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GPR Report – Behavioral Finance [慣性盈餘]

Examining on Post Earnings Announcement Drift (PEAD), we deliver a long-short strategy generating 9.96% alpha with -0.45 S&P 500 beta.

[中文]

策略主要捕捉投資者對財務訊息”反應不足”的現象:當每季財務訊息公布後,訊息不會立即反應完畢,而會存在一段時間的價格偏差,且偏差將修正到下季財務公布時。

GPR Report – 2019.02 – 慣性盈餘

 

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