東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Empirical study on stock's capital r...

Liu, Han.

Linked to FindBook

Google Book

Amazon

博客來

Empirical study on stock's capital returns distribution and future performance.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Empirical study on stock's capital returns distribution and future performance./
Author:	Liu, Han.
Description:	35 p.
Notes:	Source: Masters Abstracts International, Volume: 52-01.
Contained By:	Masters Abstracts International52-01(E).
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1539404
ISBN:	9781303146367

Empirical study on stock's capital returns distribution and future performance.
Liu, Han.

Empirical study on stock's capital returns distribution and future performance. - 35 p.

Source: Masters Abstracts International, Volume: 52-01.

Thesis (M.A.)--Clemson University, 2013.

Investors subject to reference dependence and mental accounting tend to make decisions based on the unrealized losses and gains relative to a reference point, and behave consistently with the disposition effect. In this paper, I focus my study on stocks' capital returns distribution, which is a distribution of each stock that represents the relative capital gains/losses of all shareholders during a target time period. Empirical evidences show the mean value and the skewness of stock's capital returns distribution play significant roles in forecasting future performance. For stocks with a negative mean value of the distribution, the only significant parameter is the skewness, while for stocks with positive mean, that parameter is the mean. This finding suggests an investment strategy taking advantage of the capital returns distribution may generate significant capital returns. I name stocks with lowest skewness among those having negative mean as losing stocks and name stocks with the largest positive mean values as winners. Running horse-race of buy-winner portfolio and short-loser portfolio after a holding period varying from one month to two years gives us a total of twelve investment strategies examined in this paper. There is an inverted U shape in the cumulative portfolio returns. Both the short-loser and buy-winner strategy beat the market in short- and medium-term, and generate significant abnormal returns for investors. But after two years of the portfolio formation, the profitability of strategies tested in this paper dissipates.

ISBN: 9781303146367Subjects--Topical Terms:

626650
Economics, Finance.

Empirical study on stock's capital returns distribution and future performance.
LDR:02399nam a2200277 4500 001 1959799
005 20140520124919.5
008 150210s2013 ||||||||||||||||| ||eng d
020 $a 9781303146367
035 $a (MiAaPQ)AAI1539404
035 $a AAI1539404
040 $a MiAaPQ $c MiAaPQ
100 1 $a Liu, Han. $3 2095320
245 1 0 $a Empirical study on stock's capital returns distribution and future performance.
300 $a 35 p.
500 $a Source: Masters Abstracts International, Volume: 52-01.
500 $a Adviser: Dan Wood.
502 $a Thesis (M.A.)--Clemson University, 2013.
520 $a Investors subject to reference dependence and mental accounting tend to make decisions based on the unrealized losses and gains relative to a reference point, and behave consistently with the disposition effect. In this paper, I focus my study on stocks' capital returns distribution, which is a distribution of each stock that represents the relative capital gains/losses of all shareholders during a target time period. Empirical evidences show the mean value and the skewness of stock's capital returns distribution play significant roles in forecasting future performance. For stocks with a negative mean value of the distribution, the only significant parameter is the skewness, while for stocks with positive mean, that parameter is the mean. This finding suggests an investment strategy taking advantage of the capital returns distribution may generate significant capital returns. I name stocks with lowest skewness among those having negative mean as losing stocks and name stocks with the largest positive mean values as winners. Running horse-race of buy-winner portfolio and short-loser portfolio after a holding period varying from one month to two years gives us a total of twelve investment strategies examined in this paper. There is an inverted U shape in the cumulative portfolio returns. Both the short-loser and buy-winner strategy beat the market in short- and medium-term, and generate significant abnormal returns for investors. But after two years of the portfolio formation, the profitability of strategies tested in this paper dissipates.
590 $a School code: 0050.
650 4 $a Economics, Finance. $3 626650
650 4 $a Economics, Theory. $3 1017575
690 $a 0508
690 $a 0511
710 2 $a Clemson University. $b Economics. $3 1023007
773 0 $t Masters Abstracts International $g 52-01(E).
790 $a 0050
791 $a M.A.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1539404