Xie, Jun; Feng, Jinyu; Gao, Bin; Tan, Chunzhi - 2022
Anchoring bias (AB) measured at the end of each month by the absolute slope coefficient of a 1-year rolling window regressing relative net purchase ratio on a 52-week high ratio, significantly and negatively predicts 1-months-ahead stock returns both in-sample and out-of-sample. We show...