https://scholars.lib.ntu.edu.tw/handle/123456789/414954
標題: | Information environment and investor behavior | 作者: | YEN-CHENG CHANG Cheng, Hung Wen |
關鍵字: | Behavioral finance | Confirmation bias | Intangible returns | Momentum | 公開日期: | 1-十月-2015 | 出版社: | ELSEVIER SCIENCE BV | 卷: | 59 | 起(迄)頁: | 250 | 來源出版物: | Journal of Banking and Finance | 摘要: | © 2015 Elsevier B.V. Market reactions to non-fundamental news (or no-news) reverse for extreme firm information environments. A one percentage increase in intangible returns for small firms (large firms) lead to a 2.33% decrease (0.70% increase) in monthly returns over the next 12. months. The results are robust to firm characteristics adjustments, alternative measures of firm information environment and private information, idiosyncratic risk, and microstructure effects. The results are consistent with the cross-sectional findings of confirmation bias, where investors show stronger bias when the information environment is rich. We derive a model with confirmation bias that further explains the cross-sectional momentum pattern for the majority of firms in the market. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414954 | ISSN: | 03784266 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/84937039458 10.1016/j.jbankfin.2015.06.013 |
顯示於: | 財務金融學系 |
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