This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks.

動能效果是各國股票市場中最常見的異常現象，Sharpe (1964)提出資本資產定價模型(CAPM)，認為股票報酬與系統風險之間呈現正相關，而和其他非系統性風險無關，因此投資人透過投資所能獲得的超額報酬皆因承擔系統風險而得到的補償。然而近來許多實證研究的結果皆發現了一些非系統性風險能夠解釋股票報酬的異常現象，例如規模效應、本益比效應等等。若股票市場是具有效率的，那麼市場上所有已公開資訊皆應已充分反應在股價上，因此透過各種投資策略皆應無法獲得超額報酬，然而Jegadeesh and Titman (1993)卻發現利用買進過去報酬相對較佳之股票和賣出過去報酬表現相對較差之股票可獲得顯著的超額報酬，即所謂的動能投資策略，這種策略的獲利性很顯然的違背了效率市場假說，因此許多學者相繼提出理論來解釋造成此種現象之原因，其中有某些行為財務理論將此現象歸因於投資人對市場上之新訊息反應不足所致。 本文研究係以Grinblatt and Han (2005)的實證方法，透過建立資本利得與損失的代理變數來衡量由於處分效果造成股價反應不足之程度，並利用Fama-Macbeth橫斷面分析法來探討台灣股市的動能效果是否是因市場上存在處分效果，導致股價反應不足所引起。實證結果發現台灣股市在中長期(過去27到52週)存在顯著的動能效果，然而利用資本利得與損失的代理變數並無法成功的將該動能效果消除，顯示處分效果無法有效的解釋台灣股市中動能效果的來源。

This thesis examines the response of a representative agent investor to sequences (streaks) of quarterly earnings surprises over a period of twelve quarters using the United States S&P500 constituent companies sample frame in the years 1991 to 2006. This examination follows the predictive performance of the representative agent model of Rabin (2002b) [Inference by believers in the law of small numbers. The Quarterly Journal of Economics. 117(3).p.775 816] and Barberis, Shleifer, and Vishny (1998) [A model of investor sentiment. Journal of Financial Economics. 49. p.307 343] for an investor who might be under the influence of the law of small numbers, or another closely related cognitive bias known as the gambler s fallacy. Chapters 4 and 5 present two related empirical studies on this broad theme. In chapter 4, for successive sequences of annualised quarterly earnings changes over a twelve-quarter horizon of quarterly earnings increases or falls, I ask whether the models can capture the likelihood of reversion. Secondly, I ask, what is the representative investor s response to observed sequences of quarterly earnings changes for my S&P500 constituent sample companies? I find a far greater frequency of extreme persistent quarterly earnings rises (of nine quarters and more) than falls and hence a more muted reaction to their occurrence from the market. Extreme cases of persistent quarterly earnings falls are far less common than extreme rises and are more salient in their impact on stock prices. I find evidence suggesting that information discreteness; that is the frequency with which small information about stock value filters into the market is one of the factors that foment earnings momentum in stocks. However, information discreteness does not subsume the impact of sequences of annualised quarterly earnings changes, or earnings streakiness as a strong candidate that drives earnings momentum in stock returns in my S&P500 constituent stock sample. Therefore, earnings streakiness and informational discreteness appear to have separate and additive effects in driving momentum in stock price. In chapter 5, the case for the informativeness of the streaks of earnings surprises is further strengthened. This is done by examining the explanatory power of streaks of earnings surprises in a shorter horizon of three days around the period when the effect of the nature of earnings news is most intense in the stock market. Even in shorter windows, investors in S&P500 companies seem to be influenced by the lengthening of negative and positive streaks of earnings surprises over the twelve quarters of quarterly earnings announcement I study here. This further supports my thesis that investors underreact to sequences of changes in their expectations about stock returns. This impact is further strengthened by high information uncertainties in streaks of positive earnings surprise. However, earnings streakiness is one discrete and separable element in the resolution of uncertainty around equity value for S&P 500 constituent companies. Most of the proxies for earnings surprise show this behaviour especially when market capitalisation, age and cash flow act as proxies of information uncertainty. The influence of the gambler s fallacy on the representative investor in the presence of information uncertainty becomes more pronounced when I examine increasing lengths of streaks of earnings surprises. The presence of post earnings announcement drift in my large capitalised S&P500 constituents sample firms confirms earnings momentum to be a pervasive phenomenon which cuts across different tiers of the stock markets including highly liquid stocks, followed by many analysts, which most large funds would hold.

