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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/118856

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/118856

Title:	The 52-week high, momentum, and investor sentiment
Authors:	Hao, Ying 周冠男 Chou, Robin K. Ko, Kuan-Cheng Yang, Nien-Tzu
Contributors:	財管系
Keywords:	52-Week high;Momentum profits;Investor sentiment;Earnings announcement
Date:	2018-05
Issue Date:	2018-07-24 16:14:55 (UTC+8)
Abstract:	This paper examines the link between the profitability of the 52-week high momentum strategy and investor sentiment. We hypothesize that investors` investment decisions are subject to behavioral biases when the level of investor sentiment is high, resulting in higher profits for the 52-week high momentum following high-sentiment periods. Our empirical results confirm this prediction. In addition, we find that the significant profit of the 52-week high momentum following high-sentiment periods persists up to five years. Further investigations show that the strong persistence of the 52-week high winners (losers) is concentrated in stocks with higher (lower) earnings surprises, especially during periods following high sentiment. Overall, our results provide supportive evidence for the anchoring biases in explaining the 52-week high momentum, especially when the role of investor sentiment is taken into account.
Relation:	International Review of Financial Analysis, Volume 57, Pages 167-183
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.irfa.2018.01.014
DOI:	10.1016/j.irfa.2018.01.014
Appears in Collections:	[財務管理學系] 期刊論文

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