Do culture, sentiment, and cognitive dissonance explain the ‘above suspicion’ anomalies?
研究了认知失调如何与情绪和文化相互作用，影响动量效应和盈余公告后漂移（PEAD），发现西方和东亚文化对变化的看法差异导致认知失调在不同情境下产生，从而解释了这些异常现象在各国间的差异。
Abstract We investigate how cognitive dissonance arising from interactions between sentiment and culture affects momentum and post‐earnings‐announcement‐drift (PEAD). We focus on differing views relating to change between western and East Asian cultures. Building on Hong and Stein's heterogeneous trader model and recognizing westerners’ (easterners’) belief in continuation (reversal), we propose cognitive dissonance arises in different circumstances and to differing degrees in the two cultures, resulting in it being a key driver of the anomalies. Results support our hypotheses, suggesting sentiment and culture interact to impact cognitive dissonance, explaining differences in the anomalies across countries evident in prior literature.