Earticle

초록

영어

Prior studies show that momentum is induced because investors underreact to information when anchored by the 52-week high (52WH). We propose the possibility that investors’ anchoring bias could vary over time. Accordingly, we develop an alternative momentum strategy, namely thedynamic 52WH (denoted as D52WH) momentum,that buys (short sells) stocks with the nearness to the 52WH ranked in the top (bottom) 10% of the historical distribution. We show that the D52WH momentum not only generates significant profitability but also outperforms the 52WH momentum. In addition, amajor advantage of the D52WH momentum is that it experiences considerably weaker momentum crashes. Further evidence shows that the D52WH momentum is more pronounced under limited investor attention and lower shorting activities, thus confirming the underreaction-driven return predictability implied by the anchoring bias.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Dynamic anchoring and return predictability
1. Data description and constructions of momentum strategies
2. Profitability of momentum strategies
3. January seasonality
4. Robustness checks
5. Investor sentiment
Ⅲ. Comparisons between D52WH and 52WH momentum strategies
1. Time-series regressions
2. Cross-sectional regressions
3. Momentum crashes
Ⅳ. Exploring possible explanations for the D52WH momentum
1. Limited investor attention
2. Shorting activities
Ⅴ. Conclusion
References
Appendix

키워드

저자

• Robin K. Chou [ Department of Finance, National Chengchi University, Taiwan ]
• Kuan-Cheng Ko [ Department of Banking and Finance, National Chi Nan University, Taiwan ] Corresponding Author
• Nien-Tzu Yang [ Department of Business Management, National United University, Taiwan ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330