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? - Empirical Studies using Longitudinal Analysis
學年102
學期2
出版(發表)日期2014/06/05
作品名稱Which drives Abnormal Returns, Over- or Under-reaction? - Empirical Studies using Longitudinal Analysis
作品名稱(其他語言)
著者Yi-cheng Liu
單位
出版者
著錄名稱、卷期、頁數Applied Economics 46(26), p.3224-3235
摘要In this study, cross-sectional and time series longitudinal analysis were combined to identify that factor anomalies are driven by either over-reaction or under-reaction. The basic principle is, first, use a factor to form ten portfolios in the t quarter, then observe the average prices and returns of the ten portfolios for the previous four quarters and for the following four quarters as well. Finally, we are able to discover the reasons for abnormal returns according to characteristics of the changing processes of average stock prices and returns of the ten portfolios. The samples in this study contain all listed stocks on the US stock market from the fourth quarter of 1990 to the fourth quarter of 2010. The results show that (1) the reason for the abnormal returns of scale, value (book-to-price ratios, earnings-to-price ratios, sales-to-price ratios), and liquidity factors is over-reaction, and (2) the reason for the abnormal returns of growth factors (return on equity, return on assets, and revenue growth rate) is under-reaction.
關鍵字Abnormal returns;value stocks;growth stocks;under-reaction;over-reaction
語言英文
ISSN0003-6846; 1466-4283
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Yi-cheng Liu
審稿制度
國別中華民國
公開徵稿
出版型式,電子版,紙本
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