DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, In-Joon | - |
dc.contributor.advisor | 김인준 | - |
dc.contributor.author | Kim, Jeong-Hyeon | - |
dc.contributor.author | 김정현 | - |
dc.date.accessioned | 2011-12-27T02:02:21Z | - |
dc.date.available | 2011-12-27T02:02:21Z | - |
dc.date.issued | 1996 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=105250&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/52972 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 산업경영학과, 1996.2, [ v, 51 p. ] | - |
dc.description.abstract | A highly controversial issue in financial economics is whether stocks overreact. Recent research finds that the prior period``s worst stock return performances (losers) outperform the prior period``s best return performers (winners) in the subsequent. This study of market efficiency investigates whether such behavior affects stock prices. In this paper we find systematic price reversals for stocks that experience extreme prior winners and losers. Extreme loser outperforms extreme winner for equally weighted market-adjusted excess rate of returns by 38.8% over three-year test period, when formation period is two-year. In portfolios formed on the basis of prior returns, after adjusting for beta, extreme losers outperform extreme winners by 9.6% per year. The winner-loser effect is not primarily a size effect. The small firm effect is partly a losing firm effect, but even if the losing firm is removed by equal size, there are still excess returns to small firms. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Winner Portfolio | - |
dc.subject | Overreaction | - |
dc.subject | Loser Portfolio | - |
dc.subject | 평균누적초과수익률 | - |
dc.subject | 시장조정초과수익률 | - |
dc.subject | 주가과민반응 | - |
dc.subject | ACAR | - |
dc.title | Overreaction in the Korean stock market | - |
dc.title.alternative | 한국주식시장의 과민반응현상에 관한 실증적 연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 105250/325007 | - |
dc.description.department | 한국과학기술원 : 산업경영학과, | - |
dc.identifier.uid | 000943120 | - |
dc.contributor.localauthor | Kim, In-Joon | - |
dc.contributor.localauthor | 김인준 | - |
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