دانلود مقاله ISI انگلیسی شماره 100987
ترجمه فارسی عنوان مقاله

ادامه حرکت و تحول در یک بازار با محدودیت قیمت

عنوان انگلیسی
Continuing overreaction and momentum in a market with price limits
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
100987 2018 16 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Pacific-Basin Finance Journal, Volume 48, April 2018, Pages 56-71

پیش نمایش مقاله
پیش نمایش مقاله  ادامه حرکت و تحول در یک بازار با محدودیت قیمت

چکیده انگلیسی

In this paper, we document strong return predictability for continuing overreaction in Taiwan, a market without the existence of momentum for conventional momentum strategies. Using signed volume to proxy for the level of continuing overreaction, we show that the strategy that buys stocks with upward continuing overreaction and short sells those with downward continuing overreaction generates both intermediate-term continuations and long-term reversals in this market. The evidence is consistent with the prediction of the model based on investor overconfidence and biased self-attribution in predicting future stock returns. We further examine the impact of price limits on this overreaction-based return predictability by isolating the information embedded in signed volumes for limit-hit and non-hit days, respectively. The findings indicate that the imposition of price limits seems to restrain investors' overreaction behavior and that trading volume in non-hit days is a cleaner measure to capture the level of investor overconfidence in generating intermediate-term continuations and long-term reversals.