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

困惑中的困惑：關于處置效應和動量效應的實驗

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

摘要：通過使用投資者層面的數據，本文發現在股票分割後處置效應會消失。疏忽的投資者可能不會根據分股調整他們的參照點，因此錯誤判斷持倉股份的赢者輸者狀态。和處置效應阻礙納入新信息的理論一緻，有着較高利潤的分拆股票将在除權日獲得顯著高的回報。然而這一幅度比動量效應小，并且即使不存在處置效應，動量效應在這類股票中仍然穩健存在。這些結論說明處置效應可能會減慢新信息的納入，但不至于達到能夠單獨解釋動量效應的程度。

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.

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

翻譯：黃怡文