摘要 :
Purpose - The existing literature about return reversal effect in Chinese stock markets is inconclusive and controversial. Therefore, the purpose of this paper is to investigate the presence of return reversal effect in the Shangh...
展开
Purpose - The existing literature about return reversal effect in Chinese stock markets is inconclusive and controversial. Therefore, the purpose of this paper is to investigate the presence of return reversal effect in the Shanghai A stock market. Design/methodology/approach - The authors used the late-stage contrarian strategy of Malin and Bornholt (2013) for the period March 2011-March 2016. Findings - The results show that there is a long-term return reversal effect in the Shanghai A stock market for the period March 2011-March 2016. When portfolios are in the formation period (P=24 months), the excess returns are significant in the holding period, Q=6,9,12,24 months. Further, there is also a significant short-term momentum effect in the Shanghai A stock market. For the robustness check, a new reversal factor was introduced into the Fama-French three-factor model. Results show that portfolios have a smaller size and have lower book-to-market ratios; the return reversal factor explains a portion of the abnormal returns and coefficient of the reversal effect is significant. Research limitations/implications - The authors caution readers from generalizing the findings of this study, as the sample is small and the focus is only on A stocks listed on the Shanghai Stock Exchange. Originality/value - The present research expands the current literature by providing a comprehensive information about the presence of the long-term and short-term return reversal effects in Shanghai A stock market. Furthermore, the Chinese stock markets have distinctive features in comparison to the developed stock markets in terms of government control, institutional structure, liquidity, cultural background, etc. Such differences affect the pattern in stock returns compared with those observed in developed stock markets. Contrary to previous studies, the present study also accounts for robustness checks. Finally, it also evaluates the possible reasons for the return reversal effect in the Shanghai market.
收起
摘要 :
The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering ...
展开
The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% and 2.17% in the second and third month, respectively. In addition, the differences in cumulative abnormal returns between the loser and winner portfolios were significantly positive for almost all tracking periods. These findings support the hypothesis that the Vietnam stock market is inefficient in its weak form. Based on these results, we suggest that investors can earn abnormal returns by using contrarian trading strategies in the Vietnam stock market.
收起
摘要 :
This paper investigates the role of the frequency of price overreactions in the cryp-tocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carr...
展开
This paper investigates the role of the frequency of price overreactions in the cryp-tocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical methods (both parametric and non-parametric) including ADF tests, Granger causality tests, correlation analysis, regression analysis with dummy variables, ARIMA and ARMAX models, neural net models, and VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (ⅰ) is informative about Bitcoin price movements (H1) and (ⅱ) exhibits no seasonality (H2). On the whole, the results suggest that it can provide useful information to predict price dynamics in the cryptocurrency market and for designing trading strategies (H1 cannot be rejected), whilst there is no evidence of seasonality (H2 cannot be rejected).
收起
摘要 :
Two U.S. specialists (on the governance and foreign policy aspects of China'spublic health issues as well as its human and medical geography) examine how two dif-ferent sets of policies implemented by the government of China have ...
展开
Two U.S. specialists (on the governance and foreign policy aspects of China'spublic health issues as well as its human and medical geography) examine how two dif-ferent sets of policies implemented by the government of China have affected both thegeography and political ecology of pandemic disease outbreaks (HIV/AIDS, SARS, andHIN1) over the past two decades. More specifically, they argue that: (I) broad develop-ment and reform policies largely responsible for China's rapid modernization/urbaniza-tion and increasingly successful perfomance in the global economic arena have generatedunexpected side-effects in terms of the location, incidence, and spread of pandemics aswell as the state's capacity to mount an adequate health care response; and (2) politicallymotivated public health policies implemented in response to the spread of specific pan-demics in China have had unanticipated impacts on the progression of disease outbreaksand their outcomes. Journal of Economic Literature, Classification Numbers: H510, H750,1180.3 figures, 2 tables, 76 references. Key words: China, pandemics, public health, HIV/AIDS, SARS, H IN I, herd community effect, urban consumption, quarantine, vaccination,political intervention.
收起
摘要 :
This paper aims to gain more insight into the implications of information provision to drivers on the performance of road transport networks with recurrent congestion. For this purpose, a simulation program consisting of three com...
展开
This paper aims to gain more insight into the implications of information provision to drivers on the performance of road transport networks with recurrent congestion. For this purpose, a simulation program consisting of three components has been written. The first component is the traffic simulation model, the second component is the information provision mechanism, and the third component monitors the behavioural decision-making process of the drivers, which is modelled using a utility-based satisficing principle. Three types of information provision mechanisms will be considered: information based upon own-experience, after-trip information and real-time en route information. The findings in this paper, obtained in a hypothetical context, underline the important relationship between overreaction, the level of market penetration and the quality of the information. High quality information allows a high level of market penetration, while low quality information, even when provided at low levels of market penetration, induces overreaction. Furthermore, real-time en route information is in particular beneficial during the process leading to a steady state; it reduces the variance in travel time considerably. The paper concludes with a discussion on the market potential of motorist information systems when commercially marketed.
