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| Tekijä: | Doukas, J.A. McKnight, P.J. |
| Otsikko: | European momentum strategies, information diffusion, and investor conservatism |
| Lehti: | European Financial Management
2005 : JUN, VOL 11:3, p. 313-338 |
| Asiasana: | Stock markets Investment Investors Financial performance Information Strategy Theories Models Europe |
| Kieli: | eng |
| Tiivistelmä: | This paper conducts an out-of-sample test of two behavioural theories proposed to explain momentum (henceforth as: mtm.) in stock returns. The gradual-information-diffusion model of Hong and Stein (1999) and the investor conservatism bias model of Barberis et al. (1998) are tested in a sample of 13 European stock markets btw. 1988 and 2001. These two models predict the mtm. coming from the i. gradual dissemination of firm-specific information and ii. investorsÂ’ failure to update their beliefs sufficiently when observing new public information. The findings are consistent with the predictions of the behavioural models. The evidence shows that mtm. is the result of the gradual diffusion of private information and investors' psychological conservatism reflected on the systematic errors (etc). |
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