英文摘要 |
The Chinese Lunar New Year (CLNY) traditionally symbolizes a fresh start, including for investment performance. Therefore, we assume the presence of a reverse disposition effect prior to the CLNY in the Taiwanese stock market, that is, investors are more willing to sell losers than winners to reset the reference prices of losers so as to realize gains in future as predicted by Ingersoll & Jin (2013). Consistent with the predictions, we find that the arbitrage portfolios of longing paper-winners and shorting paper-losers generate significantly negative returns in the post-CLNY period but the portfolios yield only weak negative returns in the pre-CLNY period. More importantly, this strong negativity is primarily attributable to a price reversal of losers. Furthermore, we use the lagged change of M1B to inversely proxy for the necessity to sell stocks to satisfy the customary liquidity demands prior to the CLNY and thereby hypothesize an inverse relationship between the money supply and the reverse disposition effect. Moreover, we assume that mutual fund holdings are negatively associated with the effect because (due to year-end portfolio pumping behaviors) mutual funds provide a buying force against the aforementioned selling forces. Consistent with the assumptions, the evidence indicates that a significant negative arbitrage return is observed during the post- CLNY period when there is a decreased lagged change in M1B and for stocks with low or medium levels of mutual fund holdings. The conditional negative arbitrage returns survive tests of the three risk factors identified by Fama & French (1993). |