Continuing Overreation, Price Limits, and Momentum

[[abstract]]本文中，我們發現了台灣市場中持續過度反應有強烈報酬可預測性。我們利用訊號量來當持續過度反應的代理變數，並且發現購買向上持續過度反應的股票和賣出向下持續過度反應的股票，在中期會有動能利益，而長期會有動能反轉現象。此證據與基於投資人過度自信和自我歸因偏誤，來預測未來股票報酬之模型的結果一致。我們進一步探討漲跌幅限制，將資料分成有碰到漲跌幅限制和沒碰到漲跌幅限制的樣本，並觀察此限制對過度反應下的股票報酬可預測性有何影響，發現，漲跌幅限制會引發磁吸效應使投資人在先前完成交易，故沒有過度反應之現象；而在沒碰到漲跌幅限制之下的交易量，能夠清楚觀察出在中期有動能利益和長期動能利益反轉下，投資人過度自信之行為。[[abstract]]In this paper, we demonstrate there has a strong return predictability for continuing overreaction in Taiwan. Using that signed volume to proxy for the level of continuing overreaction, we show that the strategy of buying stocks with upward continuing overreaction and short selling those with downward continuing overreaction generates both intermediate-term momentum profit and long-term reversals in this market. The evidence is consistent with the prediction of the model based on investor overconfidence and biased self-attribution in predicting future stock returns. We further examine the impact of price limits on overreaction-based return predictability by isolating our data to be limit-hit sample and non-hit days sample. We find that the price limits will lead magnet effect, so there is no investors’ overreaction behavior and trading volume in non-hit days is a cleaner measure to measure the investor overconfidence in intermediate-term momentum profit and long-term reversals.[[note]]碩