Stock price synchronicity, cognitive biases, and momentum
研究发现，股价同步性高时动量效应更显著，因为噪声信息加剧了投资者的认知偏差，导致对新闻反应不足，从而提升动量策略的盈利性。
Abstract The momentum anomaly is widely attributed to investor cognitive biases, but the trigger of cognitive biases is largely unexplored. In this study, inspired by psychology studies linking cognitive biases to the noisiness of information, we examine whether momentum returns are associated with high stock price synchronicity, a manifestation of noisy firm‐specific information. Our results demonstrate that momentum is more pronounced in the presence of high stock price synchronicity. This finding is robust to other explanations and firm characteristics. We also find that stock price synchronicity boosts the profitability of momentum by amplifying investor underreaction to new information.