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 language | English |
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Pages (from-to) | 759-780 |
Number of pages | 22 |
Journal | Review of Quantitative Finance and Accounting |
Volume | 52 |
Issue number | 3 |
DOIs | |
State | Published - 1 Apr 2019 |
Keywords
- Disposition effect
- Elasticity
- January seasonality
- Momentum
- Substitutability