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題名 股價突破歷史新高與未來報酬：台灣股市的實證研究
Historical High Breakouts and Future Returns: An Empirical Study in the Taiwan Stock Market作者 李紹禎
Lee, Shao-Chen貢獻者 周冠男
Chou, Robin K.
李紹禎
Lee, Shao-Chen關鍵詞 資產定價
行為財務
金融市場實證
交易決策
投資
歷史高點
Asset pricing
Behavioral finance
Empirical evidence in financial markets
Financial decision-making
Investments
Historical highs日期 2025 上傳時間 1-七月-2025 14:48:41 (UTC+8) 摘要 本研究以台灣股市 1983–2022 年資料為樣本，發現當股價「突破歷史高點」時，在散戶佔交易量七成以上且每日有漲跌幅限制的市場結構中，報酬會由短期過度反應轉為遲滯反應而呈現持續性的正向動能；其中，小型股（散戶比例高）、異常週轉率高的股票在 1 週至 6 個月內的動能最為強勁，而週轉率較低的股票則在 6–12 個月內維持穩定超額報酬，且此現象於每年 11 月至翌年 4 月尤為明顯，對行為財務理論與實務投資策略均具啟示。
How does market structure affect price formation around psychological barriers? While the research has found negative returns when stocks approach historical highs in institutional-dominated markets, the effect of such price patterns in retail-dominated markets remains unexplored. We use data from Taiwan’s stock market in which individual investors account for 74% of the trading volume to examine how their composition and the market structure influence return patterns around historically high prices. We find that when stocks exceed historical highs, they trigger a shift from overreaction to underreaction. This shift yields positive returns. This effect is particularly pronounced for small-cap stocks with larger retail ownership in which investors’ level of sophistication plays a crucial role in price formation around psychological barriers. The effect varies systematically with trading volume and manifests a strong seasonality, with returns concentrated between November and April. Our findings show how the market structure affects the relationship between historical highs and future returns. This finding extends our theoretical understanding of price formation and provides practical insights for investment strategies in emerging markets.參考文獻 Amihud, Y., Mendelson, H., 1986. Liquidity and stock returns. Financ. Anal. J. 42 (3), 43-48. Antoniou, C., Doukas, J.A., Subrahmanyam, A., 2013. Cognitive dissonance, sentiment, and momentum. J. Financ. Quant. Anal. 48 (1), 245-275. Atmaz, A., Basak, S., 2018. Belief dispersion in the stock market. J. Finance 73 (3), 1225-1279. Banz, R.W., 1981. The relationship between return and market value of common stocks. J. Financ. Econ. 9 (1), 3-18. Barber, B.M., Lyon, J.D., 1997. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. J. Financ. Econ. 43 (3), 341-372. Barber, B.M., Odean, T., 2008. All That Glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financ. Stud. 21 (2), 785-818. Barberis, N., Shleifer, A., Vishny, R., 1998. A model of investor sentiment. J. Financ. Econ. 49 (3), 307-343. Bekaert, G., Harvey, C.R., 1997. Emerging equity market volatility. J. Financ. Econ. 43 (1), 29-77. Bernard, V. L., Thomas, J. K., 1989. Post-earnings-announcement drift: Delayed price response or risk premium? J. Account. Res. 27, 1-36. Bhootra, A., 2011. Are momentum profits driven by the cross-sectional dispersion in expected stock returns? J. Financ. Mark. 14 (3), 494-513. Bhootra, A., 2018. Another look at anchoring and stock return predictability. Finance Res. Lett. 25, 259-265. Blume, L., Easley, D., O'Hara, M., 1994. Market statistics and technical analysis: The role of volume. J. Finance 49, 153-181. Bouman, S., Jacobsen, B., 2002. The Halloween indicator, 'Sell in May and go away': Another puzzle. Am. Econ. Rev. 92 (5), 1618-1635. Branch, B., 1977. A tax loss trading rule. J. Bus. 50 (2), 198-207. Brock, W., Lakonishok, J., LeBaron, B., 1992. Simple technical trading rules and the stochastic properties of stock returns. J. Finance 47 (5), 1731-1764. Carhart, M.M., 1997. On persistence in mutual fund performance. J. Finance 52 (1), 57-82. Chang, E.C., Cheng, J.W., Khorana, A., 2000. An examination of herd behavior in equity markets: An international perspective. J. Bank. Financ. 