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A New Momentum and Reversal under Prospect Theory: Introduction and Their Implications : 전망이론에 기반한 새로운 주식수익률 모멘텀과 역전현상 제시 및 의미분석
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 고봉찬 | - |
dc.contributor.author | 김형주 | - |
dc.date.accessioned | 2017-07-14T05:17:52Z | - |
dc.date.available | 2017-07-14T05:17:52Z | - |
dc.date.issued | 2016-02 | - |
dc.identifier.other | 000000132383 | - |
dc.identifier.uri | https://hdl.handle.net/10371/124631 | - |
dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2016. 2. 고봉찬. | - |
dc.description.abstract | Based on the prospect theory value (TK value) by Barberis et al. (2014), I construct new Short-term TK by using the previous 12-month returns and Extreme TK by using only 20 extreme returns among 60-month historical returns. Although stocks with a high original TK generate low subsequent returns (reversal), stocks with high Short-term TK generate high subsequent returns (momentum). This new momentum is distinguished from price momentum, and helps to decompose the causes of price momentum into underreaction and delayed overreaction. Furthermore, Extreme TK persistently generates a larger reversal than the original TK. Also with more sophisticated analysis, I show that Extreme TK is a lottery proxy variable, whereas the original TK is not. | - |
dc.description.tableofcontents | 1. Introduction 1
2. Prospect Theory Value 7 3. Speed of Price Correction 11 4. Data and Variables 13 5. Short-term TK Analyses Results 18 5.1 TK Momentum and JT Momentum Strategies 18 5.2 Comparison between TK Momentum and JT Momentum 20 5.3 Speed of Price Correction and TK Momentum 26 6. Extreme TK Analyses Results 29 7. Conclusion 33 References 35 국문초록 39 | - |
dc.format | application/pdf | - |
dc.format.extent | 1122699 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | Prospect Theory | - |
dc.subject | TK momentum | - |
dc.subject | price momentum | - |
dc.subject | return reversal | - |
dc.subject | lottery-type stock | - |
dc.subject.ddc | 658 | - |
dc.title | A New Momentum and Reversal under Prospect Theory: Introduction and Their Implications | - |
dc.title.alternative | 전망이론에 기반한 새로운 주식수익률 모멘텀과 역전현상 제시 및 의미분석 | - |
dc.type | Thesis | - |
dc.contributor.AlternativeAuthor | Hyung Joo Kim | - |
dc.description.degree | Master | - |
dc.citation.pages | 67 | - |
dc.contributor.affiliation | 경영대학 경영학과 | - |
dc.date.awarded | 2016-02 | - |
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