Return Analysis of Lottery-Type Stocks

• Main Author: 張簡敏巧
• Other Authors: 簡正儀
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/18524631774559334141

碩士 === 逢甲大學 === 財務金融學系碩士班 === 104 === This study examines the impact of extreme positive returns on future stock performance in the Taiwan stock market. The sample period in this study is from August, 2014 to March, 2016. Using the method proposed by Bali et al. (2011), this study first investigates the influence of extreme positive returns with and without price limits. This study further does a robustness check with considering firm characteristics. The empirical results indicate that, with price limits, extreme positive returns will result in negative returns in the next month. However, without price limits, the effect becomes weaker. Then this study adds firm characteristics, including size, B/M, volatility and skewness, into consideration respectively. The results show that, extreme positive returns have negative impact on next returns in the stocks with smaller size and higher volatility.