24 (10), 1651-1679. Chen, Y.M., 1993. Price limits and stock market volatility in Taiwan. Pac.-Basin Financ. J. 1 (2), 139-153. Chiang, T.C., Zheng, D., 2010. An empirical analysis of herd behavior in global stock markets. J. Bank. Financ. 34 (8), 1911-1921. Chordia, T., Roll, R., Subrahmanyam, A., 2001. Market liquidity and trading activity. J. Finance 56 (2), 501-530. Chou, P.H., Chou, R.K., Ko, K.C., Chao, C.Y., 2013. What affects the cool-off duration under price limits? Pac.-Basin Financ. J. 24, 256-278. Cohen, L., Gompers, P., Vuolteenaho, T., 2002. Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. J. Financ. Econ. 66 (2–3), 409–462. Cooper, M.J., Gutierrez Jr, R.C., Hameed, A., 2004. Market states and momentum. J. Finance 59 (3), 1345-1365. De Bondt, W.F., Thaler, R.H., 1985. Does the stock market overreact? J. Finance 40 (3), 793-805. De Long, J. B., Shleifer, A., Summers, L. H., Waldmann, R. J., 1990. Noise trader risk in financial markets. J. Polit. Econ. 98 (4), 703-738. Fabozzi, F.J., Fung, C.Y., Lam, K., Wong, W.K., 2013. Market overreaction and underreaction: tests of the directional and magnitude effects. Appl. Financ. Econ. 23 (18), 1469-1482. Fama, E. F., French, K. R., 1992. The cross-section of expected stock returns. J. Finance 47 (2), 427-465. Fama, E. F., French, K. R., 2015. A five-factor asset pricing model. J. Financ. Econ. 116 (1), 1-22. Fama, E.F., French, K.R., Booth, D.G., Sinquefield, R., 1993. Differences in the risks and returns of NYSE and NASD stocks. Financ. Anal. J. 49 (1), 37-41. Ferris, S.P., Haugen, R.A., Makhija, A.K., 1988. Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect. J. Finance 43 (3), 677-697. Fredrickson, B., Kahneman, D., 1993. Duration neglect in retrospective evaluations of affective episodes. J. Pers. Soc. Psychol. 65 (1), 45-55. Gallant, A.R., Rossi, P.E., Tauchen, G., 1992. Stock prices and volume. Rev. Financ. Stud. 5 (2), 199-242. George, T., Hwang, C., 2004. The 52-week high and momentum investing. J. Finance 59 (6), 2145-2176. Givoly, D., Ovadia, A., 1983. Year-end tax-induced sales and stock market seasonality. J. Finance 38 (1), 171-185. Goetzmann, W.N., Massa, M., 2005. Dispersion of opinion and stock returns. J. Financ. Mark. 8 (3), 324-349. Grinblatt, M., Keloharju, M., 2001. What makes investors trade? J. Finance 51 (2), 589-616. Han, Y., Huang, D., Huang, D., Zhou, G., 2022. Expected return, volume, and mispricing. J. Financ. Econ. 143 (3), 1295-1315. Harvey, C.R., 1995. Predictable risk and returns in emerging markets. Rev. Financ. Stud. 8 (3), 773-816. Ho, H.W., Hsiao, Y.J., Lo, W.C., Yang, N.T., 2023. Momentum investing and a tale of intraday and overnight returns: Evidence from Taiwan. Pac.-Basin Financ. J. 82, 102151. Hong, H., Stein, J. C., 1999. A unified theory of underreaction, momentum trading, and overreaction in asset markets. J. Financ. 54 (6), 2143-2184. Huddart, S., Lang, M., Yetman, M., 2009. Volume and price patterns around a stock's 52-week highs and lows: Theory and evidence. Manage. Sci. 55 (1), 16-31. Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48 (1), 65-91. Karpoff, J.M., 1987. The relation between price changes and trading volume: A survey. J. Financ. Quant. Anal. 22 (1), 109-126. Lee, C.M.C., Swaminathan, A., 2000. Price momentum and trading volume. J. Finance 55 (4), 1785-1805. Lee, E., Piqueira, N., 2017. Short selling around the 52-week and historical highs. J. Financ. Mark. 33, 75-101. Li, J., Yu, J., 2012. Investor attention, psychological anchors, and stock return predictability. J. Financ. Econ. 104 (2), 401-419. Merton, R.C., 1987. A simple model of capital market equilibrium with incomplete information. J. Finance 42 (3), 373-398. Muth, J. F., 1961. Rational expectations and the theory of price movements. Econometrica 29 (3), 315-335. Odean, T., 1998. Are investors reluctant to realize their losses? J. Finance 53 (5), 1775-1798. Poterba, J.M., Summers, L.H., 1988. Mean reversion in stock prices: Evidence and implications. J. Financ. Econ. 22 (1), 27-59. Reinganum, M.R., 1983. The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. J. Financ. Econ. 12 (1), 89-104. Roll, R., 1983. Vas ist das! The-turn-of-the-year effect and the return premia of small firms. J. Portf. Manag. 