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UM E-Theses Collection (澳門大學電子學位論文庫)

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Title

historical high and market overreaction

English Abstract

In this study, we propose a historical high strategy based on the market overreaction effect. Li and Yu (2012) suggest that investors tend to overreact to bad news as stock prices are far away from the historical high and find that the ratio of current price to historical high negatively predicts future returns for the Dow index. We extend their study and examine the return predictive power of the historical high prices at stock level. We observe that the historical high strategy by buying stocks with prices far away from the historical high and selling the stocks with prices close to the historical high can obtain significant positive returns. Subsample analysis suggests that the profit of the historical high strategy is much higher among the stocks with smaller firm size, lower liquidity, and lower share turnover. Subperiod analysis shows that such strategy achieves significant higher returns under low sentiment and quarter-beginning subperiods. (152 words)

Issue date

2014

Author

Wang, Yi Zhi

Faculty

Faculty of Business Administration

Degree

M.B.A.

Subject

Stocks -- Prices

Capital market

Investment analysis

Banking and Finance -- Department of Finance and Business Economics

Supervisor

Ren, Jin Juan

Files In This Item

Full-text (internet)

Location
1/F Zone C
Library URL
991008707039706306