How the disposition effect may explain momentum: the relationship between investment behavior biases and brazilian market movements

• Autor(a) principal: Pitthan, Francisco do Nascimento
• Data de Publicação: 2018
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Biblioteca Digital de Teses e Dissertações da USP
• Texto Completo: http://www.teses.usp.br/teses/disponiveis/12/12138/tde-13112018-130943/
• topic: Apreçamento de ativos; Asset pricing; Behavioral finance; Disposition-effect; Efeito disposição; Estratégias de investimento; Finanças comportamentais; Fluxos de fundos; Fund flowz; Investment behavior bias; Investment strategies; Momentum; Momentum; Viés de comportamento de investimento

Momentum is one of the most robust anomalies in financial markets, there are two main recent explanations for this phenomenon, a behavioral-based explanation through disposition-effect (i.e., the willingness to sell \"winners\" too quickly and to hold \"losers\" for a long time) and a fund-flow based explanation. The disposition-effect explanation is centered in the convergence of the spread between the fundamental value and the observed market price (disposition-effect causes an underreaction to news that generates this spread), and the fund flows-based explanation is due to the persistence of the performance of mutual-funds (which usually keep buying winning positions and selling the losses). This master thesis compares those theories using Brazilian data (which is suitable for the strong presence of momentum). Our empirical analysis was done using Fama-MacBeth regressions with results pointing the disposition-effect explanation as the most significant, with our robustness analysis contributing positively to the main findings.