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研究生:許嘉玲
研究生(外文):HSU, CHIA-LING
論文名稱:債券市場同月份效應與投資人行為偏誤
論文名稱(外文):The Same Month Effect in Bond Market and Investor Behavior Bias
指導教授:李昀寰李昀寰引用關係李修全李修全引用關係
指導教授(外文):LEE, YUN-HUANLEE, HSIU-CHUAN
口試委員:張書濂簡正儀陳春樹
口試委員(外文):CHANG, SHU-LIENCHIEN, CHENG-YICHEN, CHUN-SHU
口試日期:2022-01-10
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士在職專班
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:2022
畢業學年度:110
語文別:中文
論文頁數:37
中文關鍵詞:國家政府債券同月份效應投資人的行為偏誤
外文關鍵詞:National government bondsSame month effectError of investors' investment behavior
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本文檢視政府債券報酬是否具有同月份效應,並且探討投資人的行為偏誤是否會影響債券投資組合的報酬情形。本文基於Zaremba (2019) 研究全球國家政府債券同月份效應的文獻,並參考Cosemans and Frehen (2021) 及Mohrschladt (2021) 顯著性理論,添加時間權重的變數,探討是否造成投資人在國家政府債券投資行為的偏誤。
本研究採用Fama and MacBeth (1973) 60個月的「移動視窗」(rolling window)固定樣本視窗的長度,藉以證實國家政府債券具有同月份效應。接著,再進行國家政府債券歷史報酬排序分析,利用過去5年的同月份平均報酬排序進行分組,觀察Same-Month策略的報酬率。根據Zaremba (2019)季節性橫斷面同月份報酬的研究,過去5年報酬低的那組,今年同月份報酬也會低。過去5年報酬高的那組,今年同月份報酬也會高。
實證結果顯示利用同月份效應驗證過去5年同月份的報酬可以預測今年同月份的債券報酬,且債券年期越長的投資組合有越明顯的跡象。



This paper examines whether government bond returns have the same month effect, and discusses whether investors' behavior errors will affect the return of bond portfolios. Based on the literature of Zaremba (2019) on the same month effect of global government bonds, and referring to the significance theory of cosemans and Frehen (2021) and Mohrschladt (2021), this paper adds the variable of time weight to explore whether it causes the error of investors' investment behavior in national government bonds.

This study uses the 60 month "rolling window" of Fama and Macbeth (1973) to fix the length of the sample window, so as to confirm that the national government bonds have the same month effect. Then, we analyz the historical return ranking of national government bonds and group the average return ranking of the same month in the past five years to observe the return rate of the same month strategy. According to Zaremba's (2019) seasonal cross-sectional study on the same month's remuneration, the group with low remuneration in the past five years will also have low remuneration in the same month this year. The group with high remuneration in the past five years will also have high remuneration in the same month this year.

We show that the ordering of historical government bond returns significantly predicts the cross-section of subsequent returns. More specifically, government bond with comparably high recent and low distant returns experience low subsequent returns and vice versa, and the longer the bond year, the more obvious the sign of the portfolio.

目 錄
誌謝……………………………………………………………………………………I
中文摘要............................................................................................................................II
英文摘要...........................................................................................................................III
目錄....................................................................................................................................V
圖目錄.............................................................................................................................. VI
表目錄.............................................................................................................................ⅤII
第壹章 緒論.....................................................................................................................1
第一節 研究背景與動機.........................................................................................1
第二節 研究目的.....................................................................................................3
第貳章 文獻回顧與探討.................................................................................................4
第一節 效率市場假說(Efficient-market hypothesis,縮寫為EMH)......................4
第二節 市場異常現象(market anomalies)及季節性效應現象…............................5
第三節 歷史報酬排序與投資行為偏誤…………...................................................6
第四節 文獻評論………...........................................................................................7
第參章 研究方法.............................................................................................................9
第一節 資料來源.......................................................................................................9
第二節 同月份效應分析...........................................................................................9
第三節 歷史報酬排序分析.....................................................................................11
第肆章 實證結果與分析...............................................................................................14
第一節 敘述統計.....................................................................................................14
第二節 同月份效應 ...........................................................................................17
第三節 同月份效應與歷史報酬排序投資組合分析.............................................21
第伍章 結論...................................................................................................................24
第一節 結論.........................................................................................24
第二節 未來研究建議.............................................................................................26
參考文獻...........................................................................................................................27

