 |
| 篇名/題名： | Can the January Anomaly in Taiwan''''s Stock Market be Explained with the Prospect Theory |
| 摘要： | This study employs the prospect theory proposed by Kahneman and Tversky to examine the January anomaly in Taiwan''s stock market. The disposition effect of the prospect theory suggests that investors tend to realize gains earlier in January if the preceding December was bullish. Consequently, the selling pressure would mitigate the anomaly. On the other hand, a bearish market in the preceding December causes investors to hold the losers longer, which in turn reduces the selling pressure in January to make the anomaly more significant. Accordingly, we hypothesize that the anomaly could be affected by the stock performance in the preceding December. Our hypotheses are empirically supported. |
| 類型： | 期刊論文 |
| 版次： | Quantitative Finance，第8卷，頁335-339。 |
| 西元出版年： | 2011 |
| 著作語言： | en |
| 作者： | 簡金成、陳宗成
|
| 學校系所： | 財務金融系 |
|
