臺灣博碩士論文加值系統

本研究以台灣中型100指數成分股在2009年Q1至2018年Q4之間的季資料為樣本，分別以 PSTR 模型將樣本區分為價值型和成長型股票兩個子樣本，以及以公司特徵變數來篩選低周轉率小贏家和高周轉率大輸家的股票，用以觀察投資人反應不足與反應過度對價值溢價，動能效應與對沖策略的影響。研究結果顯示，投資人的反應過度是造成價值型股票具有正向動能效應的因素之一，價值型股票因具有價值溢價的特性，獲得投資人較高的情緒動能，當價值型股票過度反應轉為成長型股票後，成長型股票因逆向效應，產生負向的動能效應，因此，獲得投資人較低的情緒動能，此結論與 Yang and Zhou (2015)的實證結果相近，本研究亦發現價值型股票和成長型股票的動能效應可延續至兩年，此實證結果與過去的文獻結論不同；而使用公司特徵所形成的低周轉率小贏家和高周轉率大輸家，前者因投資人對好消息的反應不足，因此，在周轉率逐漸增加下具有正向動能效應，反觀高周轉率大輸家，因投資人對壞消息的過度反應，在周轉率逐漸下降下具有負向動能效應，兩者的動能效應皆可延續至兩年。此外，本研究也針對公司特徵與PSTR模型下的對沖策略做為期兩年的觀察，發現正報酬仍然持續存在，這與 Lee and Swaminathan (2000) 結果一致。最後，依據兩種模型的對沖策略進行比較，發現在公司特徵下買進低周轉率小贏家同時賣出高周轉率大輸家可獲得的累計報酬率高於PSTR模型的對沖策略，同時，前者因買賣股票家數較少，交易成本較低，整體而言，公司特徵模型下的動能效應與對沖策略皆優於 PSTR 模型所形成的交易策略且更具可行性。

In this study, the quarterly data of Taiwan’s medium-sized 100 index stocks from 2009Q1 to 2018Q4 was used as a sample. The sample was further classified as two sub-samples, the value stocks and the growth stocks by the PSTR model. Company characteristic variables were used to filter stocks with small turnover winners and those with high turnover losers to observe the impact of under-reaction and over-reaction by investors on value premium, momentum effects, and hedging strategies. The results show that investor over-reaction is one of the factors that cause a positive momentum effect for value stocks. Because of the characteristics of the value premium, value stocks benefit from greater emotional momentum from investors. When the over-reaction turns value stocks to growth stocks, growth stocks have a negative momentum effect due to the contrarian effect. Therefore, low emotional momentum is gained from investors. This conclusion is similar to the empirical results given by Yang and Zhou (2015). In this study, we also find that the momentum effect of value stocks and growth stocks can last for two years, which is different from the conclusions found in prior literature. However, small winners with a low turnover rate and big losers with a high turnover rate, as created by company characteristics, gain positive momentum under a gradually increasing turnover rate due to the under-reaction of investors to the good news. On the other hand, big losers with a high turnover rate gain a negative momentum effect when the turnover rate gradually declines due to investors' overreaction to the bad news. The momentum effect of both can last for two years. In this study, we also make a two-year observation of hedging strategies under company characteristics and the PSTR model and find that a positive return still exists, which is consistent with the results of Lee and Swaminathan (2000). Finally, based on a comparison of the hedging strategies of the two models, we find that cumulative returns from a hedging strategy of buying small winners with a low turnover rate and selling big losers with a high turnover rate based on company characteristics are higher than that of the PSTR model. At the same time, the former has fewer trading stocks and lower transaction costs while the latter has more in both scenarios. Overall, the momentum effect and hedging strategy, based on a company characteristic model, are better than strategies based on the PSTR model and offer greater feasibility.

第一章 緒論 1
第一節 研究動機及背景 1
第二節 研究目的 3
第三節 研究架構與流程 4
第二章 文獻探討 6
第一節 價值溢價 6
第二節 動能效應 8
第三節 動能策略 11
第四節 投資人行為與周轉率的關聯 13
第三章 研究方法 15
第一節 研究樣本與資料來源 15
第二節 研究方法 16
第三節 變數定義 19
第四章 實證結果與分析 21
第一節 基本敘述統計 21
第二節 面板單根檢定之實證分析 22
第三節 公司特徵之動能效應實證分析結果 23
第四節 縱橫平滑移轉迴歸模型之實證結果 41
第五章 結論 53
第一節 結論 53
第二節 給投資人的建議 54
參考文獻 55

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