The impact of elasticity on disposition effect driven momentum, substitutability, size, and January seasonality
Original Research
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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 seasonalityJEL Classification
G12 G14 G20References
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