| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4885
|
| DP4885 Experimental Evidence on the Persistence of Output and Inflation |
| Klaus Adam
|
| 发表日期 | 2005-01-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | We test the market impact of the disposition effect. We rely on the Grinblatt and Han (2002) model and derive testable implications about the expected relationship between the preponderance of disposition investors in the market and stock volatility, return and trading volume. We use a large sample of individual accounts over a six-year period to construct a variable that acts as proxy for the representation in the market of disposition investors. We show that, at a daily frequency, when the fraction of ?irrational? investor trades in a stock increases, stock volatility, return and trading volume decrease. We further show that such a stock-specific disposition acts as proxy to aggregates at the market level, generating a common factor. Statistical exposure to such a disposition-related factor explains cross-sectional differences in daily returns, after controlling for a host of other factors and characteristics. |
| 主题 | Financial Economics
|
| 关键词 | Disposition effect
Asset prices
Volatility
|
| URL | https://cepr.org/publications/dp4885
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533789
|
推荐引用方式
GB/T 7714 |
Klaus Adam. DP4885 Experimental Evidence on the Persistence of Output and Inflation. 2005.
|
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