臺灣博碩士論文加值系統

本文分別依據三種形成期長度建構台股的贏家與輸家投資組合，包括過去1個月的短期績效、過去2個月到過去13個月的中期績效與過去13個月到過去48個月的長期績效。研究發現，台股在上述形成期定義下的贏家與輸家，並不存在一階或二階的隨機優勢關係；然而，若只針對小型股進行贏家與輸家投資組合的建構與檢定，發現小型台股存在中期動能現象，即贏家投資組合隨機優於輸家投資組合。

目 錄
第一章 緒論................................................................................................................1
第一節 研究動機................................................................................................1
第二節 研究目的................................................................................................3
第三節 研究架構................................................................................................4
第二章 文獻回顧........................................................................................................6
第一節 動能投資策略探討................................................................................6
第二節 反向投資策略探討................................................................................9
第三節 國內相關文獻......................................................................................10
第四節 國外相關文獻......................................................................................13
第五節 行為財務學..........................................................................................16
第三章 資料來源與研究方法..................................................................................19
第一節 資料來源..............................................................................................19
第二節 因子迴歸法..........................................................................................20
第三節 隨機優勢法..........................................................................................22
第四章 實證結果與分析..........................................................................................24
第一節 敘述統計量..........................................................................................24
第二節 因子迴歸..............................................................................................27
第三節 隨機優勢………..................................................................................36
第五章 結論………..................................................................................................39
參考文獻......................................................................................................................40

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