政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/142006

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/142006

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/142006

Title:	Historical High, Time-Varying Anchoring Biases, and Stock Return Predictability 歷史高點、時變定錨偏誤與股票報酬可預測性
Authors:	周冠男;羅文綺;柯冠成;楊念慈 Chou, Robin K.;Lo, Wen-chi;Ko, Kuan-cheng;Yang, Nien-tzu
Contributors:	財管系
Keywords:	Anchoring biases;Historical high;Time dependence;Return predictability 定錨偏誤;歷史高點;時間序列相依;報酬預測
Date:	2022-03
Issue Date:	2022-09-21 11:08:05 (UTC+8)
Abstract:	Existing evidence on the return predictability implied by the nearness to the historical high (NH) is inconclusive. We revisit this issue by introducing the role of time-varying anchoring biases in affecting stock return predictability. We develop a dynamic historical-high (DHH) momentum strategy by buying (short selling) stocks with the most recent NH ranked in the top (bottom) decile of the historical distribution. The DHH momentum consistently generates significant profits that are not sensitive to the exclusions of January months and/or penny stocks. More importantly, the DHH momentum profits completely subsume the historical high momentum profits, but not vice versa. 本文檢驗定錨偏誤的時變特性，來探討個股價格對歷史高點比率的報酬預測性，我們提出動態歷史高點的動能策略，透過買進股價格對歷史高點比率位於歷史分配前10%的個股並放空此比率位於歷史分配後10%的個股，可獲取穩定之動能報酬，同時不受到元月與低價股效應的影響。進一步，動態歷史高點動能策略可完全解釋歷史高點動能策略。
Relation:	Journal of Financial Studies(財務金融學刊), Vol.30, No.1, pp.57-83
Data Type:	article
DOI 連結:	https://doi.org/10.6545/JFS.202203_30(1).0003
DOI:	10.6545/JFS.202203_30(1).0003
Appears in Collections:	[財務管理學系] 期刊論文

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