Cognitive Dissonance, Sentiment, and Momentum
研究了投资者情绪是否影响动量策略的盈利性，发现动量利润仅在乐观情绪下出现，因为乐观时小投资者因认知失调而延迟卖出亏损股票。
Abstract We consider whether sentiment affects the profitability of momentum strategies. We hypothesize that news that contradicts investors’ sentiment causes cognitive dissonance, slowing the diffusion of such news. Thus, losers (winners) become underpriced under optimism (pessimism). Short-selling constraints may impede arbitraging of losers and thus strengthen momentum during optimistic periods. Supporting this notion, we empirically show that momentum profits arise only under optimism. An analysis of net order flows from small and large trades indicates that small investors are slow to sell losers during optimistic periods. Momentum-based hedge portfolios formed during optimistic periods experience long-run reversals.