Limit Hits and Informaitonally-Related Stocks Trading Strategy

• Main Authors: Yeh, Shang-Hao, 葉上豪
• Other Authors: Guo, Jia-Hau
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/33wx79

碩士 === 國立交通大學 === 財務金融研究所 === 106 === There is information asymmetry in the market of limit hits, and this paper hopes to explore whether the investor's behavior biases will affect the future abnormal returns of the informationally-related stocks after the limit hit. This study uses the proportion of natural person transactions as a proxy. The empirical results of this paper show that: (1) The proportion of natural person transactions can indeed predict the abnormal remuneration of informationally-related stocks in the future, and the abnormal remuneration after controlling market risk premium, SMB factor, and HML factor is still significant. (2) There will be an asymmetric abnormal return structure between the upper limit hit and lower limit hit, mainly because the informationally-related stock trading involves a short selling during the time of the lower limit hit, and the investor's behavior biases of the short seller is relatively minor. (3) Institutional investors have the ability to predict the information of limit hits and can respond to informationally-related stocks on the previous day.