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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 邱顯比 | |
dc.contributor.author | Tzu-Chiao Shen | en |
dc.contributor.author | 沈子喬 | zh_TW |
dc.date.accessioned | 2021-06-13T16:43:53Z | - |
dc.date.available | 2005-07-20 | |
dc.date.copyright | 2005-07-20 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-06-30 | |
dc.identifier.citation | Reference
1. Barberis, N., Ming Huang and Tano Santos, 2001, “Prospect theory and asset prices”, Quarterly Journal of Economics, February, 2001. 2. Barberis, N., Andrei Shleifer, and Robert Vishny, 1998,” A model of investor sentiment”, Journal of Financial Economics 49, 307–343. 3. Chan, Louis K. C.; Narasimhan Jegadeesh; Josef Lakonishok, 1996, “Momentum Strategies”, Journal of Finance, Vol. 51, No. 5 (Dec., 1996), 1681-1713 4. Cooper, Michael J., Roberto C. Gutierrez Jr., and Allaudeen Hameed, 2004, “Market States and Momentum”, Journal of Finance, June, 2004. 5. Coval, Joshua D. and Tyler Shumway, 2005, “Do Behavioral Biases Affect Prices?”, Journal of Finance, February 2005. 6. Daniel, K., David Hirshleifer, and Avanidhar Subrahmanyam, 1998, “Investor psychology and investor security market under-and overreactions”, Journal of Finance 53, 1839–1886. 7. De Bondt, Werner F. M. and Richard Thaler, 1985, “Does the Stock Market Overreact?”, Journal of Finance, Vol. 40, No. 3, (Jul., 1985), 793-805. 8. DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert Waldmann,1990, “Positive feedback investment strategies and destabilizing rational speculation,” Journal of Finance 45, 379-395 9. Fama, Eugene, 1998, “Market efficiency, long-term returns, and behavioral finance”, Journal of Financial economics, 49 (1998) 283-306. 10. Frazzini, Andrea, 2004, “The Disposition Effect and Under-reaction to News”, Yale ICF Working Paper No. 04-24, July 2004. 11. Grinblatt, M. and Bing Han, 2002, “The disposition effect and momentum”, NBER Working Paper No. 8734. 12. Hirshleifer, David, 2001, “Investor Psychology and Asset Pricing”, Journal of Finance, August, 2001, 1533-1597. 13. Hong, H., and Jeremy Stein, 1999, “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets”, Journal of Finance 54, 2143–2184. 14. Jegadeesh, N. and Sheridan Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, Journal of Finance, Vol. 48, No. 1 (Mar., 1993), 65-91. 15. Jegadeesh, N. and Sheridan Titman, 2001, “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, Journal of Finance, April 2001. 16. Lee, Charles M.C. and Bhaskaran Swaminathan, 2000, “Price momentum and trading volume,” Journal of Finance 55, No.5, 2017-2069. 17. Lo, Andrew W., and A. Craig Mackinlay, 1990, “When are contrarian profits due to stock market overreaction?”, Review of Financial Studies 3, 175-208. 18. Oehler A., Klaus Heilmann, Volker La¨ger, and Michael Oberla¨nder, 2003, “Coexistence of disposition investors and momentum traders in stock markets: experimental evidence”, Journal of Int. Financial Markets, Inst. and Money, 13 (2003) 503-524 19. Rouwenhorst, K. Geert, 1998, “International momentum strategies,” Journal of Finance, 53, 267-284 20. Shefrin, H., and Meir Statman, 1985, “The disposition to sell winners too early and ride losers too long: Theory and evidence,” Journal of Finance 40 777-90 21. Shiller, R., 1990, “Market volatility and investor behavior”, American Economic Review, 80, no.2, 58-62. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38732 | - |
dc.description.abstract | Abstract
Momentum strategy has survived many robust tests, but the existence of its accompanying reversal effects remains in dispute. In this research we modeled a market that contained three types of widely recognized investors: the rational investor, the disposition effect investor, and the trend chaser. Our model shows that if the disposition effect dominates the market, then the stock price under-reacts to news and causes an under-reaction. Conversely, if the trend chasing effect rules the market, then the stock price over-reacts to fundamental changes and this deviation induces a subsequent price reversal. Thus, the market composition of these two effects decides the price (return) patterns, as well as the price volatility relative to fundamental changes. Furthermore, we show that the high trading volume shortens the life of momentum profits, and unrealized capital gains are a less noisy predictor than past fundamental changes. Finally, we also present a simple way to distinguish whether the disposition effect or the trend chasing effect takes control of the market. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T16:43:53Z (GMT). No. of bitstreams: 1 ntu-94-R92723030-1.pdf: 255192 bytes, checksum: 5930497f235f74959d1aa4a3784d8e97 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | Index
Section I: Introduction 1 Section II: The Model and the Equilibrium 6 II.A: The Model 6 II.B: The Equilibrium 9 Section III: Price and Return Dynamics 15 Section IV: Estimate the Market Composition 23 Section V: Conclusion 31 Reference 33 | |
dc.language.iso | en | |
dc.title | A General theory of Under-reaction and Overreaction in Stock Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 93-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 陳業寧 | |
dc.contributor.oralexamcommittee | 胡星陽,韓千山 | |
dc.subject.keyword | 錯置效果,市場模型,過度反應,動量策略, | zh_TW |
dc.subject.keyword | Disposition effect,Trend Chasing,Underreaction,Overreaction,Momentum,Reversal, | en |
dc.relation.page | 34 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2005-06-30 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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