Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

Cognitive dissonance, sentiment, and momentum

Tools
- Tools
+ Tools

Antoniou, Constantinos, Doukas, John A. and Subrahmanyam, Avanidhar (2013) Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, Volume 48 (Number 1). pp. 245-275. doi:10.1017/S0022109012000592 ISSN 0022-1090.

Research output not available from this repository.

Request-a-Copy directly from author or use local Library Get it For Me service.

Official URL: http://dx.doi.org/10.1017/S0022109012000592

Request Changes to record.

Abstract

We consider whether sentiment affects the profitability of momentum strategies. We hypothesize that news that contradicts investors’ sentiment causes cognitive dissonance, slowing the diffusion of such news. Thus, losers (winners) become underpriced under optimism (pessimism). Short-selling constraints may impede arbitraging of losers and thus strengthen momentum during optimistic periods. Supporting this notion, we empirically show that momentum profits arise only under optimism. An analysis of net order flows from small and large trades indicates that small investors are slow to sell losers during optimistic periods. Momentum-based hedge portfolios formed during optimistic periods experience long-run reversals.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Warwick Business School > Behavioural Science
Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH): Financial crises, Optimism, Pessimism
Journal or Publication Title: Journal of Financial and Quantitative Analysis
Publisher: Cambridge University Press
ISSN: 0022-1090
Official Date: February 2013
Dates:
DateEvent
February 2013Published
Volume: Volume 48
Number: Number 1
Number of Pages: 31
Page Range: pp. 245-275
DOI: 10.1017/S0022109012000592
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item
twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us