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題名：Historical High, Time-varying Anchoring Biases, and Stock Return Predictability
書刊名：財務金融學刊
作者：羅文綺／周冠男／柯冠成／楊念慈
作者(外文)：Lo, Wen-chi／Chou, Robin K.／Ko, Kuan-cheng／Yang, Nien-tzu
出版日期：2022
卷期：30:1
頁次：頁57-83
主題關鍵詞：定錨偏誤；歷史高點；時間序列相依；報酬預測；Anchoring biases；Historical high；Time dependence；Return predictability
原始連結：連回原系統網址new window
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  • 點閱點閱:4
期刊論文
1.Bhootra, Ajay、Hur, Jungshik(2013)。The timing of 52-week high price and momentum。Journal of Banking & Finance，37(10)，3773-3782。  new window
2.Fama, Eugene F.、French, Kenneth R.(2015)。A Five-Factor Asset Pricing Model。Journal of Financial Economics，116(1)，1-22。  new window
3.Moskowitz, Tobias J.、Ooi, Yao Hua、Pedersen, Lasse Heje(2012)。Time Series Momentum。Journal of Financial Economics，104(2)，228-250。  new window
4.Li, Jun、Yu, Jianfeng(2012)。Investor Attention, Psychological Anchors, and Stock Return Predictability。Journal of Financial Economics，104(2)，401-419。  new window
5.Driessen, Joost、Lin, Tse-Chun、Van Hemert, Otto(2013)。How the 52-week high and low affect option-implied volatilities and stock return moments。Review of Finance，17(1)，369-401。  new window
6.Lo, Andrew W.、MacKinlay, A. Craig(1990)。When Are Contrarian Profits Due to Stock Market Overreaction?。The Review of Financial Studies，3(2)，175-205。  new window
7.George, Thomas J.、Hwang, Chuan-Yang(2004)。The 52-week High and Momentum Investing。Journal of Finance，59(5)，2145-2176。  new window
8.Shumway, Tyler、Warther, Vincent A.(1999)。The delisting bias in CRSP's Nasdaq data and its implications for the size effect。Journal of Finance，54(6)，2361-2379。  new window
9.Shumway, Tyler(1997)。The Delisting Bias in CRSP Data。Journal of Finance，52(1)，327-340。  new window
10.Lee, Eunju、Piqueira, Natalia(2019)。Behavioral biases of informed traders: Evidence from insider trading on the 52-week high。Journal of Empirical Finance，52，56-75。  new window
11.Bhootra, Ajay(2018)。Another look at anchoring and stock return predictability。Finance Research Letters，25，259-265。  new window
12.Chang, Shu-Lien、Chien, Cheng-Yi、Lee, Hsiu-Chuan、Lin, Ching(2018)。Historical high and stock index returns: Application of the regression kink model。Journal of International Financial Markets, Institutions and Money，52，48-63。  new window
13.Chen, Tao(2018)。Does investor attention matter to renminbi trading?。Singapore Economic Review，63，667-689。  new window
14.Hong, Xin、Jordan, Bradford D.、Liu, Mark H.(2015)。Industry information and the 52-week high effect。Pacific-Basin Finance Journal，32，111-130。  new window
15.Huang, Simon(2022)。The momentum gap and return predictability。Review of Financial Studies，35(7)，3303-3336。  new window
16.Huang, Shiyang、Lin, Tse-Chun、Xiang, Hong(2021)。Psychological barrier and cross-firm return predictability。Journal of Financial Economics，142，338-356。  new window
17.Lee, Eunju、Piqueira, Natalia(2017)。Short selling around the 52-week and historical highs。Journal of Financial Markets，33，75-101。  new window
18.Liu, Ming、Liu, Qianqiu、Ma, Tongshu(2011)。The 52-week high momentum strategy in international stock markets。Journal of International Money and Finance，30，180-204。  new window
19.Ran, Rong、Li, Cheng、Ko, Kuan-Cheng、Yang, Nien-Tzu(2022)。State-dependent psychological anchors and momentum。Finance Research Letters, Forthcoming，46。  new window
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。  new window
21.Jegadeesh, Narasimhan(1990)。Evidence of Predictable Behavior of Security Returns。The Journal of Finance，45(3)，881-898。  new window
22.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。  new window
研究報告
1.Birru, J.(2015)。Psychological barriers, expectational errors, and underreaction to news。  new window
2.Gulen, Huseyin、Petkova, Ralitsa(2018)。Absolute strength: Exploring momentum in stock returns。  new window
 
 
 
 
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