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


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    題名: The 52-week high, momentum, and investor sentiment
    作者: Hao, Ying
    周冠男
    Chou, Robin K.
    Ko, Kuan-Cheng
    Yang, Nien-Tzu
    貢獻者: 財管系
    關鍵詞: 52-Week high;Momentum profits;Investor sentiment;Earnings announcement
    日期: 2018-05
    上傳時間: 2018-07-24 16:14:55 (UTC+8)
    摘要: 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.
    關聯: International Review of Financial Analysis, Volume 57, Pages 167-183
    資料類型: article
    DOI 連結: https://doi.org/10.1016/j.irfa.2018.01.014
    DOI: 10.1016/j.irfa.2018.01.014
    顯示於類別:[財務管理學系] 期刊論文

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