کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9553134 | 1375178 | 2005 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Overreaction effects independent of risk and characteristics: evidence from the Japanese stock market
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper shows that the firm size (SZ) and the book-to-market ratio (BM) cannot fully explain stock returns on prior-return-based portfolios in Japan. The overreaction effect after controlling for SZ and BM effects is significant and plays an important role in explaining the zero-investment returns on the loser-to-winner strategy. Motivated by this observation, we construct a portfolio whose return serves as a new factor that mimics overreaction. This new factor improves the performances of the three-factor model [Fama, E.F., French, K.R., 1993. Common Risk Factors in The Returns on Stocks and Bonds. Journal of Financial Economics. 33, 3-56] in several prior-return-based and characteristics-based portfolios.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Japan and the World Economy - Volume 17, Issue 4, December 2005, Pages 431-455
Journal: Japan and the World Economy - Volume 17, Issue 4, December 2005, Pages 431-455
نویسندگان
Chaoshin Chiao, C. James Hueng,