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研究生:馬士家
研究生(外文):Shr-Jia Ma
論文名稱:台灣上市公司動能策略投資績效之研究
論文名稱(外文):A Study of Investment Performance based on Momentum Strategy in Taiwan Listed Stocks
指導教授:周建新周建新引用關係
指導教授(外文):Jan-Hsin Chou
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:風險管理與保險所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:58
中文關鍵詞:投資人情緒景氣循環動能策略總體經濟因子
外文關鍵詞:Economic cycleMomentum strategyMacroeconomics factorsInvestor sentiment
相關次數:
  • 被引用被引用:1
  • 點閱點閱:194
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
Jegadeesh and Titman(1993)所提出動能策略報酬的異常現象之後,投資人做出決策性時會,不僅受總體經濟的影響亦受心理層面的影響。本研究以市場交易資料作為投資人情緒之代理變數,並加入總體經濟因子探討與股票報酬間的互動關係。研究結果發現,短期投資動能持有期報酬高於長期持有期,投資人情緒代理變數融資、週轉率有相當高的關聯性。長期出現逆轉現象,總體經濟因子仍然是決定的關鍵,大盤走勢仍影響投資人的意願,尤其痛苦指數與報酬率有顯著的關係,就整體而言,總體經濟及投資人情緒對動能策略報酬的解釋能力不強。
Based on the momentum strategy proposed by Jegadeesh and Titman (1993), investors can be influenced by either the macroeconomic or sentimental factors when they are making investing decisions. This study investigates how both the macroeconomic factors and the market transaction data which is the proxy of investor sentiment impact on stock returns. The results show that trading based on the short-term momentum strategy generates higher return than on the long-term momentum strategy. That is due to the high correlation between the stock financing and turnover, the proxies of investor sentiments. In the long run, the downturn shows and macroeconomics factors still play a critical role. The market index influences the willingness of investments. Especially, the misery index significantly related to the stock returns. In sum, both the macroeconomic and investor sentiment factors are not sufficient to explain the performance of momentum strategy.
目錄
摘要Ⅰ
Abstract Ⅱ
誌謝Ⅲ
目錄Ⅳ
圖目錄、表目錄Ⅴ
壹、緒論11
一、研究背景與動機1
二、研究目的5
三、研究流程與架構6
四、研究限制8
貳、文獻回顧與假說9
一、效率市場假說9
二、動能策略相關文獻10
三、總體經濟相關文獻12
四、投資人情緒相關文獻13
叁、實證研究17
一、變數定義17
二、報酬率之計算與研究期間20
三、研究設計22
肆、實證結果分析23
一、敘述統計23
二、實證結果24
三、綜合小結40
伍、結論與建議43
一、結論43
二、建議44
參考文獻46
一、國內部份46
二、國外部分48
一、國內部份
1.古今尚,2002。台灣股票市場投資者心理情緒影響因素之實證研究,朝陽科技大學財務金融系碩士論文。
2.李春安,羅進水與蘇永裕,2006。動能策略報酬、投資人情緒與景氣循環之研究,財務金融學刊,第14卷,頁73-109。
3.周賓凰、池祥萱、周冠男與龔怡霖,2002。行為財務學:文獻回顧與展望,證券市場發展季刊,第十四卷,第二期,頁1-48。
4.林佳陵,2003。以情緒指標在期貨市場的應用-以日經225期貨為例,銘傳大學碩士論文。
5.許銘傑,2002。市場情緒與基本面對短期股價影響之比較,政治大學國貿所碩士論文。
6.許勝吉,1999。台灣股市追漲殺跌策略與反向策略之實證分析比較,輔仁大學管理學研究所碩士論文。
7.郭世宗,2001。共同基金績效持續性與績效動能週期之研究-如何構建高績效之基金中基金,銘傳大學金融研究所碩士論文。
8.陳正佑,2002。台股動能策略與反向策略投資績效之研究,中山大學財務管理學系研究所碩士論文。
9.陳海清,1995。相對強勢投資組合策略在臺灣股市的績效實證分析,臺灣大學財務金融學研究所碩士論文。
10.陳達勳,2000。市場情緒與股票報酬之研究,政治大學國貿系碩士論文。
11.廖國翔,2002。注意力、情緒對投資之決策之影響,政治大學財務金融學碩士論文。
12.謝朝顯,1993。追漲殺跌投資組合策略之實證研究-台灣股市效率性之再檢定,台灣大學財務金融研究所碩士論文。
13.詹方冠,2003。景氣指標理論與應用,行政院經建會經研處報告。
14.劉志諒,2002。股市追漲殺跌投資策略報酬來源之研究,中興大學企研所碩士論文。
二、國外部分
1.Bacmann, J. F., M. Dubois, and D. Isakov, 2001,“Industries, business cycle and profitability of momentum strategies: An international perspectives,"EFMA 2001 Lugano Meetings.
