Momentum and the Disposition Effect: The Role of Individual Investors
研究发现，个人投资者持股比例高的股票中，处置效应引发的动量更强，且该结果在难以估值的股票中更为显著。
We hypothesize that disposition effect‐induced momentum documented in Grinblatt and Han (2005) should be stronger in stocks with greater individual investors’ presence since individual investors are more prone to the disposition effect. We find strong evidence for our hypothesis for a large sample of NYSE/AMEX/NASDAQ stocks from the end of 1980 to 2005. Our results hold across different momentum strategies using alternative ways of defining individual investors’ presence in a stock and maintain even after controlling for variables known to drive momentum. Furthermore, we find that our results are stronger for hard‐to‐value stocks consistent with the findings of Kumar (2009).