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研究生:黃婉淩
研究生(外文):Wan-Ling Huang
論文名稱:全球反向與動能策略
論文名稱(外文):International Contrarian and Momentum Strategies:A Stochastic Dominance Perspective
指導教授:何耕宇何耕宇引用關係
指導教授(外文):Keng-Yu Ho
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:英文
論文頁數:51
中文關鍵詞:隨機優勢反向策略動能策略
外文關鍵詞:Stochastic DominanceContrarian StrategyMomen
相關次數:
  • 被引用被引用:3
  • 點閱點閱:137
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
我們運用隨機優勢法檢測反向與動能策略的績效,資料是從Datastream International擷取而來的,而樣本期間從1980年至2004年。在測試反向策略時,不論用等值加權法或價值加權法,在全球,美國或非美國市場,我們都發現有強大證據支持輸家投資組合隨機的優於贏家投資組合。然而,當我們研究動能策略時,利用等值加權法得到的結果都發現反而是輸家投資組合隨機的優於贏家投資組合,這一點與過去的文獻有很大的不同。此外,在我們運用價值加權法時之後,會發現在全球市場中,贏家與輸家投資組合並沒有隨機優勢的關係;而在非美國市場中,輸家投資組合有隨機優於贏家投資組合的關係。
We apply the stochastic dominance approach to examine momentum and contrarian strategies. The data is from the Datastream International, and the sample period is from 1980 to 2004. We find strong evidence that loser portfolios stochastically dominate winner portfolios on contrarian strategies in global, US, and Non-US market based on equal-weighted and value-weighted calculation. As for momentum strategies, We find the loser portfolios stochastically dominate winner portfolios when we use equal-weighted evaluation. This is in sharp contrast to past literatures. In addition, there is no stochastic dominance relation between winner and loser portfolios in global market and the winner portfolios stochastic dominance loser portfolios in Non-US market under value- weighted scheme.
Contents
1. Introduction…………………………………………1
2. Review Past Research………………………………3
2.1.Review Past Research on Contrarian
Strategies…………………………………………3
2.2.Review Past Research on Momentum
Strategies……………………………… ………4
3.Data and Strategy……………………………………6
3.1. Data………………………………………………6
3.2. Contrarian Strategy…………… ……………6
3.3. Momentum Strategy…………………… ………8
4. Methodology……………………………… …………9
5. Empirical Results…………………………………13
5.1.Results for the Global,US and Non-Us
Samples on Contrarian Strategies…… ……13
5.1.1. Equal-Weighted Results…… ……………13
5.1.2. Value-Weighted Results………… ………15
5.2. Results for the Global,US and Non-US
Samples on Momentum Strategies……… ……17
5.2.1. Equal-Weighted Results……… …………17
5.2.2. Value-Weighted Results…………… ……19
6. Conclusion…………………………………… ……21
References………………………………………………23
Appendix A: Data Formation…………………………26
Appendix B: Methodology Details………… ………28
Appendix C: Descriptive Statistics with Value- Weighted Calculation…32
References
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Baytas, A., Cakici, N., 1999. Do Market Overreact: International Evidence. Journal of Banking & Finance 23, 1121-1144.

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