Long-Term Return Reversals: Overreaction or Taxes?  

Oleh:

George, Thomas J. ; Chuan-Yang, Hwang

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 6 (Dec. 2007), page 2865-2896.
Topik: Reversal; Overreaction; Tax
Fulltext: p 2865.pdf (202.28KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

Long-term reversals in U.S. stock returns are better explained as the rational reactions of investors to locked-in capital gain than an irrational overreaction to news. Predictors of returns based on the overreaction hypothesis have no power, while those that measure lock-in capital gains do, completely subsuming past returns measures that are traditionally used to predict long-term returns. In data from Hong-Kong, where investment income is not taxed, reversals are nonexistent, and returns are not forecstable either by traditional measures or by measures based on the capital gains lock-in hypothesis that successfully predict U.S. returns.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali