臺灣博碩士論文加值系統

本論文首先檢視傳統的動能策略從1930年1月到2010年12月在美國股票市場之表現， 發現在市場大跌之後，此投資組合同樣也面臨大的下跌風險，尤其是在2000年的網路泡沫與2008年的信用風暴之後。

本論文試著以殘差分析與價格風險調整來改進傳統的動能策略，主要有兩部分： 第一部分為利用各個股票之報酬率與殘差報酬率分別排序來建立投資組合；第二部分為調整傳統動能策略投資組合之價格風險。此利用殘差分析或價格風險調整後的投資組合，其表現皆會優於傳統的動能策略。

This dissertation first examines the performance of the conventional momentum strategy in the U.S. stock market over the period from January 1930 to December 2010. We can find, after the market collapses, the investment portfolio'' s perfomance of the conventionalmomentum strategy faces a large drawdown risk. This is especially profound after the Dot-Com bubble in 2000 and the Credit Crash in 2008.

We then propose two types of modifications to improve the conventional momentum strategy by using the residual analysis and the price-risk adjustment. To form the portfolios, the first modification is based on independently sorting the stocks according to their total returns and residual returns. The second is to adjust the price risk of the portfolios. These portfolios formed by the residual analysis or the price-risk adjustment perform better than the conventional momentum strategy.

誌謝i
中文摘要ii
英文摘要iii
1 Introduction 1
1.1 Momentum Strategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Momentum Crashes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Residual Momentum . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.4 Price Risk Adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2 Related Literature 7
2.1 Empirical Evidence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.1.1 Long Horizon Return Predictability . . . . . . . . . . . . . . . . 8
2.1.2 Intermediate Horizon Return Predictability . . . . . . . . . . . . 11
2.2 Theoretical Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.2.1 Barberis, Shleifer and Vishny Model . . . . . . . . . . . . . . . . 13
2.2.2 Daniel, Hirshleifer and Subrahmanyam Model . . . . . . . . . . 16
2.2.3 Hong and Stein Model . . . . . . . . . . . . . . . . . . . . . . . 18
3 Momentum Strategy 21
3.1 Data and Portfolio Formation . . . . . . . . . . . . . . . . . . . . . . . . 21
3.2 Momentum Portfolio Performance . . . . . . . . . . . . . . . . . . . . . 23
3.3 Momentum Crashes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
3.4 Robustness Check . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
4 Residual Momentum Strategy 34
4.1 Cross-Sectional Residual Momentum . . . . . . . . . . . . . . . . . . . 35
4.2 Time Series Momentum . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
4.3 Time Series Residual Momentum . . . . . . . . . . . . . . . . . . . . . . 39
4.4 Data and Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
4.5 Empirical results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
5 Price Risk Adjustment 52
5.1 Price-Risk-Information-Diffusion Model . . . . . . . . . . . . . . . . . . 54
5.1.1 Naive Newswatchers . . . . . . . . . . . . . . . . . . . . . . . . 54
5.1.2 Front-running Newswatchers . . . . . . . . . . . . . . . . . . . . 55
5.1.3 Momentum Traders . . . . . . . . . . . . . . . . . . . . . . . . . 56
5.1.4 Equilibrium Discussion . . . . . . . . . . . . . . . . . . . . . . . 58
5.1.5 Numerical Analysis . . . . . . . . . . . . . . . . . . . . . . . . . 59
5.2 Data and Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
5.3 Price-Risk-Adjusted Momentum Strategies . . . . . . . . . . . . . . . . 63
5.4 Robustness Check . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
6 Conclusions and Future Researches 73
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