圖目錄
圖1:個股報酬的季節性橫斷面迴歸分析…………………………………………18

表目錄
表1 各國政府債券報酬數據之個數統計....................................................15
表2 部分國家各期別月份報酬率資料之敘述統計.....................................................16
表3 各年期區間債券報酬進行多空交易模擬策略.......................................................20
表 4 各年期區間債券報酬進行多空交易模擬策略並加入CROST的高低影響...23


一、中文部分
1.楊嘉祺 (2018),「中國大陸股票報酬之季節性分析」,國立臺灣大學財務金融學系碩士論文。
2.黃信傑 (2020),「台灣股票市場的季節性報酬研究」,銘傳大學財務金融學系碩士論文。

二、英文部分
1.Barberis, N., Mukherjee, A., & Wang, B. (2016), “Prospect theory and stock returns: An empirical test,” The Review of Financial Studies, Vol.29, pp. 3068-3107.
2.Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011), “Maxing out: Stocks as lotteries and the cross-section of expected returns,” Journal of Financial Economics, Vol.99, pp. 427-446.
3.Bordalo, P., Gennaioli, N., & Shleifer, A. (2012), “Salience theory of choice under risk,” The Quarterly Journal of Economics, Vol.127, pp. 1243-1285.
4.Bordalo, P., Gennaioli, N., & Shleifer, A. (2013), “Salience and asset prices,” American Economic Review, Vol.103, pp. 623-28.
5.Cosemans, M., & Frehen, R. (2021), “Salience theory and stock prices: Empirical evidence,” Journal of Financial Economics, Vol.140, pp. 460-483.
6.Cross, F. (1973), “The Behavior of Stock Prices on Fridays and Mondays,” Financial Analysts Journal, Vol.29, pp. 67-69.
7.Fama, E. (1965), “The Behavior of Stock Market Prices,” The Journal of Business, Vol.38, pp. 34-105.
8.Fama, E. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” The Journal of Finance, Vol.25, pp. 383-417.
9.Fama, E. & MacBeth, J. (1973), “Efficient Capital Markets: A Review of Theory and Empirical Work,” The Journal of Finance, Vol.25, pp. 383-417.
10.Gultekin, M. & Gultekin, N (1983), “Stock Market Seasonality: International Evidence,” Journal of Financial Economics, Vol.12, pp. 469-481.
11.George, T. J., & Hwang, C. Y. (2004), “The 52‐week high and momentum investing,” The Journal of Finance, Vol.59, pp. 2145-2176.
12.Heston, S. L. & Sadka, R. (2008), “Seasonality in the Cross-section of Stock Returns,” Journal of Financial Economics, Vol.87, pp. 418-445.
13.Kahneman, D. (1973), “Attention and effort,” Englewood Cliffs, NJ: Prentice-Hall, Vol.1063, pp. 218-226.
14.Keloharju, M. & Linnainmaa, J. T., & Nyberg, P. (2016), “Return Seasonalities,” The Journal of Finance, Vol.71, pp. 1557-1590.
15.Mohrschladt, H. (2021), “The ordering of historical returns and the cross-section of subsequent returns,” Journal of Banking & Finance, Vol.125, 106064.
16.Roberts, H. (1967), “Statistical Versus Clinical Prediction of The Stock Market,” Unpublished manuscript.
17.Rozeff, M. S. & Kinney W. R. (1976), “Capital Market Seasonality: The Case of Stock Returns,” The Journal of Finance Economics, Vol.3, pp. 379-402
18.Wachtel S. B. (1942), “Certain Observations on Seasonal Movements in Stock Prices,” The Journal of Business of the University of Chicago, Vol.15, pp. 184-193
19.Zaremba, A. (2017), “Seasonality in the cross section of factor premia,” Investment Analysts Journal, Vol.46, pp.165-199.
20.Zaremba, A. (2019), “Cross-sectional seasonalities in international government bond returns,” Journal of Banking & Finance, Vol.98, pp. 80-94.
21.Zaremba, A., & Schabek, T. (2017), “Seasonality in government bond returns and factor premia,” Research in International Business and Finance, Vol.41, pp.292-302.

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