Performance Analysis of Short-Selling Strategy on Over-trading Stocks

• Main Authors: HUANG,I-LING, 黃依玲
• Other Authors: LIN,CHAO-HSIEN
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/vyy5s6

碩士 === 國立高雄第一科技大學 === 財務管理系碩士專班 === 105 === Overconfidence is one of the most common behaviors of people, and in behavioral finance is also widely believed that excessive transactions are caused by overconfidence. In many of the literature on behavioral finance also pointed out: excessive trading will reduce the rate of return. Building upon the literature in behavioral finance, we hypothesize that overconfidence-driven trading would generate exorbitant stock prices in the short run and then lead to a sharp drop for that stock price. This study is from Jan 2014 to Dec 2016 in Taiwan listed stock as a sample, selected from the sample stock price has fallen 10% of the stocks to implement the strategy to see whether the stock price as the literature said: Continue to fall. The results show that the selected 486 stock shortcuts, 71% of the stocks (343 files) have a negative reward .29% of the stocks (143 files) have positive reward. This also provides a way for investors to obtain excess compensation.