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研究生:林思柔
研究生(外文):Lin, Sz-Rou
論文名稱:處置效果與關注效果影響價格動能策略獲利性之研究
論文名稱(外文):The Impact of Disposition Effect and Investors’ Attention on Momentum Profitability
指導教授:邱信瑜邱信瑜引用關係
指導教授(外文):Chiu, Hsin-Yu
口試委員:陳亭甫陳正佑邱信瑜
口試委員(外文):Chen, Ting-FuChen, Cheng-YuChiu, Hsin-Yu
口試日期:2018-12-17
學位類別:碩士
校院名稱:國立屏東大學
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:2018
畢業學年度:107
語文別:中文
論文頁數:49
中文關鍵詞:動能處置效果投資人關注
外文關鍵詞:momentumdisposition effectsinvestors’ attention
相關次數:
  • 被引用被引用:2
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本研究檢驗台灣市場價格動能策略的獲利性、投資人是否存在處置效果以及投資人關注效果對於預期報酬的影響,並更深入探討投資人處置效果以及投資人關注效果兩者如何影響動能報酬率。在以月或以周為頻率下,我們依照個別股票過去一年的報酬率、未實現資本利得以及Google搜尋量之變化分別排序,並形成買入上述變數值最高的股票群組並賣出最低的股票群組之交易策略,其中使用Google搜尋量變化形成的交易策略能賺取的異常報酬率最高,而在控制三因子風險後以過去一年報酬率形成的交易策略t值有10%的顯著異常報酬,顯示台股市場有部分動能異常現象。同時台股市場存在處置效果,亦存在Barber and Odean (2008)所提出之關注效果,關注越高的股票越能獲取高的預期報酬。另外我們以雙重排序方法深入探討兩個投資人行為偏誤對於動能策略獲利能力的影響,實證結果支持Grinblatt and Han (2005)提出的動能策略獲利能被投資人處置效果所解釋的理論,同時在高關注效果的股票群組中使用動能策略,其動能策略獲利能力較強,支持Hou, Peng and Xiong (2009)所提出投資人對資訊過度反應而形成動能策略的理論。本文另外將處置效果跟關注效果做雙重排序,觀察兩者之間的關係,結果顯示在每一組處置效果群組下,關注度高低差別仍能獲取異常報酬,反之除了高關注效果的群組外,其餘同一關注效果群組下,再依照未實現資本利得排序後,高低群組均無顯著差異,顯示只有高關注度效果下會呈現處置效果。
This article studies the profitability of price momentum strategy, the existence of disposition effect and the effect of investors’ attention on expected returns in Taiwan stock market. We also investigate the impact of the disposition biases and the investor’s attention on momentum profitability. On each portfolio formation date, we sort stocks into five quintiles according to their past one-year returns, capital gains overhangs, and changes in their Google search volume indexes (SVI), respectively, and examine the profitability of the trading strategies that buys all stocks in the highest quintile and sells all stocks in the lowest quintile (i.e., 5-1 portfolios). While the results show that the 5-1 portfolio using the changes in SVI earns highest abnormal return, the 5-1 portfolio using the past one-year returns earn significant abnormal return at the 10% significance level, which implies the presence of momentum phenomenon in Taiwan stock market. However, we find the existence of the disposition bias and the effect of investor’s attention (Barber and Odean, 2008). The stocks with large and positive changes in SVI have higher expected returns. Furthermore, by applying double sorts, we find that the momentum returns can be explained by the disposition biases, which is consistent with Grinblatt and Han (2005). When we first sort the stocks by their changes in SVI, and then sort the stocks in the same quintile by their past one-year returns, we find that the momentum profitability is stronger in the quintile with large changes in SVI. The result supports the argument of Hou, Peng, and Xiong (2009) who suggest that the momentum phenomenon is induced by overreaction of stock investors. Finally, we show that the effect of investors’ attention still exists after we control the disposition biases. On the other hand, the disposition bias can only be observed in the highest quintile of SVI.
摘要 I
Abstract II
目錄 III
圖目錄 IV
表目錄 V

第一章 緒論 1
 第一節 研究背景與動機 1
 第二節 研究目的 3
 第三節 研究架構 3
第二章 文獻探討 5
 第一節 動能現象相關文獻 5
 第二節 處置效果與動能現象 6
 第三節 投資人關注之相關文獻 12
  一、投資人關注的影響 12
  二、基於公司名字簡稱的SVI解釋力 14
 第四節 動能策略與投資人關注之相關文獻 15
 第五節 台灣市場之相關文獻 16
第三章 研究方法 20
 第一節 研究期間與資料來源 20
 第二節 實證模型 20
  一、動能策略之檢驗方法 20
  二、處置效果之計算 21
  三、SVI對預測未來股票報酬之檢驗 22
  四、四個變數在資產定價模型中之作用 23
  五、動能與處置效果雙重排序 23
  六、動能與關注效果雙重排序 24
  七、處置效果與關注效果雙重排序 25
第四章 實證結果分析 27
 第一節 五組投資組合敘述性統計 27
 第二節 各變數在三因子模型下的超額報酬 33
 第三節 雙重排序 35
第五章 結論與建議 41
參考文獻 43
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李永隆、杜玉振、王瑋瑄(2017)。Google搜尋量指數對台灣股票報酬與成交量之影響。管理與系統,24(4),565-590。
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林秉瑋(2003)。台灣股市散戶投資人處分效果之實證研究(未出版之碩士論文)。朝陽科技大學,台中市。
洪文淋(2013)。搜尋量指數和台灣股票流動性與報酬率之研究(未出版之碩士論文)。國立中山大學,高雄市。
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黃子倫、陳妙玲、郭修仁、賴冠伶(2016)。網路搜尋活動與財經媒體曝光度如何影響資產訂價?台灣財務金融學會,24(1),25-53。
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謝嘉琪(2013)。結合營收之價格動能策略:以台灣股票市場為例(未出版之碩士論文)。國立中央大學,桃園市。
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