| dc.contributor | 財管系 | |
| dc.creator (作者) | 周冠男;柯冠成 | |
| dc.date (日期) | 2022-11 | |
| dc.date.accessioned | 11-Jun-2026 09:11:48 (UTC+8) | - |
| dc.date.available | 11-Jun-2026 09:11:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Jun-2026 09:11:48 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182907 | - |
| dc.description.abstract (摘要) | Li and Yu (2012)提出投資人受到52週高點與歷史高點的定錨影響，導致其在價格接近52週高點時具有反應不足之傾向，而在遠離歷史高點時有過度反應之行為偏誤，此二種定錨偏誤分別對未來市場報酬具有正向與負向之預測能力。在此研究計畫中，我們將以Li and Yu (2012)的實證結果為出發點，探討三個與定錨效果有關的研究議題。
在第一年的計畫裡，我們將延伸Li and Yu (2012)的實證分析到國際市場上，並提出假說來驗證個人化主義將可解釋52週高點與歷史高點的定錨在解釋各國指數報酬上的差異性。具體而言，由於個人化主義強烈之國家容易因過度自信而導致過度反應，我們認為52週高點在低個人化主義的市場對未來市場報酬具有較強之正向解釋能力；反之，歷史高點對未來市場報酬的負向解釋能力，則在高個人化主義的市場有較好之效果。我們將在第一年之研究中驗證此二假說。
在第二年的計畫裡，我們將提出兩個與52週高點及歷史高點有關的交易策略，有別於George and Hwang (2004)與George, Hwang, and Li (2018)針對52週高點的橫斷面效果進行探討，我們認為定錨效果在其時間序列上的相對強弱對股票報酬具有更強之解釋能力，我們提出52週高點及歷史高點指標，應與其歷史資料的分配進行比較，以區別反應不足及過度反應的相對強弱程度，由此形成兩個新的52週絕對高點，及歷史絕對高點指標交易策略。我們認為與52週絕對高點有關之策略將可帶來顯著之報酬持續性，而與歷史絕對高點有關之策略則因更強烈之反應過度現象，而帶來更顯著之報酬反轉效果。我們將在第二年計畫裡針對此二交易策略進行探討。
第三年之計畫將結合前兩年之研究成果，分別探討兩個交易策略在國際市場的獲利性，是否受到個人主義程度不同的影響而有所差異。我們提出與52週高絕對點有關之策略在低個人化主義之市場將有較高之獲利性，反之與歷史絕對高點有關之策略，將在高個人化主義之市場帶來較為顯著的負報酬，我們將納入許多過去文獻提出之市場變數來做為控制變數，針對所提出之假說進行檢驗。 | |
| dc.description.abstract (摘要) | Li and Yu (2012) empirically show that 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 observations lead to several interesting issues regarding the understanding and implementation of the two anchoring effects.
In the first-year project, we extend Li and Yu's (2012) investigation to an international framework with a particular focus on individualism. Motivated by the fact that investors from individualistic cultures are more likely to be overconfident with their investment decisions and have higher tendency to overreact to information, we hypothesize that the positive relation between nearness to the 52-week high and future market returns is more pronounced among collectivistic markets, while the negative relation between nearness to the historical high and future market returns is more pronounced among individualistic markets. We develop testable hypotheses and will provide empirical investigations to support our conjectures.
Li and Yu's (2012) evidence has another implication for return predictability in the cross-section of stock returns, which constitutes the main idea of the second-year project. While George and Hwang (2004) and George, Hwang, and Li (2018) both demonstrate that the effectiveness of the nearness to 52-week high is compared across stocks, Li and Yu (2012) instead suggest that the magnitude of anchoring biases should be compared across the time dimension. This leads us to propose two time-series anchoring strategies by focusing on the relative magnitude of nearness to the 52-week and historical highs over the time series for individual stocks, which we term the absolute 52-week high and the absolute historical high strategies. We hypothesize that investors have a stronger tendency to underreact to good (bad) news of stocks when their 52-week high ratios are at the peak (trough) of its historical distribution. Thus the absolute 52-week high strategy is expected to generate more significant return continuations. However, the absolute historical high strategy when the historical high ratio is at the peak (trough) of its historical distribution, by contrast, is expected to generate more significant return reversals, because investors are more likely to overreact to prolonged good (bad) news, which results in subsequent reversals. We will examine the profitability of the two strategies based on the data from the U.S. markets in the second-year project.
In the third-year project, we will bring the two aforementioned issues together by examining the profitability of the two absolute price anchoring strategies across international markets and examine the influences of individualism on the profitability. While individualism reflects the relative magnitude of investor overreaction across markets, we hypothesize that the absolute 52-week high strategy is more profitable among collectivistic markets. The negative premium of the absolute historical high strategy, however, is more pronounced among individualistic markets. We will test the two hypotheses with various controls. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST108-2410-H004-079-MY2, 108.08-110.07 | |
| dc.subject (關鍵詞) | 定錨偏誤; 52週高點; 歷史高點; 投資人關注; 報酬預測性; 個人化主義; 時間序列定錨策略 | |
| dc.subject (關鍵詞) | Anchoring biases; 52-week high; Historical high; Investor attention; Return predictability; Individualism; Time-series anchoring strategies | |
| dc.title (題名) | 定錨偏誤與報酬可預測性：個人主義及時間序列動能的角色 | |
| dc.title (題名) | Anchoring Bias and Return Predictability: the Role of Individualism and Time Series Strategies | |
| dc.type (資料類型) | report | |
