Abstract
This study tried to take the systematic viewpoint to re-discuss the relationships among corporate transparency, heterogeneous investor beliefs, and stock returns or momentum profits. Samples were obtained from the listed firms in the Taiwan stock market during 2005 to 2011. Our empirical results were as follows: (1) When earning is positive, less corporate transparency may increase higher heterogeneity of investor beliefs, and further boost stock returns; however, when earning is negative, less transparency may still lead more heterogeneous beliefs, but further decrease stock returns; (2) Higher corporate transparency may produce momentum profits in the Taiwan stock market given shorter formation and holding periods; (3) Higher heterogeneity of investor beliefs may produce momentum profits in the Taiwan stock market given shorter formation periods; (4) When simultaneous consideration of both higher corporate transparency and higher heterogeneity of investor beliefs, all portfolios can produce more momentum profits. The empirical findings of this study thus supplemented those of Verardo (2009) and filled a gap in the literature.
Published Version
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