Jimmy Lockwood, L. Lockwood, Hong Miao, Mohammad Riaz Uddin, Keming Li
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引用次数: 1
摘要
研究人员一直在努力寻找理性的风险因素，以解释买进近期赢家、做空近期输家所产生的动量利润。行为解释侧重于投资者对新闻和推荐反应不足的倾向。我们的研究提供了另一种以卖方分析师行为为中心的解释。我们发现，从持有到买入的一致建议变化伴随着每年3.40%的动量利润增长。在Reg FD和Global Analyst Research Settlement通过后，动量利润下降，但仍然很可观。我们的研究结果支持了投资者认知偏差的行为解释，这种认知偏差是由分析师的冲动和乐观偏见推动的。
Abstract Researchers have struggled to find rational risk factors that explain momentum profits derived from buying recent winners and shorting recent losers. Behavioral explanations have been offered that focus on the tendencies of investors to underreact to news and recommendations. Our study provides an alternative explanation centered on the behavior of sell-side analysts. We find a change in consensus recommendation from a hold to a buy is accompanied by an increase in momentum profits of 3.40% annually. Momentum profits fall, yet remain material, after the passage of Reg FD and the enactment of the Global Analyst Research Settlement. Our results support a behavioral explanation of investor cognitive biases fueled by analyst regency and optimism biases.
期刊介绍：
In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.
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