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Empirical study on stock's capital returns distribution and future performance.

机译：股票资本收益分配与未来绩效的实证研究。

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摘要

Investors subject to reference dependence and mental accounting tend to make decisions based on the unrealized losses and gains relative to a reference point, and behave consistently with the disposition effect. In this paper, I focus my study on stocks' capital returns distribution, which is a distribution of each stock that represents the relative capital gains/losses of all shareholders during a target time period. Empirical evidences show the mean value and the skewness of stock's capital returns distribution play significant roles in forecasting future performance. For stocks with a negative mean value of the distribution, the only significant parameter is the skewness, while for stocks with positive mean, that parameter is the mean. This finding suggests an investment strategy taking advantage of the capital returns distribution may generate significant capital returns. I name stocks with lowest skewness among those having negative mean as losing stocks and name stocks with the largest positive mean values as winners. Running horse-race of buy-winner portfolio and short-loser portfolio after a holding period varying from one month to two years gives us a total of twelve investment strategies examined in this paper. There is an inverted U shape in the cumulative portfolio returns. Both the short-loser and buy-winner strategy beat the market in short- and medium-term, and generate significant abnormal returns for investors. But after two years of the portfolio formation, the profitability of strategies tested in this paper dissipates.
机译：受参考依赖和心理会计约束的投资者倾向于根据相对于参考点的未实现损失和收益做出决策，并且行为与处置效应一致。在本文中，我将研究重点放在股票的资本收益分布上，即代表目标时间段内所有股东的相对资本损益的每只股票的分布。经验证据表明，股票资本收益率的均值和偏度在预测未来绩效中起着重要作用。对于分布的平均值为负的股票，唯一的重要参数为偏度，而对于平均值为正的股票，该参数为均值。这一发现表明，利用资本收益分配的投资策略可能会产生可观的资本收益。我将偏度最低的股票命名为亏损股票，并将负平均值的股票命名为赢家。持有期从一个月到两年不等的买入获胜者投资组合和卖空者投资组合的竞争为我们提供了总共十二种投资策略。累计投资组合收益呈倒U形。空头和赢家策略在短期和中期都击败了市场，并为投资者带来了可观的异常收益。但是，在投资组合形成了两年之后，本文测试的策略的盈利能力就消失了。

著录项

  • 作者

    Liu, Han.;

  • 作者单位

    Clemson University.;

  • 授予单位 Clemson University.;
  • 学科 Economics Finance.;Economics Theory.
  • 学位 M.A.
  • 年度 2013
  • 页码 35 p.
  • 总页数 35
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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