| dc.contributor | 財管系 | |
| dc.creator (作者) | 周冠男;柯冠成 | |
| dc.date (日期) | 2019-10 | |
| dc.date.accessioned | 11-Jun-2026 09:11:45 (UTC+8) | - |
| dc.date.available | 11-Jun-2026 09:11:45 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Jun-2026 09:11:45 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182905 | - |
| dc.description.abstract (摘要) | Li and Yu (2012) 提出投資人的交易行為受到市場價格相對於過去52 週高點與歷史高點之影響，而產生定錨偏誤。當市場價格接近52 週高點時，投資人傾向過度保守，而導致對資訊的反應不足；相反地，當市場經歷一連串的壞消息而遠離過去歷史高點時，投資人過度反應的程度將會增強。本計畫將應用此二定錨偏誤來檢驗動能與資產成長異常現象，並據以提出相關假說與實證證據。在第一年的計畫中，我們提出當整體市場價格貼近52 週高點（或偏離歷史高點）時，整體市場反應不足（過度反應）之現象將呈現高檔狀態。在此情況下，市場價格距離52 週高點與歷史高點之程度，將可作為反應不足與過度反應對中短期動能效果解釋之最佳實驗設計。我們提出若反應不足為動能效果之成因，則中短期動能策略之獲利程度在市場價格貼近52 週高點將會增強；相反地，若動能效果之成因為過度反應，則中短期動能之獲利性將在市場價格偏離歷史高點時被增強。在第一年的計畫裡，我們將檢驗此二假說。第二年的計畫將檢驗定錨偏誤與資產成長異常現象的關係。我們提出，當企業經理人具有市場擇時能力，將可應用投資人受定錨影響之交易行為偏誤於公司的投資決策上；當市場價格貼近52 週高點時，由於投資人先前的反應不足，未來預期長期之整體市場報酬將增加，而使得取得資金的成本隨之增加，在此情況下，經理人將減少公司的投資支出，在q 理論的預測下，此時資產成長異常現象將被削弱。另一方面，當市場價格遠離歷史高點時，經理人可預期由於投資人先前的過度反應，所以未來長期之整體市場報酬將因市場修正而增加，取得資金的成本亦隨之提高，此時經理人將減少公司的投資支出，在q 理論的預測下，此時資產成長異常現象亦會減弱。我們將在第二年計畫中檢驗此二假說。 | |
| dc.description.abstract (摘要) | Motivated by the notion that investors are subject to psychological anchors when making investment decisions, Li and Yu (2012) show that the nearness to the market’s 52-week high captures the degree to which investors underreact to news and the nearness to the market’s historical high captures the degree to which investors overreact to news. The main objective of this project is to examine the effects of the anchoring biases on two pronounced asset-pricing anomalies, namely the momentum and asset growth effects. In the first-year project, we hypothesize that if investor under- or over-reactions are induced by the psychological anchors proxied by the 52-week and the historical highs of the market, such market-wide behavioral biases could have influence on the profitability of the intermediate-term momentum strategy. In particular, we propose that the underreaction hypothesis predicts higher intermediate-term momentum profits when the price of the market is near its 52-week high, while the overreaction hypothesis predicts higher intermediate-term momentum profits when the price of the market is far from its historical high. We will establish and examine the relation between the time-series profitability of momentum and the nearness to 52-week and historical highs, and contrast our results with the existing time-varying predictors of momentum documented in the literature. In the second-year project, we will establish the linkage between anchoring biases and the asset growth anomaly through the channel of the q-theory. We propose that if corporate managers have the ability to time the market, they are able to take advantage of investors’ psychological bias when making corporate investment decisions. In particular, they would perceive that the long-run market expected returns and hence the cost of capital to increase when the market’s price is near or at its 52-week high. Similarly, when the market price is far from its historical high, they would expect that the long-run market expected returns to increase (hence higher cost of capital), due to the subsequent long-run corrections to investors’ overreaction. As a result, the profitability of the asset growth anomaly is weaker when the market is approaching its 52-week high, and the profitability would also be weaker when the market is far from its historical high. We perform both the portfolio and cross-sectional regressions to examine these two hypotheses in the second-year project. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST106-2410-H004-027-MY2, 106.08-108.07 | |
| dc.subject (關鍵詞) | 定錨偏誤; 52 週高點; 歷史高點; 動能投資; 資產成長異常現象 | |
| dc.subject (關鍵詞) | Anchoring biases; 52-week high; Historical high; Momentum strategy; Asset-growth anomaly | |
| dc.title (題名) | 定錨偏誤對資產訂價之意涵 | |
| dc.title (題名) | Anchoring Biases and Asset Pricing Anomalies | |
| dc.type (資料類型) | report | |
