Which drives abnormal returns, over- or under-reaction? -Studies applying longitudinal analysis
學年 102
學期 2
出版（發表）日期 2014-06-18
作品名稱 Which drives abnormal returns, over- or under-reaction? -Studies applying longitudinal analysis
作品名稱（其他語言）
著者 劉一成; 葉怡成
單位 淡江大學國際企業學系; 淡江大學土木工程學系
出版者 Abingdon: Routledge
著錄名稱、卷期、頁數 Applied Economics 46(26), pp.3224-3235
摘要 This article combined both cross-sectional and time-series longitudinal analysis to identify that factor anomalies are driven by either over-reaction or under-reaction. The basic principle is, first, use a factor to form 10 portfolios in the t quarter, then observe the average prices and returns of the 10 portfolios for the previous four quarters and for the following four quarters as well. Samples in this study contain all stocks listed in the US from 1990 to 2010. The empirical evidence shows that the reason for the abnormal returns of value (book-to-price ratios, earnings-to-price ratios, sales-to-price ratios), scale and liquidity factors is over-reaction. Meanwhile, the reason for the abnormal returns of growth factors (return on equity, return on assets and revenue growth rate) is under-reaction. The results provide significant policy implications. The anomaly returns of the value, scale and liquidity factors last longer and are more appropriate to be employed for long-run investment while the growth factors are better suited for short-run investment. Furthermore, a more profitable stock-selection strategy can be formed by simultaneously considering the above two types of factors to capture both of these two sources of anomaly returns.
關鍵字
語言 en_US
ISSN 0003-6846 1466-4283
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 葉怡成
審稿制度 是
國別 GBR
公開徵稿
出版型式 紙本
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