This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies...

Little is known about the performance of the US stock market before 1802, and evidence for the years following 1802 through the 1830s remains scanty. This paper describes a new database on total returns in the US stock market for the first fifty years of its existence, constructed in large part...

We examine the relationship between sentiment and Mexican stock market returns. Results suggest a positive dynamic relationship between rational Mexican sentiment and equity market returns. Results also reveal a spillover of US sentiment on the return generating process of the Mexican stock...