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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: http://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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