The impact of elasticity on disposition effect driven momentum, substitutability, size, and January seasonality

Jared Egginton, Jungshik Hur, Vivek Singh

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

We find that momentum caused by disposition effect is mainly driven by stocks with unrealized capital gains and it is greater when price elasticity of demand is low. We further find that the size effect on momentum and January seasonality in momentum disappear when price elasticity of demand is low. In addition, the price elasticity of demand for stocks is related to the phase of business cycle and degree of product substitutability. Our findings are robust to other factors and the effect of market states on momentum profits.

Original languageEnglish
Pages (from-to)759-780
Number of pages22
JournalReview of Quantitative Finance and Accounting
Volume52
Issue number3
DOIs
StatePublished - 1 Apr 2019

Keywords

  • Disposition effect
  • Elasticity
  • January seasonality
  • Momentum
  • Substitutability

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