Prior studies have shown that returns exhibit certain predictable patterns that are inconsistent with the mainstream finance theory. In this thesis, I explore the behaviour of returns following three different types of market events with a particular focus on behavioural and non-behavioural factors that are attributable to the predictability of post-event returns. This thesis consists of three self-contained empirical essays. The first essay examines the information role of large S&P500 futures trades (commercial, noncommercial, dealers, asset managers, and hedge funds) in shaping future index returns. I find that commercial firms’ net trading level appears positively correlated with future index returns but the relationship is not stable across time. Based on more recent data, hedge funds appear superior in terms of access to information and/or trading ability but this advantage is only preserved at high frequency. Therefore, the current weekly Commitment of Traders (COT) report - published with a three-day delay - prevents timely public access to this type of information. Also, trading signals based on two of the more popular position-based sentiment indicators do not produce significant average returns. Overall, this calls into question the reliability of COT-based trading signals used by market professionals. The second essay studies the impacts of short sellers’ trading in shaping the behaviour of stock returns following extreme price moves using data from stock market in mainland China where short sales were initially prohibited. Extreme price moves occurring under non-prohibitive/prohibitive short-sale constraints are defined as shortable/non-shortable events. I find shortable events exhibit less post-event price drift/reversals than non-shortable ones, indicating an increase in the efficiency of stock prices reacting to unexpected events. Further analysis of short sellers’ trading activities on the price event days suggests that they are successful in trading informed price shocks but not in trading uninformed ones. Finally, I find evidence of massive short-covering that amplifies price shocks. The third essay investigates investors’ reaction to stock market rumours using data from China where listed companies are required to clarify rumours appearing in the media. I find that post-clarification abnormal returns exhibit continuation of pre-clarification momentum for rumours that are not denied by the listed companies and reversals for those which are denied. These results suggest that investors are unable to distinguish the reliable rumours from the false ones, as they under-react to rumours containing material information and over-react to those without. Further regression analyses on post-clarification abnormal returns using various subsamples of rumour events show that investors respond more efficiently to rumours when they are more informed about news topics or the rumoured companies.

Asymmetric information in the management-investor relationship implies that the management’s actions will give signals to investors. According to the signalling hypothesis, an announcement of a share repurchase program is interpreted by investors that the management is putting its money where its mouth is, i.e. signalling that the stock is currently undervalued. Using the event study methodology to analyze share repurchases of listed Swedish real estate companies, we find significant short-term abnormal returns of 1,96% on the announcement day and cumulative abnormal returns of 2,32% (although not significant on conventional levels) for the ten first days subsequent to the announcement. At the most fundamental level of corporate finance theory, the Efficient Market Hypothesis stipulates that the whole value of the announcement should be discounted in the stock price immediately. On the other hand, it might be rational for investors to await certainty that the share repurchase program will be executed, before discounting its full value. We find indications of underreaction as the analysis suggests long-term positive stock price reactions to the announcement. The Jensen’s alpha approach utilized in the long-term analysis suggests an average abnormal return of 10,30%, although insignificant on conventional levels, the year following a share repurchase announcement. From a stock investor point of view, the results from this study suggest that buying real estate stocks that announce share repurchase programs can yield positive abnormal returns for investment horizons of 10 days as well as 12 months.

