Nominal price illusion, return skewness, and momentum

被引：0
|
作者：
Jia, Yuecheng [1 ]
Xu, Zheng [1 ]
Yan, Shu [2 ]
Zhang, Runyu [3 ]
机构：
[1] Cent Univ Finance & Econ, Chinese Acad Finance & Dev, Beijing 102206, Peoples R China
[2] Oklahoma State Univ, Spears Sch Business, Stillwater, OK 74077 USA
[3] Univ Iowa, Tippie Coll Business, Iowa City, IA USA
来源：
FINANCE RESEARCH LETTERS | 2024年 / 67卷
关键词：
CROSS-SECTION; RISK; STOCKS;
D O I：
10.1016/j.frl.2024.105899
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We document a significantly negative association between the nominal price measure of Birru and Wang (2015) and the profit of the stock momentum strategy. The negative relationship is driven by the underperformance of loser stocks with high nominal price illusions. Further analysis shows that the previously documented positive correlations between return skewness measures and momentum profit are subsumed by the effect of nominal price on momentum profit.
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页数：6
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