Confusion of Confusions: A Test of the Disposition Effect and Momentum
利用投资者数据发现，股票拆分后处置效应消失，因为粗心投资者未调整参考点而混淆盈亏状态；处置效应虽会减缓新闻融入价格，但其影响远小于动量效应，动量在无处置效应的样本中依然稳健存在。
Using investor-level data, I document that the disposition effect is absent following a stock split; inattentive investors may fail to split-adjust their reference point, confusing the winner versus loser status of their holdings. Consistent with the disposition effect impeding the incorporation of news, ex-date returns are significantly higher for split stocks with higher gains. However, the magnitude is small relative to momentum, and momentum remains robustly present among this sample of stocks void of the disposition effect. The results suggest that the disposition effect may slow the incorporation of news, but not to the extent that it alone explains momentum.