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研究生:邱雍鈞
研究生(外文):Yung-jiun Chiou
論文名稱:使用週報酬觀察台灣股市的動能現象
論文名稱(外文):The Momentum Effect in the Taiwan Stock Market
指導教授:黃振聰黃振聰引用關係
指導教授(外文):Jen-Jsung Huang
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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:2009
畢業學年度:97
語文別:中文
論文頁數:47
中文關鍵詞:動能現象極短期反轉
外文關鍵詞:Momentum
相關次數:
  • 被引用被引用:2
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本文使用日曆時間法研究動能現象,有別於傳統的方式,日曆時間法有三個優點,第一個是以投資組合重疊(overlapping portfolios)的方式代替報酬重疊的方式,第二個是避免報酬正的序列相關,第三個是可以將所有形成期報酬率變化納入考量。
我們使用時間日曆法研究極短期至中期的動能現象,實證結果顯示短期反轉現象相當比中期動能現象要明顯很多。之後檢視依報酬排序所形成的各組投資組合,發現了中期動能現象不明顯的原因在於輸家股會有反轉的現象,報酬並不會持續往下,所以即使贏家股存在動能效果,動能投資策略報酬仍然不高。
另一方面,我們發現了極短期的反轉跟價格壓力假說是不符合的。再來我們研究顯示高波動率的股票反轉的更強烈,代表不確定性越高,市場對個別公司的新訊息反應過度的程度越高,當然反轉的現象越大。所以用短期反轉的現象以市場對個別公司的新訊息過度反應這個假說來解釋顯然比較合理。
在中期動能的現象中我們發現「強者恆強;但弱者不一定恆弱」的現象。造成中期動能現象文獻上有很多解釋,我們研究發現處置效應假說和過度自信假說都不能解釋中期動能現象。唯一合理的解釋是資訊散佈緩慢。若以資訊散佈緩慢的觀點來看,交易量低的贏家股動能現象會更明顯。我們確實發現這個現象,交易量低的贏家股報酬明顯的比交易量高的贏家股報酬要來的好,以我們的實證來說,支持資訊散佈緩慢的假說。
第一章 緒論 6
1.1 研究動機 6
1.2 研究目的 8
1.3 研究架構 9
第二章 文獻探討 10
2.1 過度反應 10
2.2 反應不足 11
2.3 處置效應 15
2.4 極短期反轉 16
第三章 研究方法 17
3.1 資料處理與分組 17
3.2 日曆時間法 19
3.3 事件研究法 22
第四章 實證分析與結果 24
4.1 短期反轉,長期持續 24
4.2 極短期反轉現象 27
4.3 中期動能的現象。 34
4.4 運用動能策略投資 40
第五章 結論 43
參考文獻 45
中文文獻

[1]王惠珊,2004,「台灣股票市場過度自信假說之實證研究」,中興大學財務金融研究所碩士論文。
[2]許朝顯,1994,「追漲殺跌投資策略之實證研究—台灣股市效率性之再檢定」,國立台灣大學財務金融研究所碩士論文。
[3]林美珍,1992,「股票價格過度反應的方向、幅度、與密度」,國立台灣大學財務金融研究所碩士論文。
[4]林秋雲,2002,「股票投資人錯置效果之研究私立輔仁大學統計研究所碩士論文」。
[5]鄭雅如,2001,「動能策略與股票風格在台灣股市的實證研究」,國立政治大學財務管理學系碩士論文。

英文文獻

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[4] Bernard, V.L., Thomas, J.K., 1990, Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics 13, 305–340.
[5] Brown, S. W. Goetzmann, and S. Ross., 1995, Survival, Journal of Finance 50, 853-873.
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[33] Veronesi, Pietro, 2000, How does information quality affect stock returns? Journal of Finance 50, 807–837.
[34] Zhang, X. Frank, 2006, Information uncertainty and stock returns, Journal of Finance 61, 105–137.
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