淡江大學機構典藏:Item 987654321/116895
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 55566/89886 (62%)
Visitors : 11020359      Online Users : 32
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116895


    Title: Which drives Abnormal Returns, Over- or Under-reaction? - Empirical Studies using Longitudinal Analysis
    Authors: Liu, Yi-cheng
    Keywords: Abnormal returns;value stocks;growth stocks;under-reaction;over-reaction
    Date: 2014-06
    Issue Date: 2019-06-28 12:10:15 (UTC+8)
    Publisher: UK
    Abstract: In this study, cross-sectional and time series longitudinal analysis were combined to identify that factor anomalies are driven by either over-reaction or under-reaction. The basic principle is, first, use a factor to form ten portfolios in the t quarter, then observe the average prices and returns of the ten portfolios for the previous four quarters and for the following four quarters as well. Finally, we are able to discover the reasons for abnormal returns according to characteristics of the changing processes of average stock prices and returns of the ten portfolios. The samples in this study contain all listed stocks on the US stock market from the fourth quarter of 1990 to the fourth quarter of 2010. The results show that (1) the reason for the abnormal returns of scale, value (book-to-price ratios, earnings-to-price ratios, sales-to-price ratios), and liquidity factors is over-reaction, and (2) the reason for the abnormal returns of growth factors (return on equity, return on assets, and revenue growth rate) is under-reaction.
    Relation: Applied Economics 46(26), p.3224-3235
    DOI: 10.1080/00036846.2014.925081
    Appears in Collections:[Graduate Institute & Department of International Business] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML9View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback