What question did this study set out to answer?

To determine whether stock price momentum driven by the disposition effect is stronger in equities that have greater individual investor participation.

September 1, 2010Financial ManagementOpen Access

Momentum and the Disposition Effect: The Role of Individual Investors

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Authors

JHJungshik HurLouisiana Tech University MPMahesh PritamaniInstituto Federal do Paraná VSVivek SharmaThe University of Melbourne

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Implication

Empirical analysis reveals stronger disposition effect-induced momentum in stocks with higher individual investor presence, suggesting retail behavioral biases drive price trends.

Key Points

To determine whether stock price momentum driven by the disposition effect is stronger in equities that have greater individual investor participation.
Analyzed historical trading data across a large sample of NYSE, AMEX, and NASDAQ stocks from 1980 through 2005.
Evaluated diverse momentum strategies using alternative definitions of individual investor presence while controlling for known drivers of price momentum.
Stocks characterized by higher individual investor presence exhibited significantly stronger disposition effect-induced momentum across all tested specifications.
The momentum effect was notably amplified in hard-to-value stocks where individual behavioral biases are more prevalent.

Cite This Study

Hur et al. (2010) studied this question.

synapsesocial.com/papers/6a86eef6e8199558f7a23b53 https://doi.org/10.1111/j.1755-053x.2010.01107.x

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Implication

Empirical analysis reveals stronger disposition effect-induced momentum in stocks with higher individual investor presence, suggesting retail behavioral biases drive price trends.

Momentum and the Disposition Effect: The Role of Individual Investors

Discussion

Member takes

Implication

Key Points

Cite This Study

Momentum and the Disposition Effect: The Role of Individual Investors

Discussion

Member takes

Implication

Key Points

Cite This Study

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Also Consider