9 (2), 18-28. Shefrin, H., Statman, M., 1985. The disposition to sell winners too early and ride losers too long: Theory and evidence. J. Finance 40 (3), 777-790. Simon, H.A., 1955. A behavioral model of rational choice. Q. J. Econ. 69 (1), 99-125. Tversky, A., Kahneman, D., 1974. Judgment under uncertainty: heuristics and biases. Science 185, 1124-1131. Tversky, A., Kahneman, D., 1992. Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertain. 5 (4), 297-323. Wang, K., Li, Y., Erickson, J., 1997. A new look at the Monday effect. J. Finance 52 (5), 2171-2186. Wang, Z. M., Lien, D., 2022. Is maximum daily return a lottery? Evidence from monthly revenue announcements. Rev. Quant. Financ. Account. 59 (2), 545-600. 描述 博士
國立政治大學
財務管理學系
105357501資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357501 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K. en_US dc.contributor.author (作者) 李紹禎 zh_TW dc.contributor.author (作者) Lee, Shao-Chen en_US dc.creator (作者) 李紹禎 zh_TW dc.creator (作者) Lee, Shao-Chen en_US dc.date (日期) 2025 en_US dc.date.accessioned 1-七月-2025 14:48:41 (UTC+8) - dc.date.available 1-七月-2025 14:48:41 (UTC+8) - dc.date.issued (上傳時間) 1-七月-2025 14:48:41 (UTC+8) - dc.identifier (其他 識別碼) G0105357501 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157766 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 105357501 zh_TW dc.description.abstract (摘要) 本研究以台灣股市 1983–2022 年資料為樣本，發現當股價「突破歷史高點」時，在散戶佔交易量七成以上且每日有漲跌幅限制的市場結構中，報酬會由短期過度反應轉為遲滯反應而呈現持續性的正向動能；其中，小型股（散戶比例高）、異常週轉率高的股票在 1 週至 6 個月內的動能最為強勁，而週轉率較低的股票則在 6–12 個月內維持穩定超額報酬，且此現象於每年 11 月至翌年 4 月尤為明顯，對行為財務理論與實務投資策略均具啟示。 zh_TW dc.description.abstract (摘要) How does market structure affect price formation around psychological barriers? While the research has found negative returns when stocks approach historical highs in institutional-dominated markets, the effect of such price patterns in retail-dominated markets remains unexplored. We use data from Taiwan’s stock market in which individual investors account for 74% of the trading volume to examine how their composition and the market structure influence return patterns around historically high prices. We find that when stocks exceed historical highs, they trigger a shift from overreaction to underreaction. This shift yields positive returns. This effect is particularly pronounced for small-cap stocks with larger retail ownership in which investors’ level of sophistication plays a crucial role in price formation around psychological barriers. The effect varies systematically with trading volume and manifests a strong seasonality, with returns concentrated between November and April. Our findings show how the market structure affects the relationship between historical highs and future returns. This finding extends our theoretical understanding of price formation and provides practical insights for investment strategies in emerging markets. en_US dc.description.tableofcontents 1. Introduction 7 2. Literature review 8 2.1. Theoretical foundations: investors’ psychology and the market’s microstructure 9 2.2. Empirical evidence on price breakthroughs and return predictability 10 2.3. Abnormal turnover as a confirmation signal 10 2.4. Seasonal anomalies and market structure in Taiwan 11 3. Data and methodology 11 3.1. Data and sample 11 3.2. Methodology 12 4. Empirical results 15 4.1. Descriptive statistics 15 4.3. Post-breakout risk-adjusted returns analysis 19 4.4. Impact of turnover 22 4.5. Seasonal anomalies in the Taiwan stock market 