政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/116045

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/116045

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政大機構典藏 > 商學院 > 經營管理碩士學程EMBA > 學位論文 > Item 140.119/116045

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/116045

題名:	市值老二選股策略 Second is better : a simple strategy for single stock selection
作者:	張婉珍 Chang, Wanchen
貢獻者:	周冠男 Chou, Robin 張婉珍 Chang, Wanchen
關鍵詞:	大型股市值排名超額報酬動能策略定錨效應股價 Large caps Market values ranking Outperformances Momentum strategy Anchoring bias Share prices
日期:	2017
上傳時間:	2018-03-02 11:44:31 (UTC+8)
摘要:	大型股過去一直被認為平均報酬率低於小型股，但如果從個股來看，不少大型股的績效並不會比指數差。考慮到一般非專業投資人在投資股票時，選擇大型股還是比小型股容易，本論文試圖建構一套在實務上較可行的大型個股選股策略—選擇市值第二大的股票，並定期調整個股。我們以美股標準普爾500指數中前兩大市值的股票，分為兩種投資組合做比較，結果發現，市值最大的股票不容易創造超額報酬，市值第二大的股票，反而締造極佳的超額報酬，此現象在過去3年、5年、10年，尤其較過去20年更為明顯。原因在於市值排名第二的股票，多半屬於排名仍在持續上升的成長股，這些個股基本面尚未到達頂點，故股價還會反應一段時間的基本面利多，採取類似動能策略(Momentum Strategy)的方法，報酬率容易超越指數；市值最大者則因為基本面普遍伴隨市值排名已經到頂，加上投資人對於排名第一的股票，多半易產生定錨效應(Anchoring Effect)，即認為股價可能已經反應其該有的價值，較難創造超額報酬，傾向賣出。故同樣投資大型股，選擇市值第二名的股票會優於第一名。 According to The Size Effect Theory, small cap securities generally generate greater returns than those of large cap companies. However, this trend has involved into the difficulties of stock picking due to the large number of small caps. In this paper I propose a strategy against the size effect theory, “Second is Better”, to pick the second largest market value security as the single stock investment. I examine the performances of the No.1 and the No.2 largest market cap stocks in the S&P500 and apply a 6-month rebalance to construct two different portfolios, which is similar to the concept of Momentum Strategy that buy the past winners and sell the past losers. I find the No.2 stock outperforms than No.1 stock and generate amazing excess returns in the near mid-to-long-term periods. Because No.1 stocks are more likely to experience Momentum Crash than No.2 stocks due to investor’s anchoring bias as they believe the No.1 stock might have been peaked. No.2 stocks are usually in the growing stages that many investors believe the 2nd largest caps still yet to peak during market value expansion.
參考文獻:	Banz, Rolf W. (1981). “The Relationship Between Return and Market Value of Common Stocks,” Journal of Financial Economics, 9, 3-18. Byun, Suk Joon and Jeon , Byoung Hyun (2015). “Momentum crashes and an investor’s anchoring bias”. Working paper. Cohen, Randolph, Christopher Polk, and Bernhard Silli. (May 2010). “Best Ideas.” Working paper, London School of Economics. Daniel, Kent D., and Tobias J. Moskowitz. (2014). “Momentum crashes”, Working paper Dijk , Mathijs A. van. (2006) “Is size dead? A review of the size effect in equity returns”. Journal of Banking & Finance, 5-6. Dowen, Richard J., and Bauman, W. Scott. (Spring 1986) “The relative importance of size, P/E, and neglect”. Journal of Portfolio Management. Fama, Eugene F., and Kenneth R. French. (March 1995 ) “Size and book-to-market factors in earnings and returns”. Journal of Finance. Fama, Eugene F., and Kenneth R. French. (June 1992) “The cross-section of expected stock returns”. Journal of Financial Economics. Gompers, P.A., Metrick, A. (2001) “Institutional investors and equity prices”. Quarterly Journal of Economics 116, 229–259. Grey, Wesley R. (2014). “Does Size Effect Exist? Probably”. Blog.alphaarchitect. com. Jegadeesh, Narasimhan, and Sheridan Titman. (1993), “Returns to buying winners and selling losers: Implications for stock market efficiency”, Journal of Finance 48, 65-91. Lustig, Ivan L. and Philip A. Leinbach. (May–June 1983) “The Small Firm Effect.”Financial Analysts Journal 39, 46–49. Siegel, Jeremy (1994). “Stocks for the Long Run”, Chapter 6, page 95-96 Sonders , Liz Ann. (2017) “Big Machine: Why Large Caps Are Likely to Outperform”, Advisor Perspectives, page 1-3, March 14, 2017 Yeung, Danny, Paolo Pellizzari, Ron Bird, and Sazali Abidin. (2012) “Diversification versus Concentration …and the Winner is?” Working paper series, University of Technology Sydney.
描述:	碩士國立政治大學經營管理碩士學程(EMBA) 104932138
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0104932138
資料類型:	thesis
顯示於類別:	[經營管理碩士學程EMBA] 學位論文

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