A Study on the Correlation between Contrarian Investment Strategy and Investors Overreaction

碩士 === 逢甲大學 === 財務金融學系 === 107 === This study uses the component stocks of Taiwan 50 index and Taiwan mid-cap 100 index from 2006 to 2018 annual data as a sample. Based on the company's market capitalization as a transition variable, we explore whether there is a non-linear relation- ship betwe...

Full description

Bibliographic Details
Main Authors: HUANG, PEI-HSUAN, 黃姵瑄
Other Authors: CHIANG, GENG-NAN
Format: Others
Language:zh-TW
Published: 2019
Online Access:http://ndltd.ncl.edu.tw/handle/4575j7
id ndltd-TW-107FCU00304022
record_format oai_dc
spelling ndltd-TW-107FCU003040222019-08-15T03:37:57Z http://ndltd.ncl.edu.tw/handle/4575j7 A Study on the Correlation between Contrarian Investment Strategy and Investors Overreaction 逆向投資策略與投資人過度反應關聯性之研究 HUANG, PEI-HSUAN 黃姵瑄 碩士 逢甲大學 財務金融學系 107 This study uses the component stocks of Taiwan 50 index and Taiwan mid-cap 100 index from 2006 to 2018 annual data as a sample. Based on the company's market capitalization as a transition variable, we explore whether there is a non-linear relation- ship between the change in earnings per share, the change of fixed assets per total assets ratio, the P/B ratio of the last period, the turnover rate and the market adjusted re- turns(MAR). Observe whether there is an overreaction of investors when the market value of the company crosses this threshold? Then discuss the feasibility of the contrar- ian investment strategy. The results show that there is a threshold value of the compa- ny's market value, so that there is a non-linear relationship. The company's market cap- italization threshold estimated by the PSTR model is $26.8909 million. This study de- fines that the company's stock with a market capitalization of less than $26.8909 million is a small-value-type stock and the company's stock above $26.8909 million is a large- growth-type stocks. The study observed that the ante and post MAR of its companies undergoing different types of transition has a significant overreaction appearance. The ante and post MAR of the stocks which transfer from value to growth stocks, was changed from 45.67% to 6.31%, decreasing of 39.36%, and the turnover rate higher than the previous period (174.56% rose to 252.06%). Therefore, this change in reward can be attributed to the investor's overreaction, the same as Lakonishok et al. (1994). Based on this basis, a “contrarian investment strategy” was developed. During the sam- ple period, the short-selling from value to growth stocks and purchase of stocks from growth to value stocks, all positions achieved a total MAR of 7.33% per year. We also observed significant asymmetry in buy position (losers) and sell position (winners), 13.64% and -6.31% respectively consistence with the result from De Bondt and Thaler (1985). Therefore, the perfect explanation could not be obtained in the contrarian strat- egy in the sell position (winner). Although the sell position did observe a very signifi- cant overreaction compared with the previous period and a total MAR was reduced by 45.67% to 6.31%. CHIANG, GENG-NAN 江耕南 2019 學位論文 ; thesis 36 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 碩士 === 逢甲大學 === 財務金融學系 === 107 === This study uses the component stocks of Taiwan 50 index and Taiwan mid-cap 100 index from 2006 to 2018 annual data as a sample. Based on the company's market capitalization as a transition variable, we explore whether there is a non-linear relation- ship between the change in earnings per share, the change of fixed assets per total assets ratio, the P/B ratio of the last period, the turnover rate and the market adjusted re- turns(MAR). Observe whether there is an overreaction of investors when the market value of the company crosses this threshold? Then discuss the feasibility of the contrar- ian investment strategy. The results show that there is a threshold value of the compa- ny's market value, so that there is a non-linear relationship. The company's market cap- italization threshold estimated by the PSTR model is $26.8909 million. This study de- fines that the company's stock with a market capitalization of less than $26.8909 million is a small-value-type stock and the company's stock above $26.8909 million is a large- growth-type stocks. The study observed that the ante and post MAR of its companies undergoing different types of transition has a significant overreaction appearance. The ante and post MAR of the stocks which transfer from value to growth stocks, was changed from 45.67% to 6.31%, decreasing of 39.36%, and the turnover rate higher than the previous period (174.56% rose to 252.06%). Therefore, this change in reward can be attributed to the investor's overreaction, the same as Lakonishok et al. (1994). Based on this basis, a “contrarian investment strategy” was developed. During the sam- ple period, the short-selling from value to growth stocks and purchase of stocks from growth to value stocks, all positions achieved a total MAR of 7.33% per year. We also observed significant asymmetry in buy position (losers) and sell position (winners), 13.64% and -6.31% respectively consistence with the result from De Bondt and Thaler (1985). Therefore, the perfect explanation could not be obtained in the contrarian strat- egy in the sell position (winner). Although the sell position did observe a very signifi- cant overreaction compared with the previous period and a total MAR was reduced by 45.67% to 6.31%.
author2 CHIANG, GENG-NAN
author_facet CHIANG, GENG-NAN
HUANG, PEI-HSUAN
黃姵瑄
author HUANG, PEI-HSUAN
黃姵瑄
spellingShingle HUANG, PEI-HSUAN
黃姵瑄
A Study on the Correlation between Contrarian Investment Strategy and Investors Overreaction
author_sort HUANG, PEI-HSUAN
title A Study on the Correlation between Contrarian Investment Strategy and Investors Overreaction
title_short A Study on the Correlation between Contrarian Investment Strategy and Investors Overreaction
title_full A Study on the Correlation between Contrarian Investment Strategy and Investors Overreaction
title_fullStr A Study on the Correlation between Contrarian Investment Strategy and Investors Overreaction
title_full_unstemmed A Study on the Correlation between Contrarian Investment Strategy and Investors Overreaction
title_sort study on the correlation between contrarian investment strategy and investors overreaction
publishDate 2019
url http://ndltd.ncl.edu.tw/handle/4575j7
work_keys_str_mv AT huangpeihsuan astudyonthecorrelationbetweencontrarianinvestmentstrategyandinvestorsoverreaction
AT huángpèixuān astudyonthecorrelationbetweencontrarianinvestmentstrategyandinvestorsoverreaction
AT huangpeihsuan nìxiàngtóuzīcèlüèyǔtóuzīrénguòdùfǎnyīngguānliánxìngzhīyánjiū
AT huángpèixuān nìxiàngtóuzīcèlüèyǔtóuzīrénguòdùfǎnyīngguānliánxìngzhīyánjiū
AT huangpeihsuan studyonthecorrelationbetweencontrarianinvestmentstrategyandinvestorsoverreaction
AT huángpèixuān studyonthecorrelationbetweencontrarianinvestmentstrategyandinvestorsoverreaction
_version_ 1719234836847132672