政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/118856

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51718228 Online Users : 595

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/118856

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/118856

Title:	The 52-week high, momentum, and investor sentiment
Authors:	Hao, Ying 周冠男 Chou, Robin K. Ko, Kuan-Cheng Yang, Nien-Tzu
Contributors:	財管系
Keywords:	52-Week high;Momentum profits;Investor sentiment;Earnings announcement
Date:	2018-05
Issue Date:	2018-07-24 16:14:55 (UTC+8)
Abstract:	This paper examines the link between the profitability of the 52-week high momentum strategy and investor sentiment. We hypothesize that investors` investment decisions are subject to behavioral biases when the level of investor sentiment is high, resulting in higher profits for the 52-week high momentum following high-sentiment periods. Our empirical results confirm this prediction. In addition, we find that the significant profit of the 52-week high momentum following high-sentiment periods persists up to five years. Further investigations show that the strong persistence of the 52-week high winners (losers) is concentrated in stocks with higher (lower) earnings surprises, especially during periods following high sentiment. Overall, our results provide supportive evidence for the anchoring biases in explaining the 52-week high momentum, especially when the role of investor sentiment is taken into account.
Relation:	International Review of Financial Analysis, Volume 57, Pages 167-183
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.irfa.2018.01.014
DOI:	10.1016/j.irfa.2018.01.014
Appears in Collections:	[財務管理學系] 期刊論文

Files in This Item:

File	Description	Size	Format
167-183.pdf		392Kb	Adobe PDF2	581	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...