M. B. Abbes, Y. Boujelbène, and A. Bouri, Les profits des stratégies momentum: sous et

N. C. Barberis, Thirty years of prospect theory in economics: A review and assessment, National Bureau of Economic Research, 2012.

N. Barberis, A. Shleifer, and R. Vishny, A model of investor sentiment, Journal of Financial Economics, vol.49, issue.3, pp.307-343, 1998.
DOI : 10.3386/w5926

N. Barberis and W. Xiong, What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation, The Journal of Finance, vol.5, issue.2, pp.751-784, 2009.
DOI : 10.1111/j.1540-6261.2009.01448.x

N. Barberis and W. Xiong, Realization utility, Journal of Financial Economics, vol.104, issue.2, pp.251-271, 2012.
DOI : 10.1016/j.jfineco.2011.10.005

D. E. Bell, Risk Premiums for Decision Regret, Management Science, vol.29, issue.10, pp.1156-1166, 1983.
DOI : 10.1287/mnsc.29.10.1156

A. Bhootra and J. Hur, On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum, Journal of Banking & Finance, vol.36, issue.5, pp.1266-1275, 2012.
DOI : 10.1016/j.jbankfin.2011.11.021

J. Birru, Confusion of Confusions: A Test of the Disposition Effect and Momentum, Review of Financial Studies, vol.28, issue.7, pp.1849-1873, 2015.
DOI : 10.1093/rfs/hhv007

H. Bleichrodt, A. Cillo, and E. Diecidue, A Quantitative Measurement of Regret Theory, Management Science, vol.56, issue.1, pp.161-175, 2010.
DOI : 10.1287/mnsc.1090.1097

D. D. Cagno and J. D. Hey, A direct test of the original version of regret theory, Journal of Behavioral Decision Making, vol.41, issue.1, pp.43-56, 1988.
DOI : 10.1002/bdm.3960010106

M. M. Carhart, On Persistence in Mutual Fund Performance, The Journal of Finance, vol.19, issue.1, pp.57-82, 1997.
DOI : 10.1111/j.1540-6261.1997.tb03808.x

K. Daniel, D. Hirshleifer, and A. Subrahmanyam, Investor Psychology and Security Market Under- and Overreactions, The Journal of Finance, vol.51, issue.Supplement, pp.1839-1885, 1998.
DOI : 10.1111/0022-1082.00077

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.587.3494

V. A. Efthymiou and G. N. Leledakis, The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks, Quantitative Finance, vol.61, issue.1, pp.711-724, 2014.
DOI : 10.2307/1912934

E. F. Fama, Market Efficiency, Long-Term Returns, and Behavioral Finance, SSRN Electronic Journal, vol.49, issue.3, pp.283-306, 1998.
DOI : 10.2139/ssrn.15108

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.10.4176

E. F. Fama and K. R. French, Dividend yields and expected stock returns, Journal of Financial Economics, vol.22, issue.1, pp.3-25, 1988.
DOI : 10.1016/0304-405X(88)90020-7

E. F. Fama and K. R. French, The Cross-Section of Expected Stock Returns, The Journal of Finance, vol.4, issue.2, pp.427-465, 1992.
DOI : 10.1111/j.1540-6261.1992.tb04398.x

E. F. Fama and K. R. French, Multifactor Explanations of Asset Pricing Anomalies, The Journal of Finance, vol.19, issue.1, pp.55-84, 1996.
DOI : 10.1111/j.1540-6261.1996.tb05202.x

E. F. Fama and J. D. Macbeth, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy, vol.81, issue.3, pp.607-636, 1973.
DOI : 10.1086/260061

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.632.511

A. Frazzini, The Disposition Effect and Underreaction to News, The Journal of Finance, vol.51, issue.4, pp.2017-2046, 2006.
DOI : 10.1111/j.1540-6261.2006.00896.x

F. J. Gomes, Portfolio Choice and Trading Volume with Loss???Averse Investors, The Journal of Business, vol.78, issue.2, pp.675-706, 2005.
DOI : 10.1086/427643

M. Grinblatt and B. Han, Prospect theory, mental accounting, and momentum, Journal of Financial Economics, vol.78, issue.2, pp.311-339, 2005.
DOI : 10.1016/j.jfineco.2004.10.006

B. D. Grundy and J. S. Martin, Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing, Review of Financial Studies, vol.14, issue.1, pp.29-78, 2001.
DOI : 10.1093/rfs/14.1.29

S. Hassan, South African capital markets: An overview. South African Reserve Bank Working Paper Series WP, p.4, 2013.

T. Hens and M. Vlcek, Does Prospect Theory Explain the Disposition Effect?, Journal of Behavioral Finance, vol.6, issue.3, pp.141-157, 2011.
DOI : 10.1016/S0167-2681(97)00089-9

H. Hong, T. Lim, and J. C. Stein, Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies, The Journal of Finance, vol.51, issue.1, pp.265-295, 2000.
DOI : 10.1111/0022-1082.00206

H. Hong and J. C. Stein, A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets, The Journal of Finance, vol.51, issue.6, pp.2143-2184, 1999.
DOI : 10.1111/0022-1082.00184

J. Hur, M. Pritamani, and V. Sharma, Momentum and the Disposition Effect: The Role of Individual Investors, Financial Management, vol.22, issue.2, pp.1155-1176, 2010.
DOI : 10.1111/j.1755-053X.2010.01107.x

N. Jegadeesh and S. Titman, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance, vol.25, issue.1, pp.65-91, 1993.
DOI : 10.1111/j.1540-6261.1993.tb04702.x

N. Jegadeesh and S. Titman, Cross-Sectional and Time-Series Determinants of Momentum Returns, Review of Financial Studies, vol.15, issue.1, pp.143-157, 2002.
DOI : 10.1093/rfs/15.1.143

D. Kahneman and A. Tversky, Prospect theory: An analysis of decision under risk, Econometrica: Journal of the Econometric Society, pp.263-291, 1979.

