Distinguishing Behavioral Models of Momentum

48 Pages Posted: 3 Oct 2008 Last revised: 19 Aug 2010

See all articles by Byoung-Hyoun Hwang

Byoung-Hyoun Hwang

Cornell University - Dyson School of Applied Economics and Management; Korea University - Department of Finance

Date Written: July 28, 2010

Abstract

This paper compares the extent to which different irrational behavior patterns explain the momentum effect. I find that price momentum increase in the average correlation of analysts’ forecast errors. I argue that these results provide evidence that the momentum effect may be better understood within a framework built on overconfidence about correlated signals than one built on limited attention and gradual information flow.

Keywords: Price Momentum, Behavioral Asset Pricing Models

JEL Classification: G12, G14

Suggested Citation

Hwang, Byoung-Hyoun, Distinguishing Behavioral Models of Momentum (July 28, 2010). Available at SSRN: https://ssrn.com/abstract=1276804 or http://dx.doi.org/10.2139/ssrn.1276804

Byoung-Hyoun Hwang (Contact Author)

Cornell University - Dyson School of Applied Economics and Management ( email )

Ithaca, NY
United States

HOME PAGE: http://www.bhwang.com

Korea University - Department of Finance

Seoul, 136-701
United States

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