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題名:
The Media Effect on Stock Market Overreaction
書刊名:
交大管理學報
作者:
詹家昌
/
許月瑜
/
陳麗如
作者(外文):
Chan, Chia-chung
/
Hsu, Yueh-yu
/
Chen, Li-lu
出版日期:
2015
卷期:
35:1
頁次:
頁47-72
主題關鍵詞:
過度反應
;
媒體效果
;
股票市場
;
市場效率
;
Overreaction
;
Media effect
;
Stock market
;
Market efficiency
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
3
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
3
共同引用:0
點閱:19
近年來行為財務學已發現不論股價行為是過度反應或反應不足,皆隱含投資人根據市場中相關資訊來形成投資決策時所呈現非理性行為。本文希望除了驗證過度反應之現象外,亦觀察媒體效果是否有形成或助長過度反應的發生。在加入媒體效果後發現當平均新聞則數、曝光強度愈高,則反轉的時間愈早且反轉的幅度愈大。當多空強度為轉弱(壞消息)時,其反轉的時間會比多空強度為強(好消息)時早,且幅度更大。最後將規模效果考慮進去後會發現,小公司的報酬反轉時間會比大公司慢,但隨著持有期愈長,其反轉幅度會漸漸超越大公司。過去有許多文獻使用過度反應的現象來形成反向投資策略,而本文對於過去解釋投資策略獲利的原因,增加一個新的解釋方向。
以文找文
The recent literature of behavioral finance has introduced that the overreaction or underreaction of share price movements can be explained by investors' irrational investment decisions. Besides re-examining the overreaction hypothesis, this study further investigates whether media effect can cause or enhance market overreaction. We observe that the pace and magnitude of stock price mean reversion are positively associated with the average number of press releases and the magnitude of press exposure. Both the pace and magnitude of share price mean reversion are higher in the declining market (i.e., bad news) than in the advancing market (i.e., good news). We also find that the pace of share price mean reversion is slower for small firms than for large firms. However, the magnitude of share price mean reversion for small firms, exceeds that for large firms as holding period extends. Past studies apply overreaction phenomenon to develop contrarian investment strategies. We contribute to the literature by incorporating the media effect as an explanation for contrarian investment strategies.
以文找文
期刊論文
1.
Belch, G. E.(1982)。The Effect of Television Commercial Repetition on Cognitive Response and Message Acceptance。Journal of Consumer Research,9(1),56-65。
2.
Clare, A.、Thomas, S.(1995)。The Overreaction Hypothesis and the UK Stock Returns。Journal of Business Finance and Accounting,22(7),961-973。
3.
Dietrich, J. R.、Kachelmeier, S. J.、Kleinmuntz, D. N.、Linsmeier, T. J.(2001)。Market Efficiency, Bounded Rationality, and Supplemental Business Reporting Disclosures。Journal of Accounting Research,39(2),243-268。
4.
Ketcher, D. N.、Jordan, B. D.(1994)。Short-Term Price Reversals Following Major Price Innovations: Additional Evidence on Market Overreaction。Journal of Economics and Business,46(1),307-323。
5.
Huberman, Gur、Regev, T.(2001)。Contagious speculation and a cure for cancer: A nonevent that made stock prices soar。Journal of Finance,56(1),387-396。
6.
Kothari, S. P.、Warner, Jerold B.(1997)。Measuring long-horizon security price performance。Journal of Financial Economics,43(3),301-339。
7.
Chan, W. S.(2003)。Stock price reaction to news and no-news: drift and reversal after headlines。Journal of Financial Economics,70(2),223-260。
8.
Zarowin, P.(1990)。Size, Seasonality and Stock Market Overreaction。Journal of Financial and Quantitative Analysis,25(1),113-126。
9.
Albert, R. L.、Henderson, G. V.(1995)。Firm Size, Overreaction, and Return Reversals。Quarterly Journal of Business and Economics,34(4),60-80。
10.
Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica,47(2),263-291。
11.
Cutler, David M.、Poterba, James M.、Summers, Lawrence H.(1991)。Speculative Dynamics。The Review of Economic Studies,58(3),529-546。
12.
Tversky, A.、Kahnema, D.(1974)。Judgment under Uncertainty: Heuristic and Biases。Science,185(4157),1124-1131。
13.
Brown, K. C.、Harlow, W. V.、Ticnic, S. M.(19881200)。Risk Aversion, Uncertain Information, and Market Efficiency。Journal of Financial Economics,22(2),355-385。
14.
Barber, Brad M.、Lyon, John D.(1997)。Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics。Journal of Financial Economics,43(3),341-372。
15.
Cutler, D. M.、Porterba, J. M.、Summers, L. H.(1989)。What moves stock price?。Journal of Portfolio Management,15(3),4-12。
16.
Zhang, X. Frank(2006)。Information uncertainty and stock returns。The Journal of Finance,61(1),105-137。
17.
Chopra, Navin、Lakonishok, Josef、Ritter, Jay R.(1992)。Measuring Abnormal Performance: Do Stocks Overreact?。Journal of Financial Economics,31(2),235-268。
18.
De Bondt, Werner F. M.、Thaler, Richard H.(1987)。Further Evidence on Investor Overreaction and Stock Market Seasonality。The Journal of Finance,42(3),557-581。
19.
Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。
20.
Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。
21.
Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。
22.
De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。
圖書
1.
Williams, J. B.(1956)。The Theory of Investment Value。Amsterdam:North-Holland。
2.
Crowder, R. G.(1976)。Principles of Learning and Memory。Hillsdale, NJ:Lawrence Erlbaum Associates。
3.
Kahneman, Daniel、Slovic, Paul、Tversky, Amos(1982)。Judgment under uncertainty: Heuristics and biases。Cambridge University Press。
4.
Keynes, J. M.(1964)。The General Theory of Employment, Investment and Money。London, UK:Harcovrt Brace Jornaorich。
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