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Review of Quantitative Finance and Accounting

, Volume 52, Issue 3, pp 759–780 | Cite as

The impact of elasticity on disposition effect driven momentum, substitutability, size, and January seasonality

  • Jared Egginton
  • Jungshik Hur
  • Vivek SinghEmail author
Original Research
First Online:

Abstract

We find that momentum caused by disposition effect is mainly driven by stocks with unrealized capital gains and it is greater when price elasticity of demand is low. We further find that the size effect on momentum and January seasonality in momentum disappear when price elasticity of demand is low. In addition, the price elasticity of demand for stocks is related to the phase of business cycle and degree of product substitutability. Our findings are robust to other factors and the effect of market states on momentum profits.

Keywords

Momentum Disposition effect Elasticity Substitutability January seasonality 

JEL Classification

G12 G14 G20 
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© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Finance, College of Business and EconomicsBoise State UniversityBoiseUSA
  2. 2.Department of Economics and Finance, College of BusinessLouisiana Tech UniversityRustonUSA
  3. 3.Department of Accounting and Finance, College of BusinessUniversity of Michigan, DearbornDearbornUSA

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