서강대학교

목차

1 Introduction 8
2 Literature Review and Hypothesis Development 12
2.1 Momentum and Reversal in Global and Emerging Markets 12
2.1.1 Developed Markets 12
2.1.2 Emerging Markets and China 13
2.2 Hypothesis Development 14
2.2.1 Reference Dependence / Disposition (CGO) 14
2.2.2 Hypothesis 1: Reference-Dependent Profit-Taking (profit-taking channel) 15
2.2.3 Lottery Preference / Attention (MAXRET) 15
2.2.4 Hypothesis 2: Overreaction Driven by Attention to Lottery-Like Stocks
(attention channel) 16
2.2.5 Extrapolation and Momentum–Reversal Cycles 16
3 Data and Key Variables 18
3.1 Data Sources 18
3.2 Variable Construction 18
3.2.1 Capital Gains Overhang (CGO) 18
3.2.2 Maximum Daily Return (MAXRET) 19
3.2.3 Momentum (MOM) 20
4 Empirical Results 21
4.1 Descriptive Statistics 21
4.2 Univariate Portfolio Sorts 22
4.2.1 Single Sorts on MOM (Stylized Fact: Short-Term Reversal) 22
4.2.2 Single Sorts on CGO (Hypothesis 1: profit-taking channel) 25
4.2.3 Single Sorts on MAXRET (Hypothesis 2: attention channel) 26
4.3 Bivariate Portfolio Sorts 28
4.3.1 Double Sorts on MOM and MAXRET 29
4.3.2 Double Sorts on MOM and CGO 30
4.4 Triple Portfolio Sorts: Joint Behaviour of CGO, MAXRET, and MOM 33
4.4.1 Summary and interpretation 35
4.5 Fama–MacBeth Cross-Sectional Regressions 37
4.5.1 Main Effects of Behavioral Predictors 40
4.5.2 Pairwise Behavioral Relationships 41
4.5.3 Joint Hierarchy of Behavioral Channels 42
4.5.4 Economic Interpretation and Robustness 44
5 Conclusion and Implications 46
References 50