Journal of Financial and Quantitative Analysis · Volume 51, Issue 6 December 2016, pp. 2015-2046

持續過度反應與股票收益的可預測性

作者：Suk Joon Byun (KAIST College of Business), Sonya S. Lim (DePaul University), Sang Hyun Yung (PINE Investment Advisory)

摘要：我們研究了基于交易量加權平均衡量的持續過度反應對收益的可預測性。我們發現，買入持續反應過度上升并且賣出持續反應過度下降的股票策略産生了顯著的正收益，并且我們對持續反應過度的衡量方法比過去的收益更能預測未來收益。該結果在股票主要被有自我歸因偏差傾向的投資者持有時更為顯著。我們的結果直接支持基于過度自信和有偏的自我歸因的收益可預測性模型。

Continuing Overreaction and Stock Return Predictability

Suk Joon Byun (KAIST College of Business), Sonya S. Lim (DePaul University), Sang Hyun Yung (PINE Investment Advisory)

ABSTRACT

We study the return predictability of a measure of continuing overreaction based on the weighted average of signed volumes. We find that the strategies of buying stocks with upward continuing overreaction and selling stocks with downward continuing overreaction generate significant positive returns and that our measure of continuing overreaction is a better predictor of future returns than past returns. The results are stronger among stocks primarily held by investors more prone to biased self-attribution. Our results provide direct support for the model of return predictability based on overconfidence and biased self-attribution.

原文鍊接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitlecontinuing-overreaction-and-stock-return-predictabilitydiv/A97DDAC507CBDBAEBD4CCB50A84D3577

翻譯：熊進宗