橫斷面報酬變異剖析;An Anatomy of Cross-Sectional Return Dispersions

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題名:	橫斷面報酬變異剖析;An Anatomy of Cross-Sectional Return Dispersions
作者:	周賓凰;柯冠成
貢獻者:	國立中央大學財務金融學系
關鍵詞:	管理科學
日期:	2014-03-11
上傳時間:	2014-03-11 14:42:53 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	研究期間：10308~10407;Why do stock prices move toward the same direction sometimes but fluctuate in disperse directions in some other times? Evidence indicates that stocks tend to comove under extreme market conditions, especially during market downturns. Of the ten biggest one-day movements in the S & P 500 index since 1947, nine were declines. But why? Higher correlations among stocks imply lower portfolio diversification effects, thus causing a negative impact on investors’ performance and increasing the complexity of risk management, especially in downward markets. Therefore, understanding the nature of return comovement and its implications is an important research issue. During the past few decades, although the academics have achieved a great deal in understanding the nature of financial markets, yet we still know very little concerning why stocks behave similarly sometimes but differently in some other times. To tackle this research question, we adopt the return dispersion (RD) measure, the crosssectional variance of all individual stocks in the market, as the aggregate measure of return comovement across the market. The past literature has investigated the issue from a rationality-based information perspective; some studies try to tackle the issue from behavioral perspectives as RD is considered to be related to investor sentiment. To date, however, there is no study yet that fully explores the real determinants of RD. The major contribution of this project is that I provide thorough theoretical decompositions of the return dispersion measure that allows for differentiating the real causes of return dispersion. I shall conduct two sub-projects in this 3-year project. 1. I will provide complete theoretical analysis of return dispersions, and conduct an empirical analysis using the U.S. data. 2. I will investigate how RD is related to the well-known anomalies (size, BM, and momentum) from both rational and behavioral perspectives.
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
顯示於類別:	[財務金融學系] 研究計畫

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