Grouparticlebehavioral financedisposition effectfama-macbeth regressionmomentumFinanceHG1-9999Economic theory. DemographyHB1-3840ENCogent Economics & Finance, Vol 9, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	behavioral finance disposition effect fama-macbeth regression momentum Finance HG1-9999 Economic theory. Demography HB1-3840
spellingShingle	behavioral finance disposition effect fama-macbeth regression momentum Finance HG1-9999 Economic theory. Demography HB1-3840 Ranjeeta Sadhwani M. U. R. Bhayo Momentum and disposition effect in the US stock market
description	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 around. Furthermore, we find that this relationship varies over time. Along with the disposition effect, size also has an impact on the momentum. Therefore, the relationship between momentum and disposition effect is examined based on size deciles, and results demonstrate that the relationship does not vary significantly with the size of stocks. However, both the cumulative returns and capital gain varies monotonically with the size of stocks.
format	article
author	Ranjeeta Sadhwani M. U. R. Bhayo
author_facet	Ranjeeta Sadhwani M. U. R. Bhayo
author_sort	Ranjeeta Sadhwani
title	Momentum and disposition effect in the US stock market
title_short	Momentum and disposition effect in the US stock market
title_full	Momentum and disposition effect in the US stock market
title_fullStr	Momentum and disposition effect in the US stock market
title_full_unstemmed	Momentum and disposition effect in the US stock market
title_sort	momentum and disposition effect in the us stock market
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/eec6a3b1f9384315bc9f743a39d990d6
work_keys_str_mv	AT ranjeetasadhwani momentumanddispositioneffectintheusstockmarket AT murbhayo momentumanddispositioneffectintheusstockmarket
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Momentum and disposition effect in the US stock market

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