Identification of Momentum and Disposition Effects Through Asset Return Volatility

Title
Identification of Momentum and Disposition Effects Through Asset Return Volatility
Authors
Kim, Yun-YeongLee, Jinsoo
Keywords
Asset Return; Momentum Effect; Disposition Effect; Identification Through Volatility
Issue Date
2009-12-01
Series/Report no.
KDI Working Paper Series;10-01
Abstract
Momentum and disposition effects affect asset return dynamics in different ways. In particular, past positive returns may result in current positive returns if momentum effect dominates. However, if disposition effect dominates, negative returns are expected from past positive returns due to selling of assets driven by risk aversion. Both effects affect asset return dynamics simultaneously. In this paper, we develop an autoregressive model to identify the two effects in asset returns separately. Lastly, we apply our model to Korean stock and real estate markets and estimate momentum and disposition effects in those markets.
URI
http://archives.kdischool.ac.kr/handle/11125/17258
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KDI School Working Paper Series


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