Journal of Empirical Finance · VOLUME 41 · FEBUARY 2017

过度反应和横截面回报：来自国际市场的证据

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

摘要：很多理论都推测价格动量效应和价格反转效应之间存在联系。在国际股权回报的范畴下，有大量的证据表明动量效应是存在的，然而对于大规模的长期价格反转效应却没有很多的研究。本文研究了1993年到2014年间北美、欧洲、日本和亚洲区的23个发达国家市场，发现了支持长期价格反转现象的证据；在过去三年间表现不好的股票相对表现好的股票存在正回报差，并且这个回报差在经济意义和统计意义上都是显著的。最后作者使用Fama-MacBeth回归方法对于规模因子、账面市值比因子和动量因子这三个因子两两独立排序进行控制，研究结果依然是显著的。

关键词：回报预测、过度反应、长期反转效应、市场有效性、横截面收益、国际资产定价

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

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539817300075

翻译：殷曼琳