教師資料查詢 | 類別: 期刊論文 | 教師: 劉一成 Yi-cheng Liu (瀏覽個人網頁)

標題: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
語言英文(美國)
ISSN0003-6846;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
國別英國
公開徵稿
出版型式紙本
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