臺灣博碩士論文加值系統

雖然價格動能策略可以獲得顯著異常報酬，但也同時存在大崩盤的風險。由於過去文獻大部分將預測動能崩盤焦點放在市場景氣或其他縱斷面因素，因此本篇論文加入橫斷面的公司特性因素，同時利用橫斷面篩選動能策略的股票以及縱斷面調整動能策略的權重，發展出不僅可以提高夏普指數，更能大幅降低動能崩盤風險的公司特性篩選動能策略與公司特性篩選結合風險控管之動能策略。
本篇論文發現在市場景氣非常差時期，股價受投資人行為偏誤的影響程度較嚴重，再加上公司特有風險較高，因此較容易出現投資人對公司特有資訊反應不足或過度反應的現象，使股票之動能強度較強、獨特性波動率較大。接著，由於投資人的恐慌情緒會加重其行為偏誤，使大規模、分析師追蹤人數多與流動性佳公司的股票變成過去輸家的機率提高，導致輸家的獨特性波動率、動能強度與公司規模、分析師追蹤人數以及流動性之間的相關性大幅變弱，但是一旦市場景氣回升，由於大規模、分析師追蹤人數多與流動性佳公司的資訊透明度較高、資訊不確定性較低、資訊傳遞效率較佳以及套利限制較小，使輸家內大規模、分析師追蹤人數多與流動性佳公司股票反彈的速度較快，進而造成動能崩盤。

Despite their significant abnormal returns, momentum strategies also have the worst crashes. Several recent studies focus on the dynamic weighting schemes based on their prediction of the timing of momentum crashes. In this paper, we show that idiosyncratic volatility, momentum strength, and firm characteristics are also related to momentum profits. When the strong correlation between idiosyncratic volatility, momentum strength, size, analyst coverage, and illiquidity becomes weaker, the losers and winners are going to rebound sooner. Applying the interactions between them can eliminate crashes and enhance the Sharpe ratio of momentum strategies. Our findings imply that not only can momentum profits be influenced by market states, but they also can be affected by firm characteristics.

中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
圖表目錄 vi
第一章、研究緒論 01
第二章、文獻回顧與假說 06
第一節 價格動能 06
第二節 解釋動能現象之相關文獻 07
第三節 動能策略下之公司特性 08
第四節 動能策略風險 10
第五節 假說 13
第三章、資料與研究方法 15
第一節 資料說明 15
第二節 股票報酬波動性之衡量 16
第三節 公司特性之衡量 17
第四節 風險控管動能策略 21
第五節 公司特性篩選動能策略 22
第六節 敘述統計量 23
第四章、實證結果 25
第一節 歷史報酬率與股票報酬波動性及公司特性之關係 26
第二節 動能強度、獨特性波動率及公司特性之關係 27
第三節 動能報酬與動能強度、獨特性波動率及公司特性 30
第四節 動能動差與動能強度、獨特性波動率及公司特性 33
第五節 公司特性篩選結合風險控管之動能策略 39
第五章、結論 47
參考文獻 49

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