Journal of Empirical Finance · VOLUME 41 · FEBUARY 2017

過度反應和橫截面回報：來自國際市場的證據

作者：Douglas W. Blackburn (Finance and Business Economics, Fordham University), Nusret Cakici (Finance and Business Economics, Fordham University)

摘要：很多理論都推測價格動量效應和價格反轉效應之間存在聯系。在國際股權回報的範疇下，有大量的證據表明動量效應是存在的，然而對于大規模的長期價格反轉效應卻沒有很多的研究。本文研究了1993年到2014年間北美、歐洲、日本和亞洲區的23個發達國家市場，發現了支持長期價格反轉現象的證據；在過去三年間表現不好的股票相對表現好的股票存在正回報差，并且這個回報差在經濟意義和統計意義上都是顯著的。最後作者使用Fama-MacBeth回歸方法對于規模因子、賬面市值比因子和動量因子這三個因子兩兩獨立排序進行控制，研究結果依然是顯著的。

關鍵詞：回報預測、過度反應、長期反轉效應、市場有效性、橫截面收益、國際資産定價

Overreaction and the Cross-Section of Returns: International Evidence

Douglas W. Blackburn (Finance and Business Economics, Fordham University), Nusret Cakici (Finance and Business Economics, Fordham University)

ABSTRACT

A number of theories have linked price momentum with price reversals. While significant empirical evidence has shown the presence of momentum in global equity returns, there have been no large-scale global studies of the subsequent long-term price reversal. We study returns from twenty-three developed countries categorized into the regions of North America, Europe, Japan, and Asia, over 1993–2014 and find evidence supporting the global presence of long-term price reversals. The positive return differential between loser stocks over the past three years and winner stocks over the past three years is economically and statistically significant. Results from independent double sorts and from Fama-MacBeth regressions show that long-term reversals remain significant after controlling for size, book-to-market equity, and momentum.

Keywords: Return predictability; overreaction; long-term reversals; market efficiency; cross-section of returns; international asset pricing

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927539817300075

翻譯：殷曼琳