2.Berk, J. B., R. C. Green, and V. Naik, 1999, “Optimal investment, growth options and security returns,” Journal of Finance 54, 1553-1608.
3.Chui, A. C. W., S. Titman, and K. C. J. Wei, (2001), “Momentum, legal systems and ownership structure: an analysis of Asian stock markets,” Working paper, Hong Kong Polytechnic University - Department of Business Studies, University of Texas at Austin - Red McCombs School of Business and Hong Kong University of Science and Technology - Department of Finance.
4.Charoenrook, A., 2003, “ Does sentiment matter? " working paper, Vanderbilt University.
5.Chen, N. F., R. Roll, and S. A. Ross, 1986, “Economic forces and the stock market,” Journal of Business 59, 383-404.
6.Chordia, T., and L. Shivakumar, 2002, “Momentum, business cycle and time-varying expected return,” Journal of Finance 57, 985-1019.
7.Conrad, J., and G. Kaul, 1998, “An anatomy of trading strategies,” Review of Financial Studies 11, 489-519.
8.Cooper, M. J., R. C. Gutierrez Jr., and A. Hameed, 2004, “Market states and momentum,” Journal of Finance 59, 1345-1366.
9.Conard, J. and G. Kaul., (1998), “An anatomy of trading strategies. ” Review of Financial Studies, 11(3), pp.489-519.
10.Kahneman, D and Amos Tversky, (1979), “Prospect theory: An analysis of decision under risk”, Econometrica, 47(2), pp.263-292.
11.Fama, E. F, (1970), “Efficient capital market: a review of theory and empirical work”, Journal of Finance 25, pp.383-417.
12.Fisher, K. and M. Statman, 2000,“Investor sentiment and stock returns,"The Financial Analysts Journal (March/April), 16-23.
13.George, Thomas J and Chuan-Yang Hwang, (2004), “The 52-week high and momentum investing”, The Journal of Finance 59(5), pp.2145-2175.
14.Griffin, J. M., X. Ji, and J. S. Martin, 2003, “Momentum investing and business cycle risk: Evidence from pole to pole,"Journal of Finance 58, 2515-2547.
15.Hong, H., T. Lim, and J. C. Stein, (1998), “Bad news travels slowly: size, analyst coverage and the profitability of momentum strategies,” Working paper, Princeton University - Department of Economics, Harvard University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management.
16.Hameed, A., and Y. Kusnadi, 2002, “Momentum strategies: evidence from pacific basin stock market,” Journal of Financial Research 25, 383-397.
17.Jegadeesh, N., and S. Titman, 1993, “Return to buying winners and selling losers: implications for stock market efficiency,” Journal of Finance 48, 65-91.
18.Jegadeesh, N., and S. Titman, 2001, “Profitability of momentum strategies: an evaluation of alternative explanations,” Journal of Finance 56, 699-720.
19.Kahneman, D., and A. Tversky, 1979, “Prospect theory: an analysis of decision under risk,” Econometrica 47, 263-291.
20.Moskowitz, Tobias. J. and Mark Grinblatt , (1999), “Do industries explain Momentum?” Journal of Finance, 54(4), pp.1249-1290.
21.Moskowitz, T., and M. Grinblatt, 1999, “Do industry explains momentum?”Journal of Finance 54, 1249-1290.
22.Olsen, R. A., 1999,“Behavioral finance and its implications for stock-price volatility,"Financial Analysts Journal 54, 10-18.
23.Potter, S. M., 1999, “Fluctuations in confidence and asymmetric business cycles,” working paper, Federal Reserve Bank of New York.
24.Rouwenhorst, K. G., 1998, “International momentum strategies,” Journal of Finance 53, 267-284.
25.Shefrin, H., and M. Statman, 1985, “The disposition to sell winners too early and ride losers too long: theory and evidence,” Journal of Finance 40, 777-790
26.Zarowin, Paul , (1990) , “Size, seasonality and stock market overreaction. ”, Journal of Financial and Quantitative Analysis, 25(1),pp.113-125.
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