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Research on the Reversal Effect of Growth Stocks = = Cheng chang gu fan zhuan xiao ying yan jiu.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Research on the Reversal Effect of Growth Stocks =/
Reminder of title:	Cheng chang gu fan zhuan xiao ying yan jiu.
remainder title:	Cheng chang gu fan zhuan xiao ying yan jiu.
Author:	You, Xianxian.
Description:	1 online resource (51 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 85-11, Section: A.
Contained By:	Dissertations Abstracts International85-11A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798382493442

Research on the Reversal Effect of Growth Stocks = = Cheng chang gu fan zhuan xiao ying yan jiu.
You, Xianxian.

Research on the Reversal Effect of Growth Stocks =Cheng chang gu fan zhuan xiao ying yan jiu.Cheng chang gu fan zhuan xiao ying yan jiu. - 1 online resource (51 pages)

Source: Dissertations Abstracts International, Volume: 85-11, Section: A.

Thesis (D.B.A.)--Arizona State University, 2024.

Includes bibliographical references

This study delves into the reversal effects in the U.S. stock market using American stock data from 1970 to 2022 listed on the New York Stock Exchange, American Stock Exchange, and NASDAQ. The aim is to answer two key questions. What are the characteristics that make certain groups of stocks exhibit stronger reversal effects? And what are the market conditions that help contribute to stronger reversal effects? First, the dissertation examines whether growth stocks exhibit stronger reversal effects compared to value stocks from the perspective of growth stocks. The study uses the price-to-earnings ratio (P/E ratio) to measure stock growth, with high P/E ratio stocks classified as growth stocks and low P/E ratio stocks classified as value stocks. The findings reveal: 1) the reversal effects of growth stocks are significantly stronger than those of value stocks; 2) after a substantial market decline in the previous year, the reversal effects of stocks are significantly stronger; and 3) across different market conditions, the reversal effects of growth stocks are consistently stronger than those of value stocks, and growth stocks exhibit the most pronounced reversal effects in markets following significant declines.Next, the dissertation explains why the reversal effects of growth stocks are stronger from three perspectives: market risk exposure, interest rate sensitivity, and profit volatility. The findings suggest that the market BETA, duration, interest rate sensitivity, earnings per share volatility, and positive correlations with the Purchasing Managers' Index (PMI) for growth stocks are all significantly higher than those for value stocks. This helps explain why, during stock market rallies/interest rate declines/economic expansions, the rebound strength of growth stocks' prices/profits is higher than that of value stocks, leading to stronger reversal effects. Finally, the study finds that the phenomenon of "stronger reversal effects in growth stocks" also holds true in the A-share market, which is viewed as an emerging market.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798382493442Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Reversal effectsIndex Terms--Genre/Form:

554714
Electronic books.

Research on the Reversal Effect of Growth Stocks = = Cheng chang gu fan zhuan xiao ying yan jiu.
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504 $a Includes bibliographical references
520 $a This study delves into the reversal effects in the U.S. stock market using American stock data from 1970 to 2022 listed on the New York Stock Exchange, American Stock Exchange, and NASDAQ. The aim is to answer two key questions. What are the characteristics that make certain groups of stocks exhibit stronger reversal effects? And what are the market conditions that help contribute to stronger reversal effects? First, the dissertation examines whether growth stocks exhibit stronger reversal effects compared to value stocks from the perspective of growth stocks. The study uses the price-to-earnings ratio (P/E ratio) to measure stock growth, with high P/E ratio stocks classified as growth stocks and low P/E ratio stocks classified as value stocks. The findings reveal: 1) the reversal effects of growth stocks are significantly stronger than those of value stocks; 2) after a substantial market decline in the previous year, the reversal effects of stocks are significantly stronger; and 3) across different market conditions, the reversal effects of growth stocks are consistently stronger than those of value stocks, and growth stocks exhibit the most pronounced reversal effects in markets following significant declines.Next, the dissertation explains why the reversal effects of growth stocks are stronger from three perspectives: market risk exposure, interest rate sensitivity, and profit volatility. The findings suggest that the market BETA, duration, interest rate sensitivity, earnings per share volatility, and positive correlations with the Purchasing Managers' Index (PMI) for growth stocks are all significantly higher than those for value stocks. This helps explain why, during stock market rallies/interest rate declines/economic expansions, the rebound strength of growth stocks' prices/profits is higher than that of value stocks, leading to stronger reversal effects. Finally, the study finds that the phenomenon of "stronger reversal effects in growth stocks" also holds true in the A-share market, which is viewed as an emerging market.
520 $a 本研究使用 1970-2022 年在纽约股票交易所、美国股票交易所和纳斯达克股票市场上市的美国股票数据深入研究美国股票市场的反转效应，旨在回答：什么特征的股票群体具有更强的反转效应？什么样的市场环境具有更强的反转效应？本文以成长股为视角研究成长股的反转效应相比于价值股是否更强。本文使用市盈率来衡量股票的成长性，高市盈率的股票为成长股，低市盈率的股票为价值股。研究发现： 1）成长股的反转效应显著强于价值股的反转效应；2）当上一年度市场经历大跌之后，股票的反转效应显著更强；3）在不同的市场环境中，成长股的反转效应均比价值股的反转效应强，而且成长股的反转效应在大跌后的市场中表现得最为明显。其次，本文从市场风险暴露，利率敏感度和盈利波动性三个视角来解释为什么成长股的反转效应更强。本文发现成长股的市场 BETA、久期、利率敏感度、每股收益率波动性以及与 PMI 的正相关性均显著大于价值股。这有助于解释，当股票市场上涨/利率下行/宏观经济好转时，成长股价格/盈利的反弹力度均高于价值股，从而表现出更强的反转效应。最后，本文研究发现"成长股的反转效应更强"的现象同样存在于作为新兴市场的 A 股市场。
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653 $a Reversal effects
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653 $a Market conditions
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880 1 0 $6 245-01/$1 $a Research on the Reversal Effect of Growth Stocks = $b 成长股反转效应研究.
880 3 1 $6 246-02/$1 $a 成长股反转效应研究.