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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/110550
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/110550

    Title: Halo, Horn, or Dark Horse Biases: Corporate Reputation and the Earnings Announcement Puzzle
    Authors: 李志宏
    Jang, Woan-Yuh;Lee, Jie-Haun;Hu, Hsueh-Chin
    Contributors: 財管系
    Keywords: Corporate reputation;Earnings announcement puzzle;Halo effect;Horn effect;Dark horse effect
    Date: 2016-09
    Issue Date: 2017-06-28 15:26:05 (UTC+8)
    Abstract: The primary goal of this study is to explore whether the halo, horn, or dark horse effects manifest in U.S. stock markets. To investigate the issue, an ideal empirical framework is newly created by combining a proxy for previous corporate perception, corporate reputation, with a well-known financial market anomaly, the earnings announcement puzzle. The interdisciplinary research presented in this study is original in its methodological design. Using companies listed and traded on the NASDAQ, NYSE, and AMEX between the first quarter of 2006 and the second quarter of 2011, the results show that investors' buying behaviors are influenced by significant horn and dark horse effects in the stock markets. Our findings suggest a short-term trading strategy that adopts long (short) positions in low-reputation stocks with the highest (lowest) class of earnings surprise over the three-day period surrounding the earnings announcements, generating a premium of 9.984%. On the basis of the price reversal effect, our results reveal a long-term trading strategy that adopts long (short) positions in low-reputation stocks with the lowest (highest) class of earnings surprises, starting from two days after the earnings announcement. The long-short positions for thirty, forty-five and sixty consecutive trading days will respectively generate premiums of 2.672%, 5.918%, and 7.602%.
    Relation: Journal of Empirical Finance, 38(A), 272-289
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.jempfin.2016.07.005
    DOI: 10.1016/j.jempfin.2016.07.005
    Appears in Collections:[財務管理學系] 期刊論文

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