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研究生:陳政穎
論文名稱:台灣股票市動能策略的期間結構
論文名稱(外文):The Term Structure of Momentum Strategy in the Taiwan Stock Market
指導教授:洪偉峰洪偉峰引用關係
口試委員:洪偉峰石百達劉炳麟
口試日期:2013-06-18
學位類別:碩士
校院名稱:逢甲大學
系所名稱:財務金融學系碩士班
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:2013
畢業學年度:101
語文別:中文
論文頁數:74
中文關鍵詞:動能策略遠期資訊近期資訊
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本文根據Novy-Marx (2011) 將形成期的期間分為,近期資訊r6,2 (Recent horizon) 以及遠期資訊r12,7 (Intermediate horizon)。近期資訊為前期二至六個月,遠期資訊為前期七至十二個月,進行動能策略的比較。在控制電子產業效果、不同期間、規模大小、流動性、季節效果、風險等因素之後,本文發現不論近期資訊或遠期資訊的動能策略皆不可行。但是兩種策略皆存在顯著的七月效果。另一方面,r11,8動能策略則能獲得顯著正報酬,特別是1990到2000年期間。
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 研究流程與架構 3
第二章 文獻回顧 5
第一節 動能策略文獻 5
第二節 投資人反應 9
第三節 台灣的相關研究 14
第四節 不同資料頻率的動能策略 17
第三章 研究方法 19
第一節 資料來源 19
第二節 動能投資組合建構 19
第四章 實證結果與分析 24
第一節 投資組合分析 24
第二節 期間結構 44
第三節 動能策略與市值、週轉率之關係 57
第四節、橫斷面迴歸分析與持有期間持續性 63
第五章 結論與建議 69
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