The Disposition Effect And Underreaction to News  

Oleh:

Frazzini, Andrea

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 4 (Agu. 2006), page 2017-2046.
Topik: reactions; studies; losses; gains; securities markets; hypotheses; statistical analysis; investment policy
Fulltext: p 2017.pdf (259.29KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper tests whether the disposition effect that is the tendency of investors to ride losses and realize gains, induces underreaction to news, leading to return predictability. I use data on mutual fund holdings to construct a new measure of reference purchasing prices for individual stocks and I show that post announcement price frist is most severe whenever capital gains and the news event have the same sign. The magnitude of the drift depends on the capital gains (losses) experienced by the stock holders on the event date. An event-driven strategy based in this effect yields monthly alphas of over 200 basis points.

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