M. Kaustia, Prospect Theory and the Disposition Effect, Journal of Financial and Quantitative Analysis, vol.28, issue.03, p.791, 2010.
DOI : 10.2307/257636

K. Lam, T. Liu, and W. Wong, A New Pseudo-Bayesian Model with Implications for Financial Anomalies and Investors??? Behavior, Journal of Behavioral Finance, vol.16, issue.1, pp.93-107, 2012.
DOI : 10.1080/15427560.2012.680993

C. Lee and B. Swaminathan, Price Momentum and Trading Volume, The Journal of Finance, vol.53, issue.5, pp.2017-2069, 2000.
DOI : 10.1111/0022-1082.00280

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.335.434

D. A. Lesmond, M. J. Schill, and C. Zhou, The illusory nature of momentum profits, Journal of Financial Economics, vol.71, issue.2, pp.349-380, 2004.
DOI : 10.1016/S0304-405X(03)00206-X

J. Lewellen, Momentum and Autocorrelation in Stock Returns, Review of Financial Studies, vol.15, issue.2, pp.533-564, 2002.
DOI : 10.1093/rfs/15.2.533

Y. Li and L. Yang, Prospect theory, the disposition effect, and asset prices, Journal of Financial Economics, vol.107, issue.3, pp.715-739, 2013.
DOI : 10.1016/j.jfineco.2012.11.002

A. W. Lo and A. C. Mackinlay, When Are Contrarian Profits Due to Stock Market Overreaction?, Review of Financial Studies, vol.3, issue.2, pp.175-205, 1990.
DOI : 10.1093/rfs/3.2.175

URL : http://www.nber.org/papers/w2977.pdf

G. Loomes and R. Sugden, Regret Theory: An Alternative Theory of Rational Choice Under Uncertainty, The Economic Journal, vol.92, issue.368, pp.92-805, 1982.
DOI : 10.2307/2232669

R. D. Mclean, Idiosyncratic Risk, Long-Term Reversal, and Momentum, Journal of Financial and Quantitative Analysis, vol.80, issue.04, 2010.
DOI : 10.2307/1913610

J. Meng, Can prospect theory explain the disposition effect? A new perspective on reference points. A New Perspective on Reference Points, 2014.

J. Morgan, Riskmetrics: technical document, 1996.

T. J. Moskowitz and M. Grinblatt, Do industries explain momentum? The Journal of Finance, pp.1249-1290, 1999.

A. Muermann and J. M. Volkman, Regret, Pride, and the Disposition Effect, SSRN Electronic Journal, 2007.
DOI : 10.2139/ssrn.930675

R. Novy-marx, Is momentum really momentum?, Journal of Financial Economics, vol.103, issue.3, pp.429-453, 2012.
DOI : 10.1016/j.jfineco.2011.05.003

T. Odean, Are investors reluctant to realize their losses? The Journal of Finance, pp.1775-1798, 1998.

C. Pirrong, Momentum in Futures Markets, EFA 2005 Moscow Meetings Paper, 2005.
DOI : 10.2139/ssrn.671841

J. M. Poterba and L. H. Summers, Mean reversion in stock prices: Evidence and implications, Journal of Financial Economics, vol.22, issue.1, pp.27-59, 1988.
DOI : 10.3386/w2343

K. G. Rouwenhorst, International Momentum Strategies, The Journal of Finance, vol.52, issue.1, pp.267-284, 1998.
DOI : 10.1111/0022-1082.95722

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.194.9334

H. Shefrin and M. Statman, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, The Journal of Finance, vol.89, issue.3, pp.777-790, 1985.
DOI : 10.1111/j.1540-6261.1985.tb05002.x

C. Stivers and L. Sun, Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums, Journal of Financial and Quantitative Analysis, vol.45, issue.04, 2010.
DOI : 10.1016/S1386-4181(02)00044-7

D. Su, An Empirical Analysis of Industry Momentum in Chinese Stock Markets. Emerging Markets Finance and Trade, pp.4-27, 2011.

A. Tversky and D. Kahneman, Advances in prospect theory: Cumulative representation of uncertainty, Journal of Risk and Uncertainty, vol.55, issue.1, pp.297-323, 1992.
DOI : 10.1007/BF00122574

P. Wakker and D. Deneffe, Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown, Management Science, vol.42, issue.8, pp.42-1131, 1996.
DOI : 10.1287/mnsc.42.8.1131

M. Zeelenberg, Anticipated regret, expected feedback and behavioral decision making, Journal of Behavioral Decision Making, vol.75, issue.2, pp.93-106, 1999.
DOI : 10.1002/(SICI)1099-0771(199906)12:2<93::AID-BDM311>3.0.CO;2-S