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研究生:黃永義
研究生(外文):Yung-Yi Huang
論文名稱:考量等待期後反向策略之短期績效—以2008年金融危機為例
論文名稱(外文):The Short-term Performance of Contrarian Strategy after Considering the Waiting Period- Evidence from 2008 Financial Crisis
指導教授:丁秀儀丁秀儀引用關係
指導教授(外文):Hsiu-Yi Ting
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融理財研究所
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:2010
畢業學年度:98
語文別:中文
論文頁數:37
中文關鍵詞:過度反應買進持有異常報酬累計異常報酬反向策略等待期
外文關鍵詞:contrarian strategieswaiting periodover-reactioncumulative abnormal returnbuy and hold abnormal return
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本文以2008年的全球金融危機為重大事件,探討在重大事件發生前後短期是否有過度反應現象,進一步採買輸家賣贏家之反向策略,檢視在短期是否能有明顯的正報酬。本文除了承襲過去探討形成期與持有期長短對反向策略績效的影響外,同時加入等待期的考量,檢視加入等待期能否突顯反向策略的績效,並比較累計異常報酬(Cumulative Abnormal Return:CAR)和買進持有異常報酬(Buy and Hold Abnormal Return:BHAR)兩種衡量持有期報酬的方法對反向策略績效是否有所差異。實證結果發現以CAR衡量持有期報酬,台灣股市短期內明顯存有過度反應現象,且反向策略績效顯著為正報酬,但若改BHAR衡量持有期報酬後則過度反應現象與反向策略績效皆較不明顯,然而無論採何種方法衡量,加入等待期皆有助於反向策略報酬績效的提升。未來研究可加入投資組合選擇的考量因素,如規模、帳面價值與市值比與周轉率等因素,或考慮其他非金融的重大事件探討過度反應的存在與反向策略的有效性。
This paper investigates whether the short-term overreaction exist around the major events, taking the global financial crisis in 2008 as example. This work examines whether there is a significant positive return of a short-term contrarian strategy, the portfolio formatted by selling the winners’ portfolio and buying the losers’ portfolio. Following the previous studies, this paper not only investigates the impact of combinations of formation period and holding period on the performance of contrarian strategies, but also includes the waiting period after the portfolio is formatted. This paper examines whether the performance of contrarian strategies be improved after considering the waiting period. Then, this work examines whether there is significant difference of the performance of contrarian strategy between the results of using two returns measures, CAR and BHAR. Empirical results reveal that, using CAR as the return measure, a significant short-term overreaction in Taiwan’s stock market is found and the return of contrarian strategy is significantly positive. Using BHAR as the return measure, the phenomenon of overreaction and the returns of contrarian strategy are less significant. However, the returns of contrarian strategy improve after considering the waiting period, and this is the case both in CAR and BHAR measures. The factors affecting choice of portfolio formation, such as size, book-to-market, and turnover ratio, could be included into the consideration in the future study. Other non-financial major events could be used to explore the existence of overreaction and the effectiveness of contrarian strategy.
目 錄

摘要 i
ABSTRACT ii
致謝 iii
目錄 iv
表目錄 v
圖目錄 v
1.緒論 1
2.文獻探討 4
2.1金融危機的影響 4
2.2 黑天鵝事件後的投資策略 6
2.3 長期過度反應文獻 8
2.4 短期過度反應之文獻 12
3.研究方法 14
3.1資料來源及研究期間 14
3.2變數定義與衡量 14
4.實證結果與分析 17
5.結論與建議21
參考文獻 24
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