文章基本信息

标题：The Gambler's Fallacy in the Stock Markets: Investors' Beliefs in Stock Price Reversals
本地全文：下载
作者：Andrey Kudryavtsev ; Andrey Kudryavtsev
期刊名称：International Journal of Economic Theory and Application
电子版ISSN：2375-298X
出版年度：2018
卷号：5
期号：1
页码：1-6
语种：English
出版社：The American Association for Science and Technology
摘要：The present study analyzes stock returns in order to shed light on the effect of the gambler's fallacy on investors' beliefs. I expect that if during several trading days in a row a stock's price rises (falls), then investors whose trading decisions are biased by the gambler's fallacy may believe that the respective stock's price is going to change its direction. This belief in stock price reversals may result in a selling (buying) pressure on the stock's price, and respectively, in negative (positive) abnormal stock returns. I analyze a large historical sample of stocks currently making up the S&P 500 Index, and find that following relatively long sequences of trading days characterized by the same-sign returns for given stocks, the respective stocks' abnormal returns tend to obtain the opposite sign. The effect becomes even more pronounced following longer preceding return sequences. It is stronger for small and volatile stocks and remains significant after accounting for a number of relevant company- and market-specific factors.
关键词：Abnormal Stock Returns; Gambler's Fallacy; Investment Decisions; Price Reversals; Stock Return Sequences