THE DISPOSITION EFFECT AND MOMENTUM IN SRI LANKAN STOCK MARKET

Authors

  • Y. M. H. P. Madduma Bandara

Abstract

The disposition effect could be referred to as tendency of investors to realize their profits too early and reluctance to realize their losses that arise out of changes in stock prices. This has drawn the attention of many empirical studies as one of the various explanations for the momentum in the stock markets. The main objective of this paper is to explore the relationship between the disposition effect and momentum in the Sri Lankan stock market using the model by Grinblatt and Han (2002, 2005). The results suggest that there is a positive relationship between disposition effect and expected stock returns in the Sri Lankan stock market where the presence of disposition investors makes momentum strategies profitable in the market.

Keywords: Disposition Effect, Stock Market Momentum, Fama and Macbeth Approach

For full Paper: fmscresearch@sjp.ac.lk

Published

2013-08-24

Issue

Vol. 9 (2012): Proceedings of the 9th International Conference on Business Management - 2012

Section

Articles