臺灣博碩士論文加值系統

　　本文檢驗台灣股市投資人是否存在偏好過去每日報酬率最高值(Max)大的股票、偏好過去報酬率分配偏態大的股票、以及偏好過去報酬率標準差較大的股票等三項行為偏誤。同時，本文探討以上三項行為偏誤對於動能策略的獲利會產生何種影響。我們發現台股市場中，以上個月Max大小將所有股票排序成五等分，建構每個月購買最低Max群組中所有股票並賣出最高Max群組中所有股票的投資策略，負報酬與Bali, Cakici and Whitelaw (2011)於美國股票市場所發現的結果相反。但在周頻率下，如果形成每周購買最高 Max群組並賣出最低Max群組的投資策略，在控制已知風險因子後仍可以獲得顯著的異常報酬。進一步以雙重排序方法可以確認，Max對個別股票未來報酬率的預測能力並不能被過去報酬率所解釋，上述投資策略所產生的異常報酬也無法被動能策略的報酬率變化所解釋。

　　This paper investigates whether the investors in Taiwan stock market prefer those stocks with higher values in the maximum daily returns (Max, hereafter) in the past, with higher values in skewness of the return distribution, and with higher standard deviation. We examine the impacts of these three behavioral biases on the profitability of the momentum strategies. At the beginning of each month, we sort all stocks into five quintiles according to their values in Max and construct an investment strategy that buys all stocks in the lowest quintile and sells all stocks in the highest one. The investment strategy generates a significantly negative returns, which is inconsistent with the finding of Bali, Cakici and Whitelaw (2011). However, on a weekly basis, a strategy that buys all stocks in the highest Max quintile and sells those in the lowest quintiles generates a significant abnormal return after we control the well-known risk factors. Moreover, with double sorting, we confirm that the predictability on future stock returns of Max cannot be attributed to the past stock returns and the abnormal return of the investment strategy cannot be explained by the momentum risk factor.

誌謝　I
摘要　II
Abstract　III
目錄　IV
圖目錄　VI
表目錄　VII

第壹章　緒論　1
　第一節　研究背景與動機　1
　第二節　研究目的　4
　第三節　研究架構　4
第貳章　文獻探討　6
　第一節　偏態相關文獻　6
　　(一)、槓桿效果假說　6
　　(二)、波動性回饋假說　6
　　(三)、意見差異假說　7
　　(四)、機率性泡沫假說　7
　　(五)、資訊階露裁量假說　7
　第二節　樂透股票與報酬最大值(Max)相關文獻　9
　第三節　動能現象文獻　10
　第四節　投資人偏好　11
第參章　研究方法　12
　第一節　研究期間與資料來源　12
　第二節　研究模型　12
　　(一)、建構動能投資組合策略　12
　　(二)、建構Max投資組合策略　12
　　(三)、建構Skewness 投資組合策略　13
　第三節、四個變數在資產定價模型中的影響　14
　第四節、動能策略與Max策略雙重排序　14
　第五節、動能策略與偏態的雙重排序　15
第肆章　實證結果與分析　16
　第一節　五組投資組合敘述性統計　16
　第二節　各變數在三因子模型下的超額報酬　33
　第三節　動能策略與Max策略的雙重排序　35
　第四節　動能策略與股票偏態的雙重排序　36
　第五節　動能策略與標準差的雙重排序　38
第五章　結論與建議　40
參考文獻　42
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　二、英文文獻　42

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