Article ID Journal Published Year Pages File Type
5090038 Journal of Banking & Finance 2012 10 Pages PDF
Abstract
► We study the role of cointegration between prices and intrinsic values in momentum. ► We find significantly stronger momentum effect in non-cointegrated stocks. ► The cointegrated stocks with slower speed of adjustment exhibit stronger momentum. ► High concentration of PT/MA investors and limits to arbitrage explain the results.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum
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