This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks. / Yarmouk University, Jordan.

No description available.

本研究以台灣證券交易所1995年2月至2008年所有上市公司的資料為樣本，比較Jegadeesh and Titman (1993)提出的價格動能策略、Moskowitz and Grinblatt (1999)提出的產業動能策略以及George and Hwang (2004)的52週高價動能策略之間的獲利能力。研究分別進行了月平均報酬比較、元月效果檢視、配對比較、迴歸分析以及加入定錨效果的強韌性檢視。 / 結果發現，在持有期為6個月下，只有52週高價動能策略的獲利能力為顯著且報酬率最佳，月平均報酬率達1.12%，且其對報酬率的解釋能力無法被價格動能策略或產業動能策略給替代，然而52週高價動能策略卻能部分替代價格及產業動能策略的解釋能力，顯示52週高價動能策略相較於價格及產業動能策略而言有優勢性。本研究也發現動能策略投資組合的報酬率存在元月效應，無論是哪一種動能策略的贏家或輸家，在一月份的報酬皆大幅顯著的高於其他11個月份，顯示元月效應的確存在且會影響分析的結果。 / 而最後在迴歸分析裡，結果顯示在控制了公司市值、前一期報酬率、各動能投資策略的影響後，無論是全樣本或一月份除外，依然只有52週高價動能策略的獲利能力是顯著的。然而在經過F-F三因子模型風險調整後，各動能策略投資組合的報酬率皆下降，其中價格動能策略投資組合有顯著的負報酬率，而產業動能策略與52週動能策略投資組合則有不顯著的負報酬率，顯示動能投資策略可能暴露在市場風險下，投資人在採用動能投資策略進行投資決策時應謹慎對待。而強韌性的結果顯示加入定錨效果指標後，其對本研究之結果無顯著的改變。

在選定樣本期間1975-2009年下，動能操作策略在日本股市無法獲得顯著正報酬。在三個子樣本期間：1975年-1989年、1990年-1999年以及2000年-2009年下也獲得相同結論，顯示日本股市不存在動能效應。 動能操作策略中的贏家、輸家排序，與公司的財務特性有關。整體而言，輸家股票在平均成交量、平均市值上皆小於贏家股票。另外，動能操作策略在日本股市的月報酬並沒有明顯季節性變化。 本論文比較文獻上提出的三種不同動能操作策略：歷史報酬率法、52週高點法與移動平均比率法在日本股市的績效表現。三者在日本股市皆無法獲得顯著報酬。最後，進行動能操作策略的形成期間分析。在持有期間第11個月至第18個月內，日本股市出現價格反轉情形。根據形成期間歷史報酬率高低，採用前17個月至前12個月的六個月累積歷史報酬率作為選股依據，採取反向操作策略，發現日本股市存在價格反轉現象。 / Momentum strategies do not yield significant positive returns in the Japanese stock market in the sample period (1975 to 2009). In the three sub-periods, 1975 to 1989, 1990 to 1999 and 2000 to 2009, it demonstrates the same conclusion. Momentum effect does not exist in the Japanese stock market. This study shows that the ranking order of winners and losers is associated with financial characteristics of firm. Overall, average trading volume and average market value of losers stocks are both smaller than those of winners stocks. In addition, the monthly return of momentum strategies has no significant seasonal pattern in the Japanese stock market. In this study, we compare the performance of three different momentum strategies: JT’s individual stock momentum, the 52-week high and the moving average ratio in the Japanese stock market. All of three strategies in the Japanese stock market cannot receive significant profits. Final section tests the periodical analysis of momentum strategies. When extending the holding period, we can find that Japanese stock market experiences price reversal from the 11th to 18th months. According to the historical return in formation period, we choose six-month accumulated historical return (17 to 12 months prior to portfolio formation) as the stock selection principle. Under this contrarian strategy, we find that the Japanese stock market has phenomenon of price reversal.