English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50811966      Online Users : 580
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30099


    Title: 反向操作之最適策略-以台灣股票市場為例
    The optimal contrarian strategy in Taiwan stock market
    Authors: 林韋民
    Contributors: 郭維裕
    林韋民
    Keywords: 反向操作
    個股
    價格
    Date: 2008
    Issue Date: 2009-09-11 17:13:49 (UTC+8)
    Abstract: 本文研究台股之最適反向操作策略，與過去研究不同的，在於使用個股觀點，且使用價格水準決定輸家及贏家。實證結果顯示，當個股價格低於52週高點的一半，且本益比低於10時買入，並在上漲5~10%左右或下跌75%以上或持有2或3年時賣出，可創造最高報酬。研究結果並顯示，在台股採用此策略，以電子股和傳產股最適合。
    This paper tries to construct the best contrarian strategy which means that past losers will outperform past winners for Taiwan stock market. Instead of following previous papers to use past returns and be portfolio-oriented, “price” and “individual stock” are the main factors in the strategy. Initially, the most adequate timing for buying stocks was determined. Then the feasible selling policy was formed. After the optimal contrarian strategy was constructed, industrial factors were investigated. The results suggest buying stocks with P/E ratio under 10 when their prices are lower than their half of the previous 52-week high, and selling them when prices drop about 75% or rise about 5% or 2 or 3 years later since buying them, depending on which one appears earlier. Finally, the findings also show that electronic stocks are most applicable to the contrarian strategy.
    Reference: Baytas, A., & Cakici, N. (1999). Do markets overreact: International evidence. Journal of Banking & Finance, 23, 1121-1144.
    Bennington, G., & Jensen, M. C. (1970). Random Walks and Technical Theories: Some Additional Evidence. Journal of Finance, 25(2), 469-482.
    Chan, K. C. (1988). On the Contrarian Investment Strategy. Journal of Business, 61(2), 147-163.
    Chopra, N., Lakonishok, J., & Ritter, J. R. (1992). Measuring abnormal performance : Do stocks overreact? Journal of Financial Economics, 31(2), 235-268.
    Conrad, J., & Kaul, G. (1989). Mean reversion in short-horizon expected returns. The Review of Financial Studies, 2(2), 225-240.
    Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under- and Overreactions. Journal of Finance, 53(6), 1839-1885.
    De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805.
    De Bondt, W. F. M., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42(3), 557-581.
    De Bondt, W. F. M., & Thaler, R. H. (1990). Do security analysts overreact? American Economic Review, 80, 52-57.
    DeChow, P. M., & Sloan, R. G. (1997). Returns to contrarian investment strategies: Tests of naive expectations hypotheses. Journal of Financial Economics, 43, 3-27.
    Fama, E. F. (1970). Efficient Capital Markets: A review of Theory and Empirical Work. Journal of Finance, 25(2), 383-417.
    Gallea, A. M., & Patalon, W. (1998). Contrarian Investing. New York: Prentice Hall Pr.
    George, T. J., & Hwang, C.-Y. (2004). The 52-Week High and Momentum Investing. Journal of Finance, 59(5), 2145-2176.
    Grinblatt, M., & Keloharju, M. (2001). What Makes Investors Trade? Journal of Finance, 56(2), 589-616.
    Hong, H., & Stein, J. C. (1999). A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets. Journal of Finance, 54(6), 2143-2184.
    Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91.
    Jegadeesh, N., & Titman, S. (1995). Overreaction, delayed reaction and contrarian profits. The Review of Financial Studies, 8(4), 973-993.
    Kang, J., Liu, M.-H., & Ni, S. X. (2002). Contrarian and momentum strategies in the China stock market: 1993-2000. Pacific-Basin Finance Journal, 10, 243-265.
    Lakonishok, J., Chan, L. K., & Jegadeesh, N. (1996). Momentum Strategies. Journal of Finance, 51(5), 1681-1713.
    Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment, Extrapolation, and Risk. Journal of Finance, 49(5), 1541-1578.
    Lehmann, B. N. (1990). Fads, Martingales, and Market Efficiency. Quarterly Journal of Economics, 105(1), 1-28.
    Levy, R. A. (1967). Relative Strength as a Criterion for Investment Selection. Journal of Finance, 22(4), 595-610.
    Lo, A. W., & MacKinlay, A. C. (1990). When are contrarian profits due to stock market overreaction? The Review of Financial Studies, 3(2), 175-205.
    Moskowitz, T. J., & Grinblatt, M. (1999). Do Industries Explain Momentum? Journal of Finance, 54(4), 1249-1290.
    Muth, J. F. (1961). Rational Expectations and the Theory of Price Movements. Econometrica, 29(3), 315-335.
    Nam, K., Pyun, C. S., & Avard, S. L. (2001). Asymmetric Reverting Behavior of Short-horizon Stock Returns: An Evidence of Stock Market Overreaction. Journal of Banking & Finance, 25, 807-824.
    Nelson, C. R., Kim, M. J., & Startz, R. (1991). The Review of Economic Studies, 58(3), 528-551.
    Richards, A. J. (1997). Winner-Loser Reversals in National Stock Market Indices: Can They be Explained? Journal of Finance, 52(5), 2129-2144.
    Roberts, H. V. (1959). Stock Market "Patterns" and Financial Analysis: Methodological Suggestions. Journal of Finance, 14(1), 1-10.
    Rouwenhorst, K. G. (1998). International momentum strategies. Journal of Finance, 53(1), 267-284.
    Schiereck, D., De Bondt, W., & Weber, M. (1999). Contrarian and Momentum Strategies in Germany. Financial Analysts Journal, 55(6), 104-116.
    Zarowin, P. (1990). Size, seasonality, and stock market overreaction. Journal of Financial and Quantitative Analysis, 25(1), 113-125.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    96351025
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0963510251
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2237View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback