Examining market efficiency through the combination of financial information

• Main Authors: Jian-Wei Huang, 黃健瑋
• Other Authors: Hsin-Yi Yu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/73513044493345614042

碩士 === 國立高雄大學 === 金融管理學系碩士班 === 100 === Anomalies are widely discussed by academic and practical area. The purpose of this study is to provide evidence for examining market efficiency through the combination of financial information. We double sort stocks based on the range of annual high/low price and the growth of total asset return. Monthly data in Taiwan from 1990 to 2011 are used. The returns earned under the double partition cannot be subsumed by multifactor models. The findings are robust under different time partition, sample partition, and holding periods. Moreover, we also show that randomly double sort stocks based on other firm-level characteristics cannot obtain robust risk-adjusted returns, which implies that our findings are not due to data snooping. The causes of the risk-adjusted returns found in this study is worthy of further examination.