Momentum, Information, and Herding

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2021-09-06 DOI:10.1080/15427560.2021.1971983

Zhilu Lin, Wentao Wu, Haoran Zhang

引用次数: 0

Abstract

Abstract This study investigates the potential explanations to the momentum effect on the equity market. We primarily discuss the underreaction hypothesis, the overreaction hypothesis, and the impact of herding behavior. We find that the momentum effect disappeared after decimalization in all size deciles, which does not support the underreaction hypothesis. We also find that momentum profits do not exist in any intangible assets or R&D expenses deciles, which is not consistent with the continuous overreaction hypothesis. We further investigate the impact of herding behavior on the momentum effect. Using a new firm-level herding measurement, we find that investors require higher returns in high herding stocks and they require even higher returns in high herding stocks among previous losers, indicating that investors herd against the previous losers while they herd toward the winners.

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动量、信息和羊群

摘要本研究探讨动量效应对股票市场的潜在解释。我们主要讨论反应不足假说、反应过度假说以及羊群行为的影响。我们发现，在所有尺寸的十分位数中，动量效应在小数化后消失，这不支持反应不足假设。我们还发现，在任何无形资产和研发费用十分位数中都不存在动量利润，这与持续过度反应假设不一致。我们进一步研究了羊群行为对动量效应的影响。利用一种新的企业层面的羊群效应度量方法，我们发现投资者对高羊群效应股票的回报要求更高，而对先前亏损的高羊群效应股票的回报要求更高，这表明投资者对先前亏损的股票趋同，而对先前盈利的股票趋同。

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 Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.