 INVESTOR ATTENTION, PSYCHOLOGICAL ANCHORS, AND THE STEALTH INDEXChih-Wen Yang, Chun-An Li and Sam Ting-Hsin Hsu The International Journal of Business and Finance Research, 2017, vol. 11, issue 2, 79-92 Abstract: We categorize the stocks in the Taiwan share market by size, value, and growth, then form the portfolio index for each group according to the Taiwan Stock Exchange’s weighted index method. Li and Yu’s (2012) measurement method for investors’ under- and overreactions, as well as Fama and French’s (1993) three-factor analysis, are utilized to examine under- and overreactions regarding shares that cannot be observed by investors. The empirical results indicate that aside from the existence of under- and overreactions in the Taiwan Stock Exchange’s weighted index, the indices formed according to stock size, value, and growth also contribute to price reactions. Li and Yu (2012) measure investors’ reactions based on anchoring and limited attention. This study discovers that aside from a highly exposed market index, various stocks’ non-observable weighted indexes also demonstrate the under- and overreaction phenomenon. This indicates that share prices would still be affected by both limited attention to other important information and the investor’s anchoring Keywords: Underreaction; Overreaction; Three-Factor Model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:11:y:2017:i:2:p:79-92 Access Statistics for this article The International Journal of Business and Finance Research is currently edited by Terrance Jalbert More articles in The International Journal of Business and Finance Research from The Institute for Business and Finance Research |
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