Investor heterogeneity and anchoring-induced momentum

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2024-04-01 DOI:10.1016/j.jbef.2024.100926

Olena Onishchenko , Jing Zhao , Sampath Kongahawatte , Duminda Kuruppuarachchi

引用次数: 0

Abstract

This paper investigates how anchoring-induced investors’ trading behavior drives momentum anomaly. The results show that price momentum does not retain its ability to predict future returns after considering the stock’s nearness to its 52-week high. The stock price’s nearness to the 52-week high is a stronger return predictor for stocks with a higher retail trading proportion. This suggests an anchoring-induced momentum pattern, which is affected by investor heterogeneity. Our trading flow analysis reveals that retail investors are subject to anchoring bias. Their trading behavior causes price underreaction to good (bad) information for stocks traded near (far from) their 52-week high.

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投资者的异质性和锚定引发的动力

本文研究了锚定引发的投资者交易行为如何导致动量异常。结果表明，在考虑了股价接近 52 周高点后，价格动量并没有保持其预测未来收益的能力。对于散户交易比例较高的股票，股价与 52 周高点的接近程度对回报的预测能力更强。这表明锚定诱导的动量模式受到投资者异质性的影响。我们的交易流分析表明，散户投资者存在锚定偏差。他们的交易行为导致接近（远离） 52 周高点的股票价格对好（坏）信息反应不足。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.