Pacific-Basin Finance Journal ? February 2018 ? Volume 48, Pages 56-71

价格限制下市场的持续过度反应与动量

作者：Nien-Tzu Yang(Department of Business Management, National United University, Miaoli, Taiwan)

Hsiang-Hui Chu(Department of Banking and Finance, National Chi Nan University, Puli, Taiwan)

Kuan-Cheng Ko(Department of Banking and Finance, National Chi Nan University, Puli, Taiwan)

Shiou-Wen Lee(Department of Banking and Finance, National Chi Nan University, Puli, Taiwan)

摘要：在本文中，我们证明在台湾市场——这个没有传统动量策略即无动量效应存在的市场，由于持续过度反应的强回报可预测性。利用有符号成交量来代表持续过度反应的水平，我们表明买进向上持续反应过度的股票和卖空向下持续反应过度的股票的策略在该市场产生中期持续和长期逆转。该结果与基于投资者过度自信和偏向自我归因的模型预测未来股票收益的预测是一致的。我们进一步研究价格限制对这种基于过度反应的回报可预测性的影响，通过分离符号成交量中的信息对在有限制冲击和无限制冲击的情况分别分析。研究结果显示，实施价格限制似乎抑制了投资者的过度反应行为，且在无限制冲击日的交易量是衡量使投资者产生中期连续性和长期逆转的过度信心的一个更清晰的指标。

关键词：持续过度反应；动量；价格限制；台湾股票市场

Continuing overreaction and momentum in a market with price limits

Nien-Tzu Yang(Department of Business Management, National United University, Miaoli, Taiwan), Hsiang-Hui Chu(Department of Banking and Finance, National Chi Nan University, Puli, Taiwan), Kuan-Cheng Ko(Department of Banking and Finance, National Chi Nan University, Puli, Taiwan), Shiou-Wen Lee(Department of Banking and Finance, National Chi Nan University, Puli, Taiwan)

ABSTRACT

In this paper, we document strong return predictability for continuing overreaction in Taiwan, a market without the existence of momentum for conventional momentum strategies. Using signed volume to proxy for the level of continuing overreaction, we show that the strategy that buys stocks with upward continuing overreaction and short sells those with downward continuing overreaction generates both intermediate-term continuations and long-term reversals in this market. The evidence is consistent with the prediction of the model based on investor overconfidence and biased self-attribution in predicting future stock returns. We further examine the impact of price limits on this overreaction-based return predictability by isolating the information embedded in signed volumes for limit-hit and non-hit days, respectively. The findings indicate that the imposition of price limits seems to restrain investors' overreaction behavior and that trading volume in non-hit days is a cleaner measure to capture the level of investor overconfidence in generating intermediate-term continuations and long-term reversals.

Keywords: Continuing overreaction, Momentum, Price limits, Taiwan stock market

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927538X17301221#!

翻译：施懿