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題名:臺灣股票市場反向修正現象之實證研究
書刊名:交大管理學報
作者:何怡滿 引用關係康信鴻 引用關係
作者(外文):Ho, EmilyKang, Hsin-hong
出版日期:1999
卷期:19:2
頁次:頁181-201
主題關鍵詞:反向修正贏家輸家Reversal phenomenonWinnerLoser
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:9
  • 點閱點閱:30
     有許多文獻的研究結果發現,股票報酬有反向修正的現象,在測試期當中,輸家組合會有正的超額報酬,贏家組合有負的超額報酬,且輪家組合超額報酬大於贏家組合超額報酬。本文以不同的報酬衡量方式探討臺灣股市是否有反向修正現象存在,並且考量在風險調整後是否仍有反向修正現象存在。研究期間自民國70年1月至86年12月,選取60家上市公司進行研究。本文研究結果顯示,輸家組合有顯著的正超額報酬,並且在調整風險之後,輸家組合仍有反向修正現象存在。
     Many researches found that reversal phenomenon should be predictable from past price performance. Excess returns for prior losers in the test period are positive. For prior winners, excess returns are negative. Prior losers significantly outperform prior winners. This paper examines the reversal phenomenon on the Taiwan stock market. This paper uses a different way to account returns, and obtains estimates of risk-adjusted returns. The research period lasted from January 1981 to December 1997. Sixty issues are chosen as the sample in this study. Our findings indicate that excess returns for losers are significantly positive. We also find that the reversal phenomenon for losers still exists after the use of risk-adjusted returns.
期刊論文
1.Zarowin, P.(1990)。Size, Seasonality and Stock Market Overreaction。Journal of Financial and Quantitative Analysis,25(1),113-126。  new window
2.Pettengill, Glenn N.、Jordan, Bradford D.(1990)。The overreaction Hypothesis, Firm Size, and Stock Market Seasonality。The Journal of Portfolio Management,16(3),60-64。  new window
3.李存修、林欽龍(19931100)。臺灣股市長短期過度反應之存在性與季節性。社會科學論叢,41,139-159。  延伸查詢new window
4.Kaul, Gautam、Nimalendran, M.(1990)。Price Reversals: Bid-ask Errors or Market Overreaction?。Journal of Financial Economics,28(1/2),67-93。  new window
5.Chan, Kakeung C.(1988)。On the Contrarian Investment Strategy。The Journal of Business,61(2),147-163。  new window
6.絲文銘(19941000)。股票市場過度反應與風險變化關係之探討。證券市場發展,24,1-40。new window  延伸查詢new window
7.吳麗瑩(19881000)。七十六年臺灣股價變動之過度反應檢定。企銀季刊,12(2),38-53。  延伸查詢new window
8.Conrad, Jennifer、Kaul, Gautam(1993)。Long-term Market Overreaction or Biases in Computed Returns?。The Journal of Finance,48(1),39-63。  new window
9.Zarowin, Paul(1989)。Short-run Market Overreact: Size and Seasonality Effects。Journal of Portfolio Management,15(3),26-29。  new window
10.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics,35(1),143-159。  new window
11.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
12.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。  new window
13.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
14.Arrow, K. J.(1982)。Risk Perception in Psychology and Economics。Economic Inquiry,20,1-9。  new window
15.Howe, J. S.(1986)。Evidence of Stock Market Overreaction。Financial Analysts Journal,42,74-77。  new window
學位論文
1.詹家昌(1991)。臺灣股票市場過度反應之實證研究(碩士論文)。私立東海大學。  延伸查詢new window
2.謝政能(1991)。台灣股票市場過度反應之研究(碩士論文)。國立中山大學。  延伸查詢new window
3.洪祥文(1988)。臺灣股票市場投資者過度反應之研究,0。  延伸查詢new window
圖書
1.Keynes, J. M.(1964)。The General Theory of Employment, Interest and Money。The General Theory of Employment, Interest and Money。London, UK。  new window
 
 
 
 
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