| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 88 === In this study, I reexamine stock returns following one-day shocks. Different from previous studies, I take the time of absorbing information when I choose samples. That is; I use these samples that showing a Gap on the chart. The Gap was formed as a jump upward of downward when some significant events occur before the opening prices. Long-term performance and a relationship between a risk and an event are also discussed. Besides, whether irrational behaviors or firm size effect cause rebounds will be reexamined here.
The results show that investors could behave differently as they face different conditions. It seems that investors are more irrational in the condition of significantly negative events. Besides, in different criterion of choosing samples, I find that the more declines on the event date, the more rebounds thereafter. Further, I find that volatilities thereafter are stronger as gaps are deeper. The results show that insider or informed investors try to use their advantage of acquiring information to make profits no matter in what condition. However, they have no significant effect in the condition of positive events.
My finding does not support that firm sizes will cause the rebound different. Although the sign is right but they are insignificant. The proxy of the event has significant explanatory power to an unfavorable event. Therefore, My finding supports the overreaction hypothesis in the short run.
In the aspects of long-term performance, I find that investors undervalue the effects of these significant events. Although a lot of factors affect the long-term performance, I suggest investors seem not to be so irrational even I have taken the time of absorbing information into considerations.
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