Implications from Biased Probability Judgments for International Disparities in Momentum Returns

Autor:	Keigo Inukai, Kai Duttle
Rok vydání:	2017
Předmět:	Actuarial science Cognitive Reflection Test 05 social sciences Globe 050109 social psychology Experimental and Cognitive Psychology Cognition Wirtschaftswissenschaften Random walk Representativeness heuristic Japanese market medicine.anatomical_structure Momentum (finance) Phenomenon 0502 economics and business Econometrics Economics medicine 0501 psychology and cognitive sciences 050207 economics Finance
Zdroj:	Journal of Behavioral Finance. 18:143-151
ISSN:	1542-7579 1542-7560
DOI:	10.1080/15427560.2017.1308937
Popis:	Momentum is a consistent phenomenon in financial data from the majority of markets around the globe. One prominent exception is the Japanese market, where returns from a momentum-investment strategy are nonexistent. The authors investigated international differences in the representativeness heuristic, which is one potential driver of momentum. After observing sequences of a random walk, subjects give probability estimates for the direction of the respective next change. The experiment was conducted in Japan and in Germany. For a subgroup of participants with lower cognitive abilities our results are perfectly in line with international momentum evidence.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2d28d9afcfc15816b04b81a3dffd932b https://doi.org/10.1080/15427560.2017.1308937 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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