胡星陽臺灣大學:財務金融學研究所沈育展Shen, Yu-JanYu-JanShen2010-05-112018-07-092010-05-112018-07-092009U0001-1507200921562900http://ntur.lib.ntu.edu.tw//handle/246246/182796本篇論文旨在檢驗投資人的錯置效果是否為短期反轉策略獲利性的主要來源。根據理論與實證結果，我們發現由於賠錢的投資人會過度反應好消息，賺錢的投資人會過度反應壞消息，錯置效果能解釋大約60%的短期反轉策略獲利。作多跌深而且有賺錢的股票，放空漲高而且賠錢的股票，利用美國NYSE/AMEX的普通股資料發現，平均每個月能獲得超過2%的異常報酬。This paper tests whether the disposition effect, that is the tendency of investors to hold on to losses too long and realize gains too soon, plays a pivotal role in explaining the short-term contrarian profits. We collect the monthly data associated with all NYSE/AMEX common stocks from 1962 to 2007 and use to construct an aggregate measure of reference purchasing prices for individual stocks. Our study shows that the level of accumulated capital gains/losses is highly associated with investors’ overreaction to information. The interaction between past returns and paper gains/losses generates predictable subsequent price reversals. A contrarian strategy consisting of short-selling winner stocks with large paper losses and buying loser stocks with large paper gains yields monthly abnormal returns of over 200 basis points.1. Introduction 1. The model and hypotheses 7. Sample and methodology 12. Empirical results 19.1 The disposition Effect 19.2 The disposition effect and short-term contrarian profits 21.3 Comparison the profitability of different contrarian strategies 25.4 Cross-sectional regression estimates 31. Conclusion 36eference 38application/pdf507224 bytesapplication/pdfen-US錯置效果股價反轉反向投資策略股價預測Disposition EffectShort-Term Contrarian ProfitsCapital Gains OverhangReturn Predictabilitythesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182796/1/ntu-98-D92723010-1.pdf