收起
摘要 :
We design a new measure and find that the predictability of past returns on future returns increases as stocks respond with delay to firm-specific information. Our results suggest that momentum is caused by both investors' underre...
展开
We design a new measure and find that the predictability of past returns on future returns increases as stocks respond with delay to firm-specific information. Our results suggest that momentum is caused by both investors' underreaction and overreaction to information. However, underreaction to information seems to be the primary cause, particularly during the more recent period. Our findings are robust for recent explanations of momentum profits and alternative methods for computing our measure. We also find that stocks respond with delay to firm-specific information, partly due to certain firm characteristics, and partly because they escape investor attention due to their low visibility. Our paper extends and refines Jegadeesh and Titman's (J Financ 56(2):699-720, 2001) finding that momentum profits are consistent with behavioral models' predictions regarding investors' overreaction.
收起
摘要 :
This paper examines the impact of differences of opinion (DIFOPN) on long-term price reversals using all of the common stocks listed on the Taiwan Stock Exchange over the period of 1990-2008. We choose winners and losers ranked by...
展开
This paper examines the impact of differences of opinion (DIFOPN) on long-term price reversals using all of the common stocks listed on the Taiwan Stock Exchange over the period of 1990-2008. We choose winners and losers ranked by their cumulative abnormal returns (CARs) over the three-year formation period. The performance of the winners and losers is evaluated over the subsequent one-year holding periods. The empirical results indicate that DIFOPN are generally positively related to price reversals in the holding period for both winners and losers. When DIFOPN are measured by the financial analysts' forecasts of earnings per share and by the standard deviation of stock returns, the association between DIFOPN and price reversals is significantly different from zero. This relationship is robust when such control variables as market-to-book ratios, size, and beta are included.
收起
摘要 :
This paper offers out-of-sample evidence of subsequent short-term abnormal returns for stocks experiencing a price change of 10% or more in either direction on the German stock market between 1988 and 2007. First, we find signific...
展开
This paper offers out-of-sample evidence of subsequent short-term abnormal returns for stocks experiencing a price change of 10% or more in either direction on the German stock market between 1988 and 2007. First, we find significant evidence of overreaction which is not exclusively concentrated in small-caps. Second, some well documented anomalies and stock characteristics seem to exhibit explanatory power. However, when controlling for size only a reversal effect can pervasively explain the abnormal 1-day stock market reaction to price shocks. Third, due to transaction costs and unpredictable market sentiment these anomalies can hardly be exploited. After all, our robust findings suggest no violation of the efficient market hypothesis.
收起
摘要 :
This study examines the return patterns of hotel real estate stocks in the U.S. during the period from 1990 to 2007.We find that the magnitude and persistence of future mean returns of hotel real estate stocks can be predicted bas...
展开
This study examines the return patterns of hotel real estate stocks in the U.S. during the period from 1990 to 2007.We find that the magnitude and persistence of future mean returns of hotel real estate stocks can be predicted based on past returns, past earnings surprise, trading volume, firm size, and holding period. The empirical evidence found from this paper confirms that short-horizon contrarian profits can be partially explained by the lead-lag effects, while in the intermediate-term price momentum profits and long-term contrarian profits can be partially attributed to the firms' overreaction to past price changes. Our results support the contrarian/overreaction hypothesis, and they are inconsistent with the Fama-French risk-based hypothesis or the underreaction hypothesis. The study also confirms the earning underreaction hypothesis and finds the high volume stocks tend to earn high momentum profits in the intermediate-term. The study finds that the earning momentum effect for hotel stocks is more short-lived and smaller in magnitude than the market average. Price momentum portfolios (or contrarian portfolios) of big hotel firms underperform small hotel firms and the hotel price momentum portfolio (or contrarian portfolios) significantly underperform the overall market over the intermediate-term (or the long-term). These findings imply that the U.S. hotel industry, particularly the big hotel firms, have experienced relatively conservative growth in the sample period. It suggests that a conservative hotel growth strategy accompanied by an internal-oriented financing policy is proper in a period of prosperity.
收起
摘要 :
The main objective of this article is to examine the long-term overreaction for all listed shares in the Egyptian Stock Exchange. I find evidence of long-term overreaction which is not due to size effect. Therefore, a contrarian s...
展开
The main objective of this article is to examine the long-term overreaction for all listed shares in the Egyptian Stock Exchange. I find evidence of long-term overreaction which is not due to size effect. Therefore, a contrarian strategy by buying losers and selling winners is likely to be profitable. The findings also suggest that the overreaction phenomenon in the Egyptian stock market is not sensitive to the length of the formation period. Interestingly, I find a link between the regulatory policies and long-term overreaction as I find no evidence of investor overreaction within the strict price limit regime. On the other hand, the over-reaction phenomenon is clear during the circuit-breaker regime. The findings also show that the overreaction phenomenon in the Egyptian Stock Exchange cannot be attributed to the seasonality effect.
收起
原文获取