Behavioral investment strategy matters: A statistical arbitrage approach

David Sun*, Shih Chuan Tsai, Wei Wang

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

3 引文 斯高帕斯(Scopus)

摘要

In this study, we employ a statistical arbitrage approach to demonstrate that momentum strategies work only in longer formation and holding periods, a result more conclusive than standard parametric tests can offer. Disposition and overconfidence effects are important factors contributing to the phenomenon. The overconfidence effect seems to dominate the disposition effect, especially in an up market. Moreover, the overconfidence investment behavior of institutional investors is the main cause for significant momentum returns observed in an up market. In a down market, the institutional investors tend to adopt a contrarian strategy while the individuals are still maintaining momentum behavior within shorter periods.

原文英語
頁(從 - 到)47-61
頁數15
期刊Emerging Markets Finance and Trade
49
發行號SUPPL.3
DOIs
出版狀態已發佈 - 2013 七月 1

ASJC Scopus subject areas

  • 金融
  • 經濟學、計量經濟學和金融學 (全部)

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