Review of Financial Studies, (2015) 28 (7):1849-1873.

困惑中的困惑：关于处置效应和动量效应的实验

作者：Justin Birru（Fisher College of Business, The Ohio State University）

摘要：通过使用投资者层面的数据，本文发现在股票分割后处置效应会消失。疏忽的投资者可能不会根据分股调整他们的参照点，因此错误判断持仓股份的赢者输者状态。和处置效应阻碍纳入新信息的理论一致，有着较高利润的分拆股票将在除权日获得显著高的回报。然而这一幅度比动量效应小，并且即使不存在处置效应，动量效应在这类股票中仍然稳健存在。这些结论说明处置效应可能会减慢新信息的纳入，但不至于达到能够单独解释动量效应的程度。

Confusion of Confusions: A Test of the Disposition Effect and Momentum

Justin Birru（Fisher College of Business, The Ohio State University）

ABSTRACT: Using investor-level data, I document that the disposition effect is absent following a stock split; inattentive investors may fail to split-adjust their reference point, confusing the winner versus loser status of their holdings. Consistent with the disposition effect impeding the incorporation of news, ex-date returns are significantly higher for split stocks with higher gains. However, the magnitude is small relative to momentum, and momentum remains robustly present among this sample of stocks void of the disposition effect. The results suggest that the disposition effect may slow the incorporation of news, but not to the extent that it alone explains momentum.

原文链接：http://rfs.oxfordjournals.org/content/28/7/1849.abstract?sid=3e08d922-b232-438e-99dc-7e8867671a6d

翻译：黄怡文