Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 22, 2010 erstellt
Description:
This paper provides evidence that reference price distributions can predict stocks' expected returns. We develop a model based on the disposition effect by considering shareholders' trading activities with different relative capital gains. The model suggests that both disposition-prone investors' incentives to sell shares and their paper capital gains impact stock performance over a subsequent period. By applying four proxy variables this paper finds that a stock with higher mean and skewness of relative capital gains holds a higher return in the cross-section of the Chinese stocks. The empirical evidence supports our model's implications. In addition, the average capital gain is the key explanatory variable for variations in returns for winner stocks, and the skewness of capital gains works as the key variable for loser stocks in the Chinese stock markets. These findings hold true when the factors identified in the related literature are taken into consideration