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The impact of elasticity on disposition effect driven momentum,substitutability, size,and January seasonality |
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| Authors: | Egginton Jared Hur Jungshik Singh Vivek |
| Institution: | 1.Department of Finance, College of Business and Economics, Boise State University, Boise, ID, USA ;2.Department of Economics and Finance, College of Business, Louisiana Tech University, Ruston, USA ;3.Department of Accounting and Finance, College of Business, University of Michigan, Dearborn, Dearborn, USA ; |
| Abstract: | Review of Quantitative Finance and Accounting - We find that momentum caused by disposition effect is mainly driven by stocks with unrealized capital gains and it is greater when price elasticity... |
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