Cognitive Dissonance, Sentiment, and Momentum

被引：255

作者：

Antoniou, Constantinos ^{[1
]}

Doukas, John A. ^{[2
,3
]}

Subrahmanyam, Avanidhar ^{[4
]}

机构：

[1] Univ Exeter, Sch Business, Xfi Ctr Finance & Investment, Exeter EX4 4ST, Devon, England

[2] Old Dominion Univ, Grad Sch Business, Norfolk, VA 23529 USA

[3] Univ Cambridge, Judge Business Sch, Cambridge CB2 1TN, England

[4] Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA 90095 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2013年 / 48卷 / 01期

关键词：

STOCK RETURNS; INVESTOR SENTIMENT; CONSUMER CONFIDENCE; CROSS-SECTION; RATIONAL-EXPECTATIONS; BAD-NEWS; MARKET; STRATEGIES; RISK; AUTOCORRELATION;

D O I：

10.1017/S0022109012000592

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider whether sentiment affects the profitability of momentum strategies. We hypothesize that news that contradicts investors' sentiment causes cognitive dissonance, slowing the diffusion of such news. Thus, losers (winners) become underpriced under optimism (pessimism). Short-selling constraints may impede arbitraging of losers and thus strengthen momentum during optimistic periods. Supporting this notion, we empirically show that momentum profits arise only under optimism. An analysis of net order flows from small and large trades indicates that small investors are slow to sell losers during optimistic periods. Momentum-based hedge portfolios formed during optimistic periods experience long-run reversals.

引用

页码：245 / 275

页数：31

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