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

持续过度反应与股票收益的可预测性

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

摘要：我们研究了基于交易量加权平均衡量的持续过度反应对收益的可预测性。我们发现，买入持续反应过度上升并且卖出持续反应过度下降的股票策略产生了显著的正收益，并且我们对持续反应过度的衡量方法比过去的收益更能预测未来收益。该结果在股票主要被有自我归因偏差倾向的投资者持有时更为显著。我们的结果直接支持基于过度自信和有偏的自我归因的收益可预测性模型。

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.

原文链接：

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

翻译：熊进宗