Reversal Fear, Disposition effect and Momentum: Evidence from the China market
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چکیده
This paper examines the influence of reversal fear and disposition effect on momentum returns. We find that reversal fear and disposition effect do have significant influence on momentum and contrarian returns. Under different momentum states, these two forces will either augment or offset each other, making momentum and contrarian returns that are significant become no more significant or those that have been significant become even more significant. In addition, we find that portfolios with inconsistent between psychological and behavioral reaction generate lower future returns than those with consistent between psychological and behavioral reaction.
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