臺灣博碩士論文加值系統

本論文實證了日本與英國市場之週動能效應，利用買進前週贏家與賣出前週輸家並且持有期為1到52週的投資策略，英國於持有極短期的策略下會有反轉現象，隨著持有期間增加則會有越來越顯著的正報酬率，並從中發現極短期的反轉會被後期的動能效應抵消，而日本則只有期初的反轉現象產生。此外並探討週動能現象與資訊傳遞理論與資訊不確定性之相關性，英國的實證結果顯示若是有較少的分析師報導、分析師修正預測之人數較少、分析師修正盈餘於較多與預測誤差越大的股票會有較大的週動能效應，而對於日本則沒有此現象產生。

This study examines weekly momentum strategies that buy prior week''s winners and sell prior week''s losers, holding one to 52-weeks. The results in the UK market reveal that such long-short strategies lead to negative returns briefly and then become profitable as the holding period is extended over a longer period of time, suggesting an initial return reversal followed by return continuations. Similar results however are not observed for the Japanese market. Consistent with the gradual information diffusion hypothesis, the weekly momentum strategies in the UK are found most profitable in firms with less analyst coverage and less frequencies of forecast revisions. Moreover, consistent with the information uncertainty hypothesis, the UK stocks are found to generate greater weekly momentum returns when having higher levels of analyst forecast revision and historical forecast bias.

Contents
1. Introduction 1
2. Literature Review 5
2. 1 Empirical Findings of Momentum 5
2. 2 Behavioral Explanations for Momentum Return 7
2. 3 Information Diffusion 8
2. 4 Information Uncertainty 10
3. Research Hypotheses 13
4. Data and Methodology 15
4.1 Data Description 15
4.2 Trading Strategies 15
4.3 Proxy Variables Definitions 17
4.4 Descriptive Statistics 18
5. Empirical Result 19
5. 1 Weekly Momentum Return 19
5. 2 Weekly Momentum and Information Diffusion 21
5. 3 Weekly Momentum and Information Uncertainty 25
6. Conclusion 29
Reference 31
 
Table
Table 1: Summary Statistics of Analyst Forecasts: 1987 to 2008 35
Table 2: Average Weekly Momentum Return 38
Table 3: Average Weekly Momentum Return in Event Time 39
Table 4: Average Weekly Momentum Return: Sub-period Analysis 40
Table 5: Average Weekly Momentum Return Sorted by Firm Size 41
Table 6: Average Weekly Momentum Return Sorted by Residual Analyst Coverage 42
Table 7: Average Weekly Portfolio Return of LAST strategy 43
Table 8: Average Weekly Momentum Return Sorted by Number of Revision 44
Table 9: Average Weekly Momentum Return Sorted by Analyst Forecast Revision 45
Table 10: Average Weekly Momentum Return Sorting by Coefficient of Variation (CV2) 46
Table 11: Average Weekly Momentum Return Sorting by Dispersion in Analyst Forecast (DISP1) 47
Table 12: Average Weekly Momentum Return Sorting by Historical Forecast Bias (Bias1a) 48
Table 13: Average Weekly Momentum Return Sorting by Historical Forecast Bias (Bias2a) 49
 
Figure
Figure 1: Cumulative Profit of Weekly Momentum Strategy 50
Figure 2:Cumulative Profit of Weekly Momentum Strategy Sorting by Size 51
Figure 3: Cumulative Profit of Weekly Momentum Strategy Sorting by Residual Analyst Coverage 52
Figure 4: Cumulative Profit of Weekly Momentum Strategy Sorting by Rev_Att 53
Figure 5: Cumulative Profit of Weekly Momentum Strategy Sorting by Rev_Unc 54
Figure 6: Cumulative Profit of Weekly Momentum Strategy Sorting by CV2 55
Figure 7: Cumulative Profit of Weekly Momentum Strategy Sorting by DISP1 56
Figure 8: Cumulative Profit of Weekly Momentum Strategy Sorting by Bias1a 57
Figure 9: Cumulative Profit of Weekly Momentum Strategy Bias2a 58

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