臺灣博碩士論文加值系統

本文主要在研究貨幣環境對台灣股票報酬長期反轉的影響，首先驗證台灣股票市場存在長期反轉的證據，並利用 Fama and French三因子對長期反轉的原因進行探討，同時也驗證台灣股票市場的長期反轉是否存在顯著的元月效應。接下來針對貨幣環境的變化導致股票報酬長期反轉產生不對稱的現象進行探討，將取樣期間依照貨幣指標區分為寬鬆期與緊縮期，再依照不同期間進行迴歸，透過對結果的比較探討不同的貨幣環境對長期反轉的影響。最後加入 Fama and French 三因子作為公司特徵變數，並在不同的貨幣環境下進行迴歸，以探討不同的貨幣環境對於具有不同公司特性的股票之長期反轉影響為何。

本文研究結果發現台灣的股票市場的確具有明顯的長期反轉現象，同時我們也發現貨幣環境因子對輸家投資組合的反轉影響更勝對贏家投資組合報酬的影響。此外當貨幣環境緊縮時，投資人會避開高市場風險、規模較小、帳面淨值比(B/M)較大的輸家股票，轉而投向市場風險較低的股票，具有這些公司特性的股票也反應了一般投資人在面對緊縮的貨幣環境時，較不願意讓有限的資金暴露較高的風險。然而當資金轉趨寬鬆，投資人則回頭買入這些股票以追求更高的利潤，並造成這些股票的反轉。易言之，面對不同的公司特徵，投資人在不同貨幣環境下將會有不同的反應，也造成股價報酬反轉現象的差異。

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 本文架構 6
第二章 文獻回顧 7
第一節、有關長期反轉的文獻探討與回顧 7
第二節、有關貨幣環境與股價報酬的文獻探討與回顧 14
第三章 研究設計與方法 27
第一節、研究假說 27
一、長期反轉的現象 27
二、貨幣環境與長期反轉 29
三、貨幣環境因素與公司特性(三因子)對長期反轉的解釋能力 29
第二節、樣本選取與資料來源 31
第三節、研究方法 34
第一部分：三因子與長期反轉的現象 34
第二部分：貨幣環境與長期反轉 38
第三部分：貨幣環境與長期反轉 – 加入三因子作為控制變數 39
第四章、實證結果與假說驗證 43
第一節、長期反轉現象的驗證 43
第二節、探討贏家與輸家投資組合在元月效應上的不對稱 50
第三節、長期反轉與貨幣環境 52
第四節、公司特性、貨幣環境對長期反轉的影響 55
第五章、結論與研究建議 66
第一節、結論 66
第二節、後續研究建議 67
參考文獻 69
中文文獻： 69
英文文獻： 69

中文文獻(依筆劃順序)：
洪國軒，2007，反向投資策略之績效分析及因素之探討–以台灣股票市場為例，國立中央大學產業經濟研究所未公開碩士論文。
許溪南 郭玟秀 李依靜，2008，反向策略的績效與獲利因子：台灣股市之實證，中華管理評論國際學報，第11卷，頁23–58。
顧廣平，2005，單因子、三因子或四因子模式？，證券市場發展季刊，第17卷，第2期，頁101－146。

英文文獻(依字母順序)：
Acharya, V. V., and L. H. Pedersen. 2005. Asset pricing with liquidity risk. Journal of Financial Economics 77, 375–410.
Amihud, Y., and H. Mendelson, 1986.Asset pricing and the bid–ask spread. Journal of Financial Economics 17, 223–249.
Balvers, R. J., Cosimano,T. F., and B. McDonald, 1990, Predicting stock returns in an efficient market, Journal of Finance 45, 1109–1128.
Barberis, N., A. Shleifer, and R. Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307–343.
Basu, S., Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. Journal of Finance 3, 663–682
Berk, J. B., R. C. Green, and V. Naik, 1999, Optimal investment, growth options, and security returns, Journal of Finance 54, 1553–1607.
Bernanke, B. S., and M. Gertler, 1989, Agency costs, net worth, and business fluctuations, American Economic Review 79, 14–31.
Bernanke, B. S., 1990, On the predictive power of interest rates and interest rate spreads, New England Economic Review Nov/Dec, 51–68.
Bernanke, B. S., and A. Blinder, 1992, The federal funds rate and the channels of monetary transmission, American Economic Review 82, 901–921.
Bernanke, B. S., and M. Gertler, 1995, Inside the black box: The credit channel of monetary policy transmission, Journal of Economic Perspectives 9, 27–48.
Booth, J. R., and L. C. Booth, 1997, Economic factors, monetary policy, and expected returns on stocks and bonds, Economic Review: Federal Reserve Bank of San Francisco 32–42.
Brav, A., and J. B. Heaton, 2002, Competing theories of financial anomalies, Review of Financial Studies 15, 575–606.
Brunnermeier, M. K., and L. H. Pedersen, 2009, Market liquidity and funding liquidity, Review of Financial Studies 22, 2201–2238.
Campbell, J. Y. and R. Shiller, 1988, The dividend–price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195–228.
Campbell, J. Y., 1987. Stock returns and the term structure, Journal of Financial Economics 9,373–399.
Campbell, J. Y., S. Kim, and M. Lettau, 1993, Stock market volatility and the business cycle, Unpublished manuscript, Princeton University, Princeton, NJ.
Chen, N.–F., 1991, Financial investment opportunities and the macroeconomy, Journal of Finance 46, 529–554.
Chopra, N., J. Lakonishok, and J. R. Ritter, 1992, Measuring abnormal performance: Do stocks overreact? Journal of Financial Economics 31, 235–268.
Chordia, T., A. Sarkar, and A. Subrahmanyam, 2005, An empirical analysis of stock and bond market liquidity, Review of Financial Studies 18, 85–129.
Christiano, L. J., and M. Eichenbaum, 1991, Identification and the liquidity effect of a monetary policy shock, Working paper no. 3920, National Bureau of Economic Research.
Christiano, L. J., M. Eichenbaum, and C. L. Evans, 1994, The effects of monetary policy shocks: Evidence from the flow of funds, Working paper 94–2,Federal Reserve Bank of Chicago.
Cooper, M. J., R. C. Gutierrez, and A. Hameed, 2004, Market states and momentum, Journal of Finance 59, 1345–1366.
Dreman, D. N., The New Contrarian Investment Strategy. New York: Random House, 1982.
Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, Investor psychology and investor security market underand overreactions, Journal of Finance 53, 1839–1886.
DeBondt, W. F. M., and R. Thaler, 1985, Does the stock market overreact? Journal of Finance 40, 793–808.
DeBondt, W. F. M., and R. Thaler, 1987, Further evidence on investor overreaction and stock market seasonality, Journal of Finance 42, 557–581.
Estrella, A., and G. A. Hardouvelis, 1991, The term structure as a predictor of real economic activity, Journal of Finance 46, 555–576.
Fama, E. F., and J. MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607–636.
Fama, E. F., and K. R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55–84.
Fama, E., French, K., 1988. Permanent and temporary components of stock prices. Journal of Political Economy 96, 246–273.
Fama, E. F. and G. W. Schwert, 1977, Asset returns and inflation, Journal of Financial Economics 5, 115–146.
Fama, E. F. and K. R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25,23–49.
Fama, E. F., 1981. Stock returns, real activity, inflation, and money, American Economic Review 71, 545–565.
Fazzari, S. M., G. R. Hubbard, and B. C. Petersen, 1988, Financing constraints and corporate investment, Brookings Papers on Economic Activity 1, 1988, 141–206.
Garcia–Feijoo, L., Jensen, G., The monetary environment and long–run reversals in stock returns. Journal of Financial Research, 37, 1, 3–26.
George, T. J., and C. Hwang, 2004, The 52-week high and momentum investing, Journal of Finance 59, 2145–2176.
George, T. J., and C. Hwang, 2007, Long-term return reversals: Overreaction or taxes? Journal of Finance 62, 2865–2896.
Geske, R. and R. Roll, 1983, The fiscal and monetary linkage between stock returns and inflation, Journal of Finance 38, 1–33.
Grinblatt, M., and B. Han, 2002, The disposition effect and momentum, Working paper, UCLA.
Hadlock, C. J., and J. R. Pierce, 2010, New evidence on measuring financial constraints: Moving beyond the KZ index, Review of Financial Studies 23, 1909–1940.
Hamilton, J. D., 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57, 357–384.
Harvey, C. R., 1988, The real term structure and consumption growth, Journal of Financial Economics 22, 305–333.
Hong, H., and J. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143–2184.
Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48, 65–91.
Jegadeesh, N., and S. Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699–718.
Jensen, G. R., and T. Moorman, 2010, Inter-temporal variation in the illiquidity premium, Journal of Financial Economics 98, 338–358.
Jensen, G. R., J. M. Mercer, and R. R. Johnson, 1996, Business conditions, monetary policy and expected security returns, Journal of Financial Economics 40, 213–237.
Jensen, G. R. and R. R. Johnson, 1995, Discount rate changes and security returns in the U.S., 19622–1991, Journal of Banking and Finance 19, 79–95.
Kaul, G., 1987, Stock returns and inflation: The role of the monetary sector, Journal of Financial Economics 18, 253–276.
Keim, D. B. and R. F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357–390.
Klein, P., 1999, The capital gain lock-in effect and equilibrium returns, Journal of Public Economics 71, 355–78.
Klein, P., 2001, The capital gain lock-in effect and long–horizon return reversal, Journal of Financial Economic 59, 33–62.
Lakonishok, J., A. Shleifer, and R. Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541–1578.
Lastrapes, William D., 1989, Exchange rate volatility and US monetary policy: An ARCH application, Journal of Money, Credit and Banking 21, 66–77.
Lewellen, J., and J. Shanken, 2002, Learning, asset-pricing tests, and market efficiency, Journal of Finance 57, 1113–1145.
Lo, A., and C. MacKinlay, 1990, Data–snooping biases in tests of financial asset pricing models, Review of Financial Studies 3, 431–467.
Odean, T., 1998, Are investors reluctant to realize their losses? Journal of Finance 53, 1775–1798.
Patelis, Alex D., 1993, Predictability in stock returns and the macroeconomy, Unpublished manuscript, Princeton University, Princeton, NJ.
Patelis, A., 1997, Stock return predictability: The role of monetary policy, Journal of Finance 52, 1951–1972.
Poterba, J., Summers, L., 1988. Mean–reversion in stock prices: Evidence and implications. Journal of Financial Economics 22, 27–59.
Rozeff, M., 1974, Money and stock prices: Market efficiency and the lag in effect of monetary policy, Journal of Financial Economics 1, 245–302.
Rozeff, M., 1975, The money supply and the stock market: The demise of a leading indicator. Financial Analysts Journal 31, 18–26
Saunders, E. M., Jr., 1993, Stock prices and Wall Street weather, American Economic Review 83, 1337–1345.
Schwert, W. G., 1989a, Business cycles, financial crises, and stock volatility, Carnegie–Rochester Conference Series on Public Policy 31, 83–126.
Schwert, W. G., 1989b, Why does the stock market volatility change over time? Journal of Finance 44, 1115–1153.
Schwert.W. G., 1990, Stock returns and real activity: A century of evidence, Journal of Finance 45, I237–1257.
Shiller, R. J., 1981, Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71, 421–498.
Stambaugh, R. F., 1988, The information in forward rates: Implications for models of the term structure, Journal of Financial Economics 21, 41–70.
Thorbecke, W., 1997, On stock market returns and monetary policy, Journal of Finance 52, 635–654.