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題名:The Influence of Corporate Transparency and Heterogeneous Beliefs on Momentum Profits
書刊名:證券市場發展季刊
作者:王癸元 引用關係彭素君 引用關係
作者(外文):Wang, Kuei-yuanPeng, Su-chun
出版日期:2016
卷期:28:1=109
頁次:頁123-156
主題關鍵詞:企業資訊透明度資訊揭露異質信念動能策略Corporate transparencyInformation disclosureHeterogeneous beliefsMomentum strategy
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:0
  • 點閱點閱:8
本研究採用系統性觀點探討企業資訊透明度、投資者異質信念對股票報酬或動能績效之影響。本研究採用2005-2011年台灣地區上市公司為研究樣本,實證結果指出:(1)當公司盈餘為正時,企業資訊透明度愈低會造成投資者信念愈異質,進而提升較大的股票報酬;但當公司盈餘為負時,企業資訊透明度愈低,仍會造成投資者信念愈異質,但卻會降低股票報酬;(2)在形成期及持有期相對較短的時候,企業資訊透明度較高,會給台灣股票市場帶來較多的動能績效;(3)在形成期相對較短的時候,投資者信念愈異質,會給台灣股票市場帶來較多的動能績效;(4)當企業資訊較透明且投資者信念較異質時,所有投資組合皆可以比企業資訊較不透明且投資者信念較同質之投資組合獲得較高的動能績效。因此,透過本實證結果,可延伸Verardo (2009)的實證研究結果,並補文獻上之不足。
This study tried to take the systematic viewpoint to re-discuss the relationships among corporate transparency, heterogeneous investor beliefs, and stock returns or momentum profits. Samples were obtained from the listed firms in the Taiwan stock market during 2005 to 2011. Our empirical results were as follows: (1) When earning is positive, less corporate transparency may increase higher heterogeneity of investor beliefs, and further boost stock returns; however, when earning is negative, less transparency may still lead more heterogeneous beliefs, but further decrease stock returns; (2) Higher corporate transparency may produce momentum profits in the Taiwan stock market given shorter formation and holding periods; (3) Higher heterogeneity of investor beliefs may produce momentum profits in the Taiwan stock market given shorter formation periods; (4) When simultaneous consideration of both higher corporate transparency and higher heterogeneity of investor beliefs, all portfolios can produce more momentum profits. The empirical findings of this study thus supplemented those of Verardo (2009) and filled a gap in the literature.
期刊論文
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6.Verardo, M.(2009)。Heterogeneous Beliefs and Momentum Profits。Journal of Financial and Quantitative Analysis,44(4),795-822。  new window
7.Pan, L.、Tang, Y.、Xu, J.(2013)。Weekly Momentum by Return Interval Ranking。Pacific-Basin Finance Journal,21,1191-1208。  new window
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15.Cakici, N.、Fabozzi, F. J.、Tan, S.(2013)。Size, Value, and Momentum in Emerging Market Stock Returns。Emerging Markets Review,16,46-65。  new window
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20.Armitage, S.、Marston, C.(2008)。Corporate Disclosure, Cost of Capital and Reputation: Evidence from Finance Directors。British Accounting Review,40(4),314-336。  new window
21.Allen, F.、Morris, S.、Shin, H. S.(2006)。Beauty Contests and Iterated Expectations in Asset Markets。Review of Financial Studies,19(3),719-752。  new window
22.Leland, Hayne E.、Pyle, David H.、Brealey, Richard(1977)。Informational Asymmetries, Financial Structure, and Financial Intermediation。The Journal of Finance,32(2),371-387。  new window
23.Hong, Harrison、Stein, Jeremy C.(2007)。Disagreement and the Stock Market。Journal of Economic Perspectives,21(2),109-128。  new window
24.Jegadeesh, Narasimhan、Titman, Sheridan(2001)。Profitability of momentum strategies: An evaluation of alternative explanations。The Journal of Finance,56(2),699-720。  new window
25.Sagi, Jacob S.、Seasholes, Mark S.(2007)。Firm-Specific Attributes and the Cross-Section of Momentum。Journal of Financial Economics,84(2),389-434。  new window
26.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。  new window
27.Cooper, Michael J.、Gutierrez, Roberto C. Jr.、Hameed, Allaudeen(2004)。Market States and Momentum。Journal of Finance,59(3),1345-1365。  new window
28.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。  new window
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研究報告
1.Makarov, I.、Rytchkov, O.(2009)。Forecasting the Forecasts of Others: Implications for Asset Pricing。Austin:London Business School, University of Texas。  new window
圖書
1.Keynes, John Maynard(1936)。The General Theory of Employment, Interest and Money。Macmillan。  new window
 
 
 
 
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