Overreaction Hypothesis and size effect in Taiwan Electronic Stocks

• Main Authors: Pei-Chiang Lu, 呂倍強
• Other Authors: Yen-Sen Ni
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/20211527548572317657

碩士 === 淡江大學 === 管理科學學系 === 88 === We use the weekly return data from the first week in 1995 to the 8th in 1999 to discuss if the behavior of electronic stocks is according to the overreaction hypothesis. We use the weekly data instead of daily data as former review, because the variance of daily data is larger and there are some limits in Taiwan’s stock market; therefore, the weekly data can really react the short-run trend. Besides, we classify the electronic stocks according to the size, there are large, median, and small, to test if the stock behavior is according to the overreaction hypothesis. Here, we mainly discuss the strategies, the first one is to buy the loser and sell the winner at the same time (contrary strategy), which is the two-way strategy, and the other one is buy the winner or sell the loser at this time, which is a one-way strategy. We now discuss separately these two strategies if there is abnormal return in the situation. Without considering size effect, the results show that the first strategy (contrary strategy) will get the negative excess return; the second one shows it is obvious the excess return from sell the loser is more than that from buy the winner. This indicates that Taiwan’s electronic stocks get “the winner is keeping on upping and the loser is on downing.” Moreover, when considering size effect, the first strategy still gets the negative excess return but in small size, the effect is not as obvious as what is in large or median size. On the other hand, to buy the winner portfolio shows it will produce positive abnormal return when buying the small or median ones; however, it is not significant in large ones. To sell the loser, it will get the excess return whatever size it is, especially when selling the large-size loser. There is a big finding in size effect, the evidence shows Taiwan’s electronic stocks get “the winner is keeping on upping and the loser is on downing.” In result, the invest strategies are that it will get profits in whatever size it is while using the first strategy; when only buying winner portfolio, it is more possible to get profits in small and median size; when only selling the loser portfolio, it is more profitable in large size. 第一章 緒論 1 1.1 研究背景 1 1.2 研究動機與目的 2 1.3 研究流程與架構 4 第二章 文獻探討 6 2.1 理論依據 6 2.2 國外相關實證文獻 9 2.3 國內相關實證文獻 15 第三章 研究方法 24 3.1 研究期間與選樣標準 24 3.2 研究模式的選取 27 3.3 研究設計 30 3.4 研究假設與統計檢定 37 3.5 研究限制 43 第四章 實證結果與分析 44 4.1 市場模式之建立 44 4.2 未控制公司規模前的實證結果 48 4.3 控制公司規模後的實證結果 52 第五章 結論與建議 66 5.1 結論 66 5.2 建議 67 參考文獻 69