Prospect Theory, Mental Accounting, and Momentum
Prospect Theory, Mental Accounting, and Momentum
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DOI：
10.2139/ssrn.288466
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发表时间：
2004-08
期刊：
影响因子：
--
通讯作者：
Bing Han;Mark Grinblatt
中科院分区：
文献类型：
--
作者：
Bing Han;Mark Grinblatt
在前景理论和心理会计的推动下，一些投资者倾向于持有亏损的股票，这造成了股票的基本价值与其均衡价格之间的价差，以及价格对信息的反应不足。由于基本值的随机演变和参考价格的更新，价差收敛产生了可预测的均衡价格，这将被解释为具有动量。横截面实证检验与模型基本一致。代表未实现资本收益总额的变量似乎是产生动量战略盈利能力的关键变量。一旦控制了这个变量，过去的收益对收益的横截面就没有可预测性。
The tendency of some investors to hold on to their losing stocks, driven by prospect theory and mental accounting, creates a spread between a stock's fundamental value and its equilibrium price, as well as price underreaction to information. Spread convergence, arising from the random evolution of fundamental values and updating of reference prices, generates predictable equilibrium prices that will be interpreted as possessing momentum. Cross-sectional empirical tests are consistent with the model. A variable proxying for aggregate unrealized capital gains appears to be the key variable that generates the profitability of a momentum strategy. Past returns have no predictability for the cross-section of returns once this variable is controlled for.