臺灣博碩士論文加值系統

本篇論文探討美國市場的周動能策略獲利的影響，跟之前的研究結果是一致的，根據前一周的股價表現，去執行動能策略得到的報酬，存在著前幾周有報酬反轉的現象(由負報酬轉變成正報酬)，然後變成持續的正報酬在接下來的一年持有時間裡，根據資訊逐漸傳播模型，我假設有較快的資訊傳播速度或是有較少的資訊不確定性的股票，預期會出現較少的不正常周動能策略報酬現象，本篇論文用了許多分析師的相關資料來當作代理變數去檢驗此假說，然而結果只顯示出部分支持假說。

This study examines the profitability of weekly momentum effects in the US market. Consistent with the finding of the previous study, the returns to a long-short strategy based on prior one-week price performance exhibit initial reversals for the first few weeks and then change to return continuations for the remaining year. Based on the gradual information diffusion model, I hypothesize that stocks with greater speed of information diffusion or less information uncertainty are expected to show weaker anomaly returns to such weekly long-short strategies. This study, using analyst following data as proxy variables, however only finds partial support to these hypotheses.

1. Introduction 1
2. Literature Review 2
2.1 Momentum Strategies 2
2.2 Explanations for Momentum Returns 4
2.3 The impact from information diffusion and information uncertainty. 6
2.3.1 Analyst coverage 6
2.3.2 Forecast revisions 7
2.3.3 Dispersion in earnings forecast 8
2.3.4 Historical Analysis Forecast Bias. 8
3. Research Hypotheses 9
4. Data and Methodology 11
4.1 Data 11
4.2 Definitions of Variables 11
4.3 Methodology 13
5. Momentum Strategies-Sort on Different Ways 14
5.1 Sort on Firm Size 14
5.2 Sort on Analyst Coverage Residual 15
5.3 Sort on Analyst Forecast Revisions 16
5.4 Sort on Dispersion in Analyst Earnings Forecast 17
5.5 Sort on Historical Analyst Forecast Bias 17
6. Conclusion 18
References 20
Table 1 Summary Statistics of Analyst Forecasts: 1976 to 2008 23
Table 2 Profits to weekly long-short strategies (Winners minus losers) 25
Table 3 Profits to weekly long-short strategies in different time period 26
Table 4 Weekly long-short strategies, using raw returns and sorting by size 27
Table 5 Weekly long-short strategies, using raw returns and sorting by analyst coverage residual 28
Table 6 Weekly long-short strategies, using raw returns and sorting by analyst forecast revision 29
Table 7 Weekly long-short strategies, using raw returns and sorting by dispersion in analyst earnings forecast (C.V) 30
Table 8 Weekly long-short strategies, using raw returns and sorting by dispersion in analyst earnings forecast (DISP) 31
Table 9 Weekly long-short strategies, using raw returns and sorting by historical analyst forecast bias 32

Bhushan, Ravi, 1989, Firm characteristics and analyst following, Journal of Accounting and Economics, 11 , 255-274.
Brennan, Michael J., Narasimhan Jegadeesh, and Bhaskaran Swaminathan, 1993, Investment analysis and the adjustment of stock prices to common information, Review of Financial Studies 6, 799–824.
Barberis, N., Shleifer, A., and Vishny, R., 1998, A model of investor sentiment, Journal of Financial Economics, 49, 307-343.
Chan Kalok, Allaudeen Hameed and Wilson Tong, 2000, Profitability of momentum stragegies in the international equity markets, Journal of Financial and Quantitative Analysis, 35, 153-172.
Cooper, Rick A., Theodore E., Day, and Craig M. Lewis, 2001, Following the leader: a study of individual analysts’ earnings forecasts, Journal of Financial Economics, 61, 383–416.
Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2010, Individualism and momentum around the world, Journal of Finance, 65, 361 - 392.
Daniel, K., Hirshleifer, D., and Subrahmanyam, A., 1998, Investor psychology and security market under- and overreactions, Journal of Finance, 53, 1838-1885.
Diether, Karl B., Christopher J. Malloy, and Anna Scherbina, 2002, Differences of opinion and the cross section of stock returns, Journal of Finance 57, 2113-2141.
Grinblatt, Mark, and Sheridan Titman, 1989, Mutual fund performance: An analysis of quarterly portfolio holdings, Journal of Business, 62, 393-416.
Givoly, Dan, and Josef Lakonishok, 1979, The information content of financial analysts'' forecasts of earnings: Some evidence on semi-strong inefficiency, Journal of Accounting and Economics 1, 165-185.
Gutierrez, Roberto C. JR., and Eric K. Kelley, 2008, The long-lasting momentum in weekly returns, Journal of Finance, 1, 415-447.
Hong, Harrison, and Jeremy C. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance, 54, 2143-2184.
Hong, Harrison, Terence Lim, and Jeremy C. Stein, 2000, Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies, Journal of Finance, 55, 265-295.
Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance, 45, 881-898.
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Return to buying winners and selling loser: implication for stock market efficiency, Journal of Finance, 48, 65-91.
Jegadeesh, Narasimhan, and Sheridan Titman, 1995, Overreaction, delayed reaction, and contrarian profits, Review of Financial Studies, 8, 973–993.
Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: an evaluation of alternative explanation, Journal of Finance, 56, 699-720.
Levy, Robert A., 1967, Relative strength as a criterion for investment selection, Journal of Finance, 22, 595-610.
Lehmann, Bruce N., 1990, Fads, martingales, and market efficiency, the Quarterly Journal of Economics, 105, 1-28.
Loh, Roger K., and G. Mujtaba Mian, 2006, Do accurate earnings forecasts facilitate superior investment recommendations, Journal of Financial Economics, 80, 455–483.
Michaely, Roni, and Kent, L., Womack, 1999, Conflict of interest and the credibility of underwriter analyst recommendations, The review of financial studies, 12, 653-686.
Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Finance, 53, 267-284.
Yu, Fang, 2008, Analyst coverage and earnings managemen, Journal of Financial Economics, 88, 245–271.
Zhang, X. Frank, 2006, Information uncertainty and stock returns, The Journal of Finance, 61, Pages 105 – 137.