Abstract:Momentum is one of the most robust anomalies in financial markets, there are two main recent explanations for this phenomenon, a behavioral-based explanation through disposition-effect (i.e., the willingness to sell “winners” too quickly and to hold “losers” for a long time) and a fund-flow based explanation. The disposition-effect explanation is centered in the convergence of the spread between the fundamental value and the observed market price (disposition-effect causes an underreaction to news that generat… Show more
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