DSpace Repository

Momentum in Security Returns and Investor Behavior : Evidence from Sri Lanka

Show simple item record

dc.contributor.author Anuradha, P.A.N.S.
dc.contributor.author Nimal, P.D.
dc.date.accessioned 2017-10-19T03:55:05Z
dc.date.available 2017-10-19T03:55:05Z
dc.date.issued 2016
dc.identifier.citation Anuradha, P.A.N.S., Nimal, P.D. (2016). "Momentum in Security Returns and Investor Behavior : Evidence from Sri Lanka", International Conference On Applied Research In Engineering and Management Sciences. en_US, si_LK
dc.identifier.isbn 9780989615061
dc.identifier.uri http://dr.lib.sjp.ac.lk/handle/123456789/5878
dc.description.abstract Attached en_US, si_LK
dc.description.abstract This paper examines the validity of the behavioral explanations of the momentum effect. Although, the momentum effect seems to be captured by the risk based asset pricing models, there are behavioral explanations developed to explain the existence of the momentum. Barberls, Shleifer and Vishny (BSV) (1998) and Daniel, Hirshleifer and Subrahmanyam (DHS) (1998) provide two most logical behavioral explanations tor the existence of the momentum effect However, these behavioral explanations are not generally accepted due to lack of empirical validity. Hence without identifying the real market validity of theses behavioral explanations it Is difficult to reach any conclusion regarding the reason for the existence of the momentum effect Therefore, based on B SV (1998) and DHS (1998), this study formulates testable hypotheses to evaluate their empirical validity. We develop event based method to test the behavioral explanations of the momentum effect empirically. Finally hypotheses are tested in the Colombo Stock Exchange over the period from 2005 to 2013 using the event based method. Investors' conservative behavior suggested by BSV (1998) seems to have contributed to the momentum effect In the Colombo Stock Exchange but the overreaction of DHS (1998) Is not supported.
dc.language.iso en_US en_US, si_LK
dc.publisher International Conference On Applied Research In Engineering and Management Sciences en_US, si_LK
dc.subject Biased self-attribution en_US, si_LK
dc.subject Conservatism bias en_US, si_LK
dc.subject Momentum effect en_US, si_LK
dc.subject Overconfidence en_US, si_LK
dc.title Momentum in Security Returns and Investor Behavior : Evidence from Sri Lanka en_US, si_LK
dc.type Book en_US, si_LK


Files in this item

This item appears in the following Collection(s)

Show simple item record

Search DSpace


Browse

My Account