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The Disposition effect and underreaction to news
This paper tests whether the "disposition effect," this is the tendency of investors to ride losses and realize gains, induces "underreaction" to news, leading to return predictability. I use data on mutual fund holdings to construct a new measure of reference purchasing prices for individual stocks, and I show that post-announcement price drift is most severe whenever capital gains and the news event have the same sign, The magnitude of the drift depends on the capital gains (losses) experience by the stockholders on the event data. An event-driven strategy based on this effect yields monthly alphas of over 200 basis points..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | Statistical analysis Investment policy Securities Markets Losses Hypotheses studies Gains |
| ISBN/ISSN | 221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |