臺灣博碩士論文加值系統

本研究測試Jegadeesh and Titman（1993）和Novy-Marx（2012）所提出的動能投資策略，驗證1999年1月至2012年7月間，10個新興市場國家的股市動能獲利性，驗證結果發現新興市場國家具有動能報酬的現象。本研究進一步根據各國總統選舉期間劃分為選舉期間和非選舉期間，探討總統選舉對動能策略的影響，其結果發現，新興市場國家於選舉期間仍具有動能報酬的現象。但無論在整段驗證時期或選舉期間之動能報酬，皆未能發現顯著擊敗大盤報酬的現象。

This paper, using stock markets data from 10 emerging markets between January 1999 and July 2012, examines the momentum strategies documented by Jegadeesh and Titman (1993) and Novy-Marx (2012). The results indicate that there are momentum returns in the emerging markets. Furthermore, this study divides the momentum returns of the periods of the presidential elections from the other periods. To discuss the effect of the presidential elections, I found that there are still momentum returns in the emerging markets during the periods of the presidential elections. However, the momentum returns in either the periods of the presidential elections or the other cannot beat the market index returns.

第一章　緒論
　第一節　研究背景與動機
　第二節　研究目的與貢獻
第二章 文獻探討
　第一節　從古典財務學到行為財務學
　第二節　過度反應與反向投資策略之相關文獻
　第三節　反應不足與動能投資策略之相關文獻
　第四節　景氣循環理論與政治景氣循環理論相關之文獻
第三章 研究方法
　第一節　研究對象
　第二節　資料來源與處理
　第三節　研究假說
　第四節　動能策略之建構與衡量
　第五節　變數衡量與定義
第四章 實證分析
第五章 結論與建議
　第一節　結論
　第二節　研究限制
　第三節　建議與未來研究方向
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