Strategy #0000000105 · Behavioural finance and momentum
Capital gains overhang
Enter current price, reference cost, signal threshold, assumed basket returns and costs.
Grinblatt and Han link the disposition effect to a reference price: investors are more willing to realise gains than losses. A volume-weighted historical cost proxy can estimate market reference prices and capital-gains overhang. It is related to, but distinct from, past-return momentum; reference-price estimation, volume and market composition matter.
No lot-level holdings or volume-weighted cost data are loaded; investor behaviour is not directly observed.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How does unrealised gain versus a reference cost change a long-short scenario?
Grinblatt and Han link the disposition effect to a reference price: investors are more willing to realise gains than losses. A volume-weighted historical cost proxy can estimate market reference prices and capital-gains overhang. It is related to, but distinct from, past-return momentum; reference-price estimation, volume and market composition matter.
Enter current price, reference cost, signal threshold, assumed basket returns and costs.
No lot-level holdings or volume-weighted cost data are loaded; investor behaviour is not directly observed.
- Input assumptionsEnter current price, reference cost, signal threshold, assumed basket returns and costs.
- Model outputNo lot-level holdings or volume-weighted cost data are loaded; investor behaviour is not directly observed.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
CGO_t=\frac{P_t-RP_t}{P_t}
P is current price and RP the entered historical reference-cost proxy; future high/low basket returns are manual scenarios.
Greeks: the directional intuition
- 訊號
- Measures sensitivity to implied volatility.
- 資料
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
CGO_t=\frac{P_t-RP_t}{P_t}
Practical context · published observations
Capital gains overhang: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No lot-level holdings or volume-weighted cost data are loaded; investor behaviour is not directly observed. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Data proxies, holding periods and portfolio construction affect signal interpretation.
Compare measurement and implementation assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Grinblatt and Han link the disposition effect to a reference price: investors are more willing to realise gains than losses. A volume-weighted historical cost proxy can estimate market reference prices and capital-gains overhang. It is related to, but distinct from, past-return momentum; reference-price estimation, volume and market composition matter. | No lot-level holdings or volume-weighted cost data are loaded; investor behaviour is not directly observed. |
| Conservative version | Higher threshold | Raise signal/sample thresholds and reduce exposure. | May reduce eligible names. |
| Validation version | Out-of-sample review | Freeze definitions before time-ordered evaluation. | Needs clean, representative data. |
No lot-level holdings or volume-weighted cost data are loaded; investor behaviour is not directly observed.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.