25 4.6. Robustness checks 26 5. Conclusion 28 REFERENCES 29 zh_TW dc.format.extent 2538577 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357501 en_US dc.subject (關鍵詞) 資產定價 zh_TW dc.subject (關鍵詞) 行為財務 zh_TW dc.subject (關鍵詞) 金融市場實證 zh_TW dc.subject (關鍵詞) 交易決策 zh_TW dc.subject (關鍵詞) 投資 zh_TW dc.subject (關鍵詞) 歷史高點 zh_TW dc.subject (關鍵詞) Asset pricing en_US dc.subject (關鍵詞) Behavioral finance en_US dc.subject (關鍵詞) Empirical evidence in financial markets en_US dc.subject (關鍵詞) Financial decision-making en_US dc.subject (關鍵詞) Investments en_US dc.subject (關鍵詞) Historical highs en_US dc.title (題名) 股價突破歷史新高與未來報酬：台灣股市的實證研究 zh_TW dc.title (題名) Historical High Breakouts and Future Returns: An Empirical Study in the Taiwan Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Amihud, Y., Mendelson, H., 1986. Liquidity and stock returns. Financ. Anal. J. 42 (3), 43-48. Antoniou, C., Doukas, J.A., Subrahmanyam, A., 2013. Cognitive dissonance, sentiment, and momentum. J. Financ. Quant. Anal. 48 (1), 245-275. Atmaz, A., Basak, S., 2018. Belief dispersion in the stock market. J. Finance 73 (3), 1225-1279. Banz, R.W., 1981. The relationship between return and market value of common stocks. J. Financ. Econ. 9 (1), 3-18. Barber, B.M., Lyon, J.D., 1997. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. J. Financ. Econ. 43 (3), 341-372. Barber, B.M., Odean, T., 2008. All That Glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financ. Stud. 21 (2), 785-818. Barberis, N., Shleifer, A., Vishny, R., 1998. A model of investor sentiment. J. Financ. Econ. 49 (3), 307-343. Bekaert, G., Harvey, C.R., 1997. Emerging equity market volatility. J. Financ. Econ. 43 (1), 29-77. Bernard, V. L., Thomas, J. K., 1989. Post-earnings-announcement drift: Delayed price response or risk premium? J. Account. Res. 27, 1-36. Bhootra, A., 2011. Are momentum profits driven by the cross-sectional dispersion in expected stock returns? J. Financ. Mark. 14 (3), 494-513. Bhootra, A., 2018. Another look at anchoring and stock return predictability. Finance Res. Lett. 25, 259-265. Blume, L., Easley, D., O'Hara, M., 1994. Market statistics and technical analysis: The role of volume. J. Finance 49, 153-181. Bouman, S., Jacobsen, B., 2002. The Halloween indicator, 'Sell in May and go away': Another puzzle. Am. Econ. Rev. 92 (5), 1618-1635. Branch, B., 1977. A tax loss trading rule. J. Bus. 50 (2), 198-207. Brock, W., Lakonishok, J., LeBaron, B., 1992. Simple technical trading rules and the stochastic properties of stock returns. J. Finance 47 (5), 1731-1764. Carhart, M.M., 1997. On persistence in mutual fund performance. J. Finance 52 (1), 57-82. Chang, E.C., Cheng, J.W., Khorana, A., 2000. An examination of herd behavior in equity markets: An international perspective. J. Bank. Financ. 24 (10), 1651-1679. Chen, Y.M., 1993. Price limits and stock market volatility in Taiwan. Pac.-Basin Financ. J. 1 (2), 139-153. Chiang, T.C., Zheng, D., 2010. An empirical analysis of herd behavior in global stock markets. J. Bank. Financ. 34 (8), 1911-1921. Chordia, T., Roll, R., Subrahmanyam, A., 2001. Market liquidity and trading activity. J. Finance 56 (2), 501-530. Chou, P.H., Chou, R.K., Ko, K.C., Chao, C.Y., 2013. What affects the cool-off duration under price limits? Pac.-Basin Financ. J. 24, 256-278. Cohen, L., Gompers, P., Vuolteenaho, T., 2002. Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. J. Financ. Econ. 66 (2–3), 409–462. Cooper, M.J., Gutierrez Jr, R.C., Hameed, A., 2004. Market states and momentum. J. Finance 59 (3), 1345-1365. De Bondt, W.F., Thaler, R.H., 1985. Does the stock market overreact? J. Finance 40 (3), 793-805. De Long, J. B., Shleifer, A., Summers, L. H., Waldmann, R. J., 1990. Noise trader risk in financial markets. J. Polit. Econ. 98 (4), 703-738. Fabozzi, F.J., Fung, C.Y., Lam, K., Wong, W.K., 2013. Market overreaction and underreaction: tests of the directional and magnitude effects. Appl. Financ. Econ. 23 (18), 1469-1482. Fama, E. F., French, K. R., 1992. The cross-section of expected stock returns. J. Finance 47 (2), 427-465. Fama, E. F., French, K. R., 2015. A five-factor asset pricing model. J. Financ. Econ. 116 (1), 1-22. Fama, E.F., French, K.R., Booth, D.G., Sinquefield, R., 1993. Differences in the risks and returns of NYSE and NASD stocks. Financ. Anal. J. 49 (1), 37-41. Ferris, S.P., Haugen, R.A., Makhija, A.K., 1988. Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect. J. Finance 43 (3), 677-697. Fredrickson, B., Kahneman, D., 1993. Duration neglect in retrospective evaluations of affective episodes. J. Pers. Soc. Psychol. 65 (1), 45-55. Gallant, A.R., Rossi, P.E., Tauchen, G., 1992. Stock prices and volume. Rev. Financ. Stud. 5 (2), 199-242. George, T., Hwang, C., 2004. The 52-week high and momentum investing. J. Finance 59 (6), 2145-2176. Givoly, D., Ovadia, A., 1983. Year-end tax-induced sales and stock market seasonality. J. Finance 38 (1), 171-185. Goetzmann, W.N., Massa, M., 2005. Dispersion of opinion and stock returns. J. Financ. Mark. 8 (3), 324-349. Grinblatt, M., Keloharju, M., 2001. What makes investors trade? J. Finance 51 (2), 589-616. Han, Y., Huang, D., Huang, D., Zhou, G., 2022. Expected return, volume, and mispricing. J. Financ. Econ. 143 (3), 1295-1315. Harvey, C.R., 1995. Predictable risk and returns in emerging markets. Rev. Financ. Stud. 8 (3), 773-816. Ho, H.W., Hsiao, Y.J., Lo, W.C., Yang, N.T., 2023. Momentum investing and a tale of intraday and overnight returns: Evidence from Taiwan. Pac.-Basin Financ. J. 82, 102151. Hong, H., Stein, J. C., 1999. A unified theory of underreaction, momentum trading, and overreaction in asset markets. J. Financ. 54 (6), 2143-2184. Huddart, S., Lang, M., Yetman, M., 2009. Volume and price patterns around a stock's 52-week highs and lows: Theory and evidence. Manage. Sci. 55 (1), 16-31. Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48 (1), 65-91. Karpoff, J.M., 1987. The relation between price changes and trading volume: A survey. J. Financ. Quant. Anal. 22 (1), 109-126. Lee, C.M.C., Swaminathan, A., 2000. Price momentum and trading volume. J. Finance 55 (4), 1785-1805. Lee, E., Piqueira, N., 2017. Short selling around the 52-week and historical highs. J. Financ. Mark. 33, 75-101. Li, J., Yu, J., 2012. Investor attention, psychological anchors, and stock return predictability. J. Financ. Econ. 104 (2), 401-419. Merton, R.C., 1987. A simple model of capital market equilibrium with incomplete information. J. Finance 42 (3), 373-398. Muth, J. F., 1961. Rational expectations and the theory of price movements. Econometrica 29 (3), 315-335. Odean, T., 1998. Are investors reluctant to realize their losses? J. Finance 53 (5), 1775-1798. Poterba, J.M., Summers, L.H., 1988. Mean reversion in stock prices: Evidence and implications. J. Financ. Econ. 22 (1), 27-59. Reinganum, M.R., 1983. The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. J. Financ. Econ. 12 (1), 89-104. Roll, R., 1983. Vas ist das! The-turn-of-the-year effect and the return premia of small firms. J. Portf. Manag. 9 (2), 18-28. Shefrin, H., Statman, M., 1985. The disposition to sell winners too early and ride losers too long: Theory and evidence. J. Finance 40 (3), 777-790. Simon, H.A., 1955. A behavioral model of rational choice. Q. J. Econ. 69 (1), 99-125. Tversky, A., Kahneman, D., 1974. Judgment under uncertainty: heuristics and biases. Science 185, 1124-1131. Tversky, A., Kahneman, D., 1992. Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertain. 5 (4), 297-323. Wang, K., Li, Y., Erickson, J., 1997. A new look at the Monday effect. J. Finance 52 (5), 2171-2186. Wang, Z. M., Lien, D., 2022. Is maximum daily return a lottery? Evidence from monthly revenue announcements. Rev. Quant. Financ. Account. 59 (2), 545-600. zh_TW
