Identification of Momentum and Disposition Effects Through Asset Return Volatility
- Identification of Momentum and Disposition Effects Through Asset Return Volatility
- Kim, Yun-Yeong; Lee, Jinsoo
- Asset Return; Momentum Effect; Disposition Effect; Identification Through Volatility
- Issue Date
- Series/Report no.
- KDI Working Paper Series;10-01
- 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
- Files in This Item:
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.