Long-term return reversals: Overreaction or taxes?

• 成果类型: Article
• 署名作者: George, Thomas J.; Hwang, Chuan-Yang
• 署名单位: University of Houston System; University of Houston; Nanyang Technological University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01295.x
• 发表日期: 2007
• 页码: 2865-2896
• 关键词: MARKET-EFFICIENCY; momentum; INVESTMENT; tests; explanations; equilibrium; performance; strategies; investors; anomalies

摘要

Long-term reversals in U.S. stock returns are better explained as the rational reactions of investors to locked-in capital gains than an irrational overreaction to news. Predictors of returns based on the overreaction hypothesis have no power, while those that measure locked-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 forecastable either by traditional measures or by measures based on the capital gains lock-in hypothesis that successfully